We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do...

We argue that comprehensive out-of-sample (OOS) evaluation using statistical decision theory (SDT) should replace the current practice of K-fold and Common Task Framework validation in machine learning (ML) research. SDT provides a formal framework for performing comprehensive OOS evaluation...

We provide estimates of the impact of restrictive residential land use environments on the price of land across major American housing markets. Using micro data on vacant land purchased to develop single family housing, we implement a new empirical strategy for estimating so-called 'zoning...

Recent empirical work uses variation across cities or regions to identify the effects of economic shocks of interest to macroeconomists. The interpretation of such estimates is complicated by the fact that they reflect both partial equilibrium and local general equilibrium effects of the shocks....

In analyzing the dynamics of Tokyo housing price, we have compiled annual micro data sets from individual listings in a widely-circulated real estate advertising magazine. A data set compiled from "properties for investment" lists both asking (sales) prices and rents for the same properties....

We begin with a description of three house price panel data sets for the period 1982 to 1991. Next, we estimate a model that assumes the three sources are derived from an underlying unobserved price series, and we construct composite indexes that report house prices for 135 locations. These...

Inequality in U.S. housing prices and rents both declined in the mid-20th century, even as home-ownership rates rose. Subsequently, housing-price inequality has risen to pre-War levels, while rent inequality has risen less. Combining both measures, we see inequality in housing consumption...

In the 1929-1933 downturn of the Great Depression, house values and homeownership rates fell more, and mortgage foreclosure rates were higher, in cities that had experienced relatively high rates of house construction in the residential real-estate boom of the mid-1920s. Across the 1920s, boom...

We provide the first multi-city, constant quality land price index for 35 major markets in China. While there is meaningful heterogeneity in land price growth across cities, on average the last nine years have seen land values skyrocket in many markets, not just those on or near the coast. The...

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...