Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis
In this paper, we examine and forecast the House Price Index (HPI) and mortgage market rate in terms of the description of the subprime crisis. We use a semi-parametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005) [Shimotsu, K., & Phillips, P.C.B. (2005), Exact local Whi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2015-05-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol5/msl_2015_42.pdf |
| _version_ | 1818591759286927360 |
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| author | Nadhem Selmi Nejib Hachicha |
| author_facet | Nadhem Selmi Nejib Hachicha |
| author_sort | Nadhem Selmi |
| collection | DOAJ |
| description | In this paper, we examine and forecast the House Price Index (HPI) and mortgage market rate in terms of the description of the subprime crisis. We use a semi-parametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005) [Shimotsu, K., & Phillips, P.C.B. (2005), Exact local Whittle estimation of fractional integration. The Annals of Statistics, 33(4), 1890-1933.] in a long memory parameter time series. Empirical investigation of HPI and mortgage market rate shows that these variables are more persistent when the d estimates are found on the Shimotsu method than on the one of Künsch (1987) [Künsch, H.R. (1987). Statistical aspects of self-similar processes. In Y. Prokhorov and V.V. Sazanov (eds.), Proceedings of the First World Congress of the Bernoulli Society, VNU Science Press, Utrecht, 67-74.]. The estimating forecast values are more realistic and they strongly reflect the present US economy actuality in the two series as indicated by the forecast evaluation topics. |
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| format | Article |
| id | doaj.art-c636f466fdb543e5b5873e82fcbbe3d7 |
| institution | Directory Open Access Journal |
| issn | 1923-9335 1923-9343 |
| language | English |
| last_indexed | 2024-12-16T10:17:32Z |
| publishDate | 2015-05-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj.art-c636f466fdb543e5b5873e82fcbbe3d72022-12-21T22:35:24ZengGrowing ScienceManagement Science Letters1923-93351923-93432015-05-015541943010.5267/j.msl.2015.3.012Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisisNadhem SelmiNejib HachichaIn this paper, we examine and forecast the House Price Index (HPI) and mortgage market rate in terms of the description of the subprime crisis. We use a semi-parametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005) [Shimotsu, K., & Phillips, P.C.B. (2005), Exact local Whittle estimation of fractional integration. The Annals of Statistics, 33(4), 1890-1933.] in a long memory parameter time series. Empirical investigation of HPI and mortgage market rate shows that these variables are more persistent when the d estimates are found on the Shimotsu method than on the one of Künsch (1987) [Künsch, H.R. (1987). Statistical aspects of self-similar processes. In Y. Prokhorov and V.V. Sazanov (eds.), Proceedings of the First World Congress of the Bernoulli Society, VNU Science Press, Utrecht, 67-74.]. The estimating forecast values are more realistic and they strongly reflect the present US economy actuality in the two series as indicated by the forecast evaluation topics.http://www.growingscience.com/msl/Vol5/msl_2015_42.pdfSubprime crisisWhittlePrediction error |
| spellingShingle | Nadhem Selmi Nejib Hachicha Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis Management Science Letters Subprime crisis Whittle Prediction error |
| title | Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis |
| title_full | Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis |
| title_fullStr | Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis |
| title_full_unstemmed | Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis |
| title_short | Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis |
| title_sort | long range dependency and forecasting of housing price index and mortgage market rate evidence of subprime crisis |
| topic | Subprime crisis Whittle Prediction error |
| url | http://www.growingscience.com/msl/Vol5/msl_2015_42.pdf |
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