DSpace
 

Researchspace >
General science, engineering & technology >
General science, engineering & technology >
General science, engineering & technology >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10204/2505

Title: Spatial Bayesian methods of forecasting house prices in six metropolitan areas of South Africa
Authors: Gupta, R
Das, S
Keywords: BVAR
Bayesian vector autoregressive model
Bayesian vector autoregressive forecasts
Forecast accuracy
SBVA
Spatial bayesian vector autoregressive model
VAR
Vector autoregressive model
Issue Date: Jun-2008
Publisher: Blackwell Publishing Ltd
Citation: Gupta, R and Das, S. 2008. Spatial Bayesian methods of forecasting house prices in six metropolitan areas of South Africa. South African Journal of Economics, Vol. 76(2), pp 298-313
Abstract: This paper estimates Spatial Bayesian Vector Autoregressive models (SBVAR), based on the First-Order Spatial Contiguity and the Random Walk Averaging priors, for six metropolitan areas of South Africa, using monthly data over the period of 1993:07 to 2005:06. The authors then forecast one- to six-months-ahead house prices over the forecast horizon of 2005:07 to 2007:06. They then compare forecasts generated from the SBVAR's with those from an unrestricted Vector Autoregressive (VAR) and the Bayesian Vector Autoregressive (BVAR) models based on the Minnesota prior, they found that, the spatial models tend to outperform the other models for large middle-segment houses; while, the VAR and the BVAR models tend to produce lower average out-of-sample forecast errors for middle and small middle segment houses, respectively. In addition, based on the priors used to estimate the Bayesian models, the results suggested that prices tend to converge for both large- and middle-sized houses, but no such evidence could be obtained for the small-sized houses
Description: Copyright: 2008 Blackwell Publishing Ltd
URI: http://hdl.handle.net/10204/2505
ISSN: 0038-2280
Appears in Collections:Logistics and quantitative methods
General science, engineering & technology

Files in This Item:

File Description SizeFormat
Gupta_2008.pdf270.13 kBAdobe PDFView/Open
View Statistics

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback