Housing Price Forecastability: A Factor Analysis
Year: 2016
Type: article
Abstract: We examine U.S. housing price forecastability using principal component analysis (PCA), partial least squares (PLS) and sparse PLS (SPLS). We incorporate information from a large panel of 128 economic time series and show that macroeconomic fundamentals have strong predictive power for future movements in housing prices. We find that (S)PLS models systematically dominate PCA models. (S)PLS models also generate significant out‐of‐sample predictive power over and above the predictive power contained by the price–rent ratio, autoregressive benchmarks and regression models based on small datasets.
Source: Real Estate Economics
Authors: Lasse Bork, Stig V. Møller
Institutions: Aalborg University, Aarhus University
Language: English
Topic: Housing Market and Economics
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2550721569