The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US

55 Pages Posted: 31 Aug 2012 Last revised: 18 Mar 2015

See all articles by Mehmet Balcilar

Mehmet Balcilar

Eastern Mediterranean University

Rangan Gupta

University of Pretoria - Department of Economics

Stephen M. Miller

University of Nevada, Las Vegas - Department of Economics; University of Connecticut - Department of Economics

Date Written: August 30, 2012

Abstract

This paper provides out-of-sample forecasts of linear and non-linear models of US and Census regions housing prices. The forecasts include the traditional point forecasts, but also include interval and density forecasts of the housing price distributions. The non-linear smooth-transition autoregressive model outperforms the linear autoregressive model in point forecasts at longer horizons, but the linear autoregressive model dominates the non-linear smooth-transition autoregressive model at short horizons. In addition, we generally do not find major differences in performance for the interval and density forecasts between the linear and non-linear models. Finally, in a dynamic 25-step ex-ante and interval forecasting design, we, once again, do not find major differences between the linear and nonlinear models.

Keywords: Forecasting, Linear and non-linear models, US and Census housing price indexes

JEL Classification: C32, R31

Suggested Citation

Balcilar, Mehmet and Gupta, Rangan and Miller, Stephen M., The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US (August 30, 2012). Applied Economics, Published online 3 February 2015, Available at SSRN: https://ssrn.com/abstract=2138980 or http://dx.doi.org/10.2139/ssrn.2138980

Mehmet Balcilar

Eastern Mediterranean University ( email )

Gazimagusa
Turkey

HOME PAGE: http://www.mbalcilar.net

Rangan Gupta

University of Pretoria - Department of Economics ( email )

Lynnwood Road
Hillcrest
Pretoria, 0002
South Africa

Stephen M. Miller (Contact Author)

University of Nevada, Las Vegas - Department of Economics ( email )

4505 S. Maryland Parkway
Box 456005
Las Vegas, NV 89154
United States
702-895-3776 (Phone)
702-895-1354 (Fax)

HOME PAGE: http://faculty.unlv.edu/smiller/

University of Connecticut - Department of Economics

365 Fairfield Way, U-1063
Storrs, CT 06269-1063
United States

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