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Forecasting real housing price growth in the Eighth District states

  • David E. Rapach
  • Jack K. Strauss

The authors consider forecasting real housing price growth for the individual states of the Federal Reserve's Eighth District. They first analyze the forecasting ability of a large number of potential predictors of state real housing price growth using an autoregressive distributed lag (ARDL) model framework. A number of variables, including the state housing price-to-income ratio, state unemployment rate, and national inflation rate, appear to provide information that is useful for forecasting real housing price growth in many Eighth District states. Given that it is typically difficult to determine a priori the particular variable or small set of variables that are the most relevant for forecasting real housing price growth for a given state and time period, the authors also consider various methods for combining the individual ARDL model forecasts. They find that combination forecasts are quite helpful in generating accurate forecasts of real housing price growth in the individual Eighth District states.

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Article provided by Federal Reserve Bank of St. Louis in its journal Regional Economic Development.

Volume (Year): (2007)
Issue (Month): Nov ()
Pages: 33-42

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Handle: RePEc:fip:fedlrd:y:2007:i:nov:p:33-42:n:v.3no.2
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  1. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
  2. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
  3. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc.
  4. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
  5. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  6. Patric H. Hendershott & John C. Weicher, 2002. "Forecasting Housing Markets: Lessons Learned," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(1), pages 1-11.
  7. Alan Greenspan & James Kennedy, 2005. "Estimates of home mortgage originations, repayments, and debt on one-to-four-family residences," Finance and Economics Discussion Series 2005-41, Board of Governors of the Federal Reserve System (U.S.).
  8. David E. Rapach & Jack K. Strauss, 2005. "Forecasting employment growth in Missouri with many potentially relevant predictors: an analysis of forecast combining methods," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 97-112.
  9. Geraint Johnes & Thomas Hyclak, . "House Prices and Regional Labor Markets," Working Papers ec15/93, Department of Economics, University of Lancaster.
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