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Boom–Bust Cycles and the Forecasting Performance of Linear and Non-Linear Models of House Prices

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  • W. Miles

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    File URL: http://hdl.handle.net/10.1007/s11146-007-9067-1
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    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 36 (2008)
    Issue (Month): 3 (April)
    Pages: 249-264

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    Handle: RePEc:kap:jrefec:v:36:y:2008:i:3:p:249-264
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

    Keywords: Bubbles; Forecasting models; Generalized autoregressive model; Nonlinear techniques;

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    1. Muellbauer, J & Murphy, A, 1996. "Booms and Busts in the UK Housing Market," Economics Papers 125, Economics Group, Nuffield College, University of Oxford.
    2. John R. Knight, 2002. "Listing Price, Time on Market, and Ultimate Selling Price: Causes and Effects of Listing Price Changes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 213-237.
    3. Kevin Gillen & Thomas Thibodeau & Susan Wachter, . "Anistropic Autocorrelation in House Prices," Zell/Lurie Center Working Papers 383, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
    5. Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August.
    6. Bessec Marie & Bouabdallah Othman, 2005. "What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-24, June.
    7. Anglin, Paul M & Rutherford, Ronald & Springer, Thomas M, 2003. "The Trade-Off Between the Selling Price of Residential Properties and Time-on-the-Market: The Impact of Price Setting," The Journal of Real Estate Finance and Economics, Springer, vol. 26(1), pages 95-111, January.
    8. Karl E. Case & Robert J. Shiller, 1988. "The Efficiency of the Market for Single-Family Homes," NBER Working Papers 2506, National Bureau of Economic Research, Inc.
    9. Barot, Bharat & Takala, Kari, 1998. "House prices and inflation : a cointegration analysis for Finland and Sweden," Research Discussion Papers 12/1998, Bank of Finland.
    10. Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
    11. Horowitz, Joel L, 1992. "The Role of the List Price in Housing Markets: Theory and an Econometric Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(2), pages 115-29, April-Jun.
    12. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring.
    13. Brunner, Allan D. & Hess, Gregory D., 1995. "Potential problems in estimating bilinear time-series models," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 663-681, May.
    14. Karl E. Case & Robert J. Shiller, 2003. "Is There a Bubble in the Housing Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2), pages 299-362.
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    Cited by:

    1. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    2. repec:ipg:wpaper:2014-585 is not listed on IDEAS
    3. Zietz, Joachim & Traian, Anca, 2014. "When was the U.S. housing downturn predictable? A comparison of univariate forecasting methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 271-281.
    4. Philippe Bracke, 2011. "How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries," IMF Working Papers 11/231, International Monetary Fund.
    5. Christophe Andre & Rangan Gupta & John W. Muteba Mwamba, 2016. "Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas," Working Papers 201635, University of Pretoria, Department of Economics.
    6. Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury, 2014. "Forecasting House Prices in the United States with Multiple Structural Breaks," International Econometric Review (IER), Econometric Research Association, vol. 6(1), pages 1-23, April.
    7. MeiChi Huang & LinYing Yeh, 2015. "Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 762-781, October.

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