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Enhancing information use to improve predictive performance in property markets

Enhancing information use to improve predictive performance in property markets Over the last decade or so there has been an increased interest in combining the forecasts from different models. Pooling the forecast outcomes from different models has been shown to improve out‐of‐sample forecast test statistics beyond any of the individual component techniques. The discussion and practice of forecast combination has revolved around the pooling of results from individual forecasting methodologies. A different approach to forecast combination is followed in this paper. A method is used in which negatively correlated forecasts are combined to see if this offers improved out‐of‐sample forecasting performance in property markets. This is compared with the outcome from both the original model and with benchmark naïve forecasts over three 12‐month out‐of‐sample periods. The study will look at securitised property in three international property markets – the USA, the UK and Australia. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Property Investment & Finance Emerald Publishing

Enhancing information use to improve predictive performance in property markets

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Publisher
Emerald Publishing
Copyright
Copyright © 2001 MCB UP Ltd. All rights reserved.
ISSN
1463-578X
DOI
10.1108/14635780110406851
Publisher site
See Article on Publisher Site

Abstract

Over the last decade or so there has been an increased interest in combining the forecasts from different models. Pooling the forecast outcomes from different models has been shown to improve out‐of‐sample forecast test statistics beyond any of the individual component techniques. The discussion and practice of forecast combination has revolved around the pooling of results from individual forecasting methodologies. A different approach to forecast combination is followed in this paper. A method is used in which negatively correlated forecasts are combined to see if this offers improved out‐of‐sample forecasting performance in property markets. This is compared with the outcome from both the original model and with benchmark naïve forecasts over three 12‐month out‐of‐sample periods. The study will look at securitised property in three international property markets – the USA, the UK and Australia.

Journal

Journal of Property Investment & FinanceEmerald Publishing

Published: Dec 1, 2001

Keywords: Forecasting; Property markets

References

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