ISSN:
1573-045X
Keywords:
Bayesian vector autoregressive models
;
home sales
;
leading indicators
;
forecast accuracy
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract This article uses Bayesian vector autoregressive models to examine the usefulness of leading indicators in predicting U.S. home sales. The benchmark Bayesian model includes home sales, price of homes, mortgage rate, real personal disposable income, and unemployment rate. We evaluate the forecasting performance of six alternative leading indicators by adding each, in turn, to the benchmark model. Out-of-sample forecast performance over three periods shows that the model that includes building permits authorized consistently produces the most accurate forecasts. Thus, the intention to build in the future provides good information with which to predict U.S. home sales. Another finding suggests that leading indicators with longer leads outperform the short-leading indicators.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1007718725609
Permalink
