Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa

@inproceedings{Gupta2008SpatialBM,
  title={Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa},
  author={Rangan Gupta and Sonali Sanghita Das},
  year={2008}
}
This paper estimates Spatial Bayesian Vector Autoregressive models (SBVAR), based on the First-Order Spatial Contiguity and the Random Walk Averaging priors, for six metropolitan areas of South Africa, using monthly data over the period of 1993:07 to 2005:06. We then forecast one- to six-months-ahead house prices over the forecast horizon of 2005:07 to 2007:06. When we compare forecasts generated from the SBVARs with those from an unrestricted Vector Autoregressive (VAR) and the Bayesian Vector… CONTINUE READING
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