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Estimating U.S. Housing Price Network Connectedness : Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models

Gabauer, David - 2020

This paper investigates the dynamic connectedness of random shocks to housing prices between the 50 U.S. states and the District of Columbia. The paper implements a standard vector autoregressive (VAR) model as well as three VAR models with shrinkage effects - Elastic Net, Lasso, and Ridge VAR...

Persistent link: https://www.econbiz.de/10012827245

The relationship between healthcare expenditure and disposable personal income in the US states : a fractional integration and cointegration analysis

Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across...

Persistent link: https://www.econbiz.de/10011280006

The relationship between healthcare expenditure and disposable personal income in the US states : a fractional integration and cointegration analysis

Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of both series are found to vary considerably across...

Persistent link: https://www.econbiz.de/10011283833

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...

Persistent link: https://www.econbiz.de/10011443536

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

Persistent link: https://www.econbiz.de/10011554324

Forecasting the US Real House Price Index : Structural and Non-Structural Models with and without Fundamentals

Gupta, Rangan - 2012

We employ a 10-variable dynamic structural general equilibrium model to forecast the US real house price index as well … exercise to compare to the dynamic stochastic general equilibrium model, estimated using Bayesian methods. In addition to … 2006:Q2, using the estimated model through 2005:Q2. Only the dynamic stochastic general equilibrium model actually …

Persistent link: https://www.econbiz.de/10013116513

Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK : Evidence from over 150 Years of Data

Plakandaras, Vasilios - 2018

In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the U.S. and the U.K. housing market, we employ time-varying Vector Autoregression models using Bayesian methods covering the periods of 1830-2016 and 1845-2016 respectively. We consider...

Persistent link: https://www.econbiz.de/10012908615

Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors

Aye, Goodness - 2017

This paper employs classical bivariate, factor augmented (FA), slab-and-spike variable selection (SSVS)-based, and Bayesian semi-parametric shrinkage (BSS)-based predictive regression models to forecast US real private residential fixed investment over an out-of-sample period from 1983:Q1 to...

Persistent link: https://www.econbiz.de/10012973249

Regime Switching Model of US Crude Oil and Stock Market Prices : 1859 to 2013

Balcilar, Mehmet - 2016

This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil...

Persistent link: https://www.econbiz.de/10013005873

Time-Varying Effects of Housing and Stock Prices on U.S. Consumption

Simo-Kengne, Beatrice - 2016

This paper applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate the relative effects of housing and stock prices on US consumption over time. We use annual data from 1890 to 2012 and find that over different horizons and over time, generally the housing price...

Persistent link: https://www.econbiz.de/10013007480