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Forecasting Housing Prices with Google EconometricsRajendra KulkarniGeorge Mason University - School of Public Policy Kingsley E. HaynesGeorge Mason University - School of Public Policy Roger R. StoughGeorge Mason University - School of Public Policy Jean H. P. PaelinckErasmus University Rotterdam (EUR) - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute for Economic Research) GMU School of Public Policy Research Paper No. 2009-10 Abstract: In this research note we report on our current efforts on developing a leading indicator of housing prices that could be used to forecast housing prices. Specifically we use Google search index at city level to predict Case-Shiller index. The methodology is based on Granger causality where we carry out two way regressions with lagged variables and joint F-tests to determine the direction of causality.
Number of Pages in PDF File: 38 Keywords: Case-Shiller Index, Granger Causality, Google econometrics, HPI, Search engine JEL Classification: C10, C20, C30, C40, C50 working papers seriesDate posted: July 25, 2009 ; Last revised: October 27, 2012Suggested CitationContact Information
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