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Forecasting U.S. Housing Starts Under Asymmetric Loss

Author

Listed:
  • Christian , Pierdzioch

    (Helmut Schmidt University, Hamburg)

  • Rülke, Jan-Christoph

    (WHU – Otto Beisheim School of Management,)

  • Stadtmann, Georg

    (Europa-Universität Viadrina)

Abstract

Survey data of forecasts of the housing market may provide a particularly rich data nvironment for researchers and policymakers to study developments in housing markets. Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125, 2005), we studied the properties of a large set of survey data of housing starts in the United States. We document the heterogeneity of forecasts, analyze the shape of forecasters’ loss function, study the rationality of forecasts, and the temporal variation in forecasts.

Suggested Citation

  • Christian , Pierdzioch & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Forecasting U.S. Housing Starts Under Asymmetric Loss," Working Paper 118/2012, Helmut Schmidt University, Hamburg.
    • Handle: RePEc:ris:vhsuwp:2012_118
    Note: Housing starts; Loss function; Rationality of forecasts
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    Cited by:

    1. Dimitrios Papastamos & Fotis Mouzakis & Simon Stevenson, 2014. "Rationality and Momentum in Real Estate Investment Forecasts," Real Estate & Planning Working Papers rep-wp2014-07, Henley Business School, University of Reading.
    2. Tim Meyer, 2019. "On the Directional Accuracy of United States Housing Starts Forecasts: Evidence from Survey Data," The Journal of Real Estate Finance and Economics, Springer, vol. 58(3), pages 457-488, April.
    3. Siddhartha S. Bora & Ani L. Katchova & Todd H. Kuethe, 2021. "The Rationality of USDA Forecasts under Multivariate Asymmetric Loss," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1006-1033, May.

    More about this item

    Keywords

    Housing starts; Loss function; Rationality of forecasts;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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