CMStatistics 2016: Start Registration
View Submission - CFE
A0259
Title: Forecasting UK house prices during turbulent periods Authors:  Efthymios Pavlidis - Lancaster University Management School (United Kingdom) [presenting]
Alisa Yusupova - Lancaster University Management School (United Kingdom)
Abstract: The latest boom and bust in housing markets and its role in the Great Recession has generated a vast interest in the dynamics of house prices. A substantial empirical literature has developed that deals with predicting future house price movements. This literature concentrates almost entirely on the US, leaving national and regional markets of other countries, where housing has also played a central role, mostly unexplored. We contribute to this literature by conducting an extensive investigation of the ability of a battery of econometric models to forecast UK national and regional housing prices over the last two decades. The econometric models considered include ARDL, BVAR, Factor Augmented BVAR, TVP-VAR, DMA, DMS, and a previous DSGE model. In summary, our findings suggest that models that allow both the underlying specification and the parameter estimates to vary over time produce more (and, in some cases, dramatically more) accurate forecasts than methods where the number of predictors is kept fixed.