Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis

• Main Authors: Nadhem Selmi, Nejib Hachicha
• Format: Article
• Language: English
• Published: Growing Science 2015-05-01
• Series: Management Science Letters
• Subjects: Subprime crisis; Whittle; Prediction error
• Online Access: http://www.growingscience.com/msl/Vol5/msl_2015_42.pdf

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.