The purpose of this paper is to compare the forecasting power of DFM and LBVAR models as they are used to forecast house price growth rates for 42 metropolitan areas in the United States. The forecasting performances of these two large-scale models are compared based on the Theil U-statistic.Housing market, DFM, LBVAR, dynamic PCA, Demand and Price Analysis,

Leatham, David J.

Li, Yarui

English

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Forecasting Housing Prices: Dynamic Factor Model versus LBVAR Model

Forecasting Housing Prices: Dynamic Factor Model versus LBVAR Model

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Research Papers in Economics