Forecasting Sales and Price for Existing Single-Family Homes: A VAR Model with Error Correction
In this paper we forecast demand for existing single-family housing in the United States. We first find that sales volume (sales) and median sales price (price) have unit roots. We then find that sales and price are cointegrated. We develop a vector autoregressive (VAR) model with error correction to further examine the causality between sales and price. We find that there exists a bidirectional causality relationship between sales and price. Price affects sales significantly and sales affects price weakly. With the VAR model we then forecast sales and price for existing single-family housing during the period 1991 to 1994 by using a recursive method. We find that our predictions for sales and price fit the actual data well.
Volume (Year): 14 (1997)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323|
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Karl E. Case & Robert J. Shiller, 1990.
"Forecasting Prices and Excess Returns in the Housing Market,"
NBER Working Papers
3368, National Bureau of Economic Research, Inc.
- Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(3), pages 253-273.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-276, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Phillips, P.C.B., 1986.
"Understanding spurious regressions in econometrics,"
Journal of Econometrics,
Elsevier, vol. 33(3), pages 311-340, December.
- Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Paul R. Goebel & Christopher K. Ma, 1993. "The Integration of Mortgage Markets and Capital Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 511-538.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:14:n:2:1997:p:155-168. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.