Assessing the forecasting performance of regime-switching, ARIMA and GARCH models of house prices

Real Estate Economics

Volumn 31, Issue 2, 2003, Pages 223-243

  Crawford, Gordon W ^a   Fratantoni, Michael C ^a  

^a FANNIE MAE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 14944346797     PISSN: 10808620     EISSN: None     Source Type: Journal    
DOI: 10.1111/1540-6229.00064     Document Type: Review

References (20)

1. Bollerslev, T. 1986. Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 31: 307-327.
2. Case, K. and R. Shiller. 1989. The Efficiency of the Market for Single-Family Homes. American Economic Review 79(1): 125-137.
3. Crawford, G.W. and E.L. Rosenblatt. 1995. Efficient Mortgage Default Option Exercise: Evidence from Loan Loss Severity. The Journal of Real Estate Research 10(5): 543-555.
4. Diebold, F.X. and G. Rudebusch. 1999. Measuring Business Cycles: A Modern Perspective. Business Cycles: Durations, Dynamics, and Forecasting. Princeton University Press: Princeton, New Jersey.
5. Engle, R. 1982. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50: 987-1007.
6. Engle, R. and J. Hamilton. 1990. Long Swings in the Dollar: Are They in the Data and Do Markets Know It? American Economic Review 80: 689-713.
7. Foster, C. and R. Van Order. 1984. An Option-Based Model of Mortgage Default. Housing Finance Review 3(4): 351-372.
8. _. 1985. FHA Terminations: A Prelude to Rational Mortgage Pricing. AREUEA Journal 13(3): 273-291.
9. Hall, S., Z. Psaradakis and M. Sola. 1997. Switching Error-Correction Models of House Prices in the United Kingdom. Economic Modelling 14: 517-527.
10. Hamilton, J. 1994. Time Series Analysis. Princeton University Press: Princeton, New Jersey.
11. Muellbauer, J. and A. Murphy. 1997. Booms and Busts in the U.K. Housing Market. Economic Journal 107(445), 1701-1727.
12. Ortalo-Magne, F., and S. Rady. 2001. Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints. Discussion Paper 470, CESIfo.
13. Pagan, A. and G.W. Schwert. 1990. Alternative Models for Conditional Stock Volatility. Journal of Econometrics 45: 267-290.
14. Spiegel, M. 2001. Housing Return and Construction Cycles. Real Estate Economics 29(4): 521-551.
15. Stephens, W.L. Jr., Y. Li, J.M. Abraham, V. Lekkas, C.A. Calhoun and T.J. Kimner. 1995. Conventional Mortgage Home Price Index. Journal of Housing Research 6(3): 389-418.
16. Timmermann, A. and G. Perez-Quiros. 2001. Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities. Journal of Econometrics 103(1-2): 259-306.
17. Van Norden, S. and H. Schaller. 1996. Speculative Behavior, Regime-Switching and Stock Market Crashes. Unpublished Manuscript. Bank of Canada: Ottawa, Ontario.
18. Van Norden, S. and R. Vigfusson. 1996. A Guide to the Bank of Canada Gauss Procedures. Unpublished Manuscript. Bank of Canada: Ottawa, Ontario.
19. _. 1998. Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? Studies in Nonlinear Dynamics and Econometrics 3(1): 1-22.
20. Zhou, Z. 1997. Forecasting Sales and Price for Existing Single-Family Homes: A VAR Model with Error Correction. Journal of Real Estate Research 14: 155-167.