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Is a DFM well suited for forecasting regional house price inflation?

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Listed:
  • Alain Kabundi
  • Rangan Gupta
  • Sonali Das

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 […]

Suggested Citation

  • Alain Kabundi & Rangan Gupta & Sonali Das, 2008. "Is a DFM well suited for forecasting regional house price inflation?," Working Papers 085, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:085
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    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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