Gupta, RanganMajumdar, Anandamayee2015-08-282015-08-282015-10Rangan Gupta & Anandamayee Majumdar (2015) Forecasting US real house price returns over 1831–2013: evidence from copula models, Applied Economics, 47:48, 5204-5213, DOI:10.1080/00036846.2015.1044648.0003-6846 (print)1466-4283 (online)10.1080/00036846.2015.1044648http://hdl.handle.net/2263/49646Given 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© 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.House priceCopula modelsForecastingPostprint Article