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Browsing by Subject "Dynamic factor model"

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Could we have predicted the recent downturn in the South African housing market?

Author: Das, Sonali ; Gupta, R ; Kabundi, A Date: 2009 This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium- and small-middle-segment housing for the South African ... Read more
Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models

Author: Das, Sonali ; Gupta, R ; Kabundi, A Date: 2010 This paper uses the dynamic factor model framework, which accommodates a large cross-section of macroeconomic time series, for forecasting regional house price inflation. In this study, the authors forecast house price inflation for five ... Read more

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Browsing by Subject "Dynamic factor model"

Browsing by Subject "Dynamic factor model"

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