dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Majumdar, Anandamayee
|
|
dc.date.accessioned |
2015-08-28T09:29:38Z |
|
dc.date.available |
2015-08-28T09:29:38Z |
|
dc.date.issued |
2015-10 |
|
dc.description.abstract |
Given the existence of non-normality and nonlinearity in the data generating process of real
house price returns over the period of 1831-2013, this paper compares the ability of various
univariate copula models, relative to standard benchmarks (naive and autoregressive models) in
forecasting real US house price over the annual out-of-sample period of 1859-2013, based on an
in-sample of 1831-1873. Overall, our results provide overwhelming evidence in favor of the
copula models (Normal, Student’s t, Clayton, Frank, Gumbel, Joe and Ali-Mikhail-Huq) relative
to linear benchmarks, and especially for the Student’s t copula, which outperforms all other
models both in terms of in-sample and out-of-sample predictability results. Our results highlight
the importance of accounting for non-normality and nonlinearity in the data generating process
of real house price returns for the US economy for nearly two centuries of data. |
en_ZA |
dc.description.embargo |
2017-04-30 |
en_ZA |
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/raec20 |
en_ZA |
dc.identifier.citation |
Rangan Gupta & Anandamayee Majumdar (2015) Forecasting US real house price returns over 1831–2013: evidence from copula models, Applied Economics, 47:48, 5204-5213, DOI:10.1080/00036846.2015.1044648. |
en_ZA |
dc.identifier.issn |
0003-6846 (print) |
|
dc.identifier.issn |
1466-4283 (online) |
|
dc.identifier.other |
10.1080/00036846.2015.1044648 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/49646 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Routledge |
en_ZA |
dc.rights |
© 2015 Taylor and Francis. This is an electronic version of an article published in Applied Economics, vol. 47, no. 48, pp. 5204-5213, 2015. doi : 10.1080/00036846.2015.1044648. Applied Economics is available online at : http://www.tandfonline.comloi/raec20. |
en_ZA |
dc.subject |
House price |
en_ZA |
dc.subject |
Copula models |
en_ZA |
dc.subject |
Forecasting |
en_ZA |
dc.title |
Forecasting US real house price returns over 1831–2013 : evidence from copula models |
en_ZA |
dc.type |
Postprint Article |
en_ZA |