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dc.contributor.author | Das, Sonali | |
dc.contributor.author | Kabundi, Alain | |
dc.contributor.upauthor | Gupta, Rangan | |
dc.date.accessioned | 2008-09-29T11:40:43Z | |
dc.date.available | 2008-09-29T11:40:43Z | |
dc.date.issued | 2008-06 | |
dc.description.abstract | This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting regional house price inflation. As a case study, we use data on house price inflation for five metropolitan areas of South Africa. The DFM used in this study contains 282 quarterly series observed over the period 1980Q1-2006Q4. The results, based on the Mean Absolute Errors of one- to four-quarters-ahead out of sample forecasts over the period of 2001Q1 to 2006Q4, indicate that, in majority of the cases, the DFM outperforms the VARs, both classical and Bayesian, with the latter incorporating both spatial and non-spatial models. Our results, thus, indicate the blessing of dimensionality. | en_US |
dc.identifier.citation | Das, S, Gupta, R & Kabundi, A 2008, 'Is a DFM well-suited for forecasting regional house price inflation?', University of Pretoria, Department of Economics, Working paper series, no. 2008-14. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3] | en_US |
dc.identifier.uri | http://hdl.handle.net/2263/7387 | |
dc.language.iso | en | en_US |
dc.publisher | University of Pretoria, Department of Economics | en_US |
dc.relation.ispartofseries | Working Paper (University of Pretoria, Department of Economics) | en_US |
dc.relation.ispartofseries | 2008-14 | en_US |
dc.rights | University of Pretoria, Department of Economics | en_US |
dc.subject | Dynamic factor model (DFM) | en_US |
dc.subject | Vector autoregressive (VAR) model | en_US |
dc.subject | Bayesian vector autoregressive (BVAR) model | en_US |
dc.subject | Forecast accuracy | en_US |
dc.subject.lcsh | Housing -- Prices -- Forecasting | en |
dc.title | Is a DFM well-suited for forecasting regional house price inflation? | en_US |
dc.type | Working Paper | en_US |