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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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This paper compares the forecasting performance of four types of univariate time series models: ARIMA, GARCH, regime-switching, and unobserved-component(trend-cycle decomposition) model. I carry out in-sample and out-of-sample forecasting exercise to Korean house price index in the recursive estimation scheme. For the comparison of forecast performances, I compute root mean squared forecast errors and mean absolute forecast errors for each forecasting horizon of 1 to 36 months. I also test the statistical significance of the forecast comparison results, applying the asymptotic test developed by Diebold and Mariano(1995).
In case of in-sample forecasts, regime-switching and unobserved-component models show better performance than other two models, along with statistical significance. Regime-switching model is a compelling choice until 12 month forecasting steps, while the unobserved-component model is the best for 24 and 36 months. In case of out-of-sample forecasts, I find that the regime-switching model is particularly ill-suited for forecasting, showing the same result as Crawford and Fratantoni(2003) with US house price data. Also, I find that the unobserved-component model shows the best out-of-sample forecasting performance.
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참고문헌 (30)
참고문헌 신청
Bessec, M. / 2005 / What causes the forecasting failure of Markov-switching models? A Monte Carlo study / Studies in Nonlinear Dynamics and Econometrics 9 (2)
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 52 : 307 ~ 327
Brown, J.P. / 1997 / Forecasting UK House Prices: A Time Varying Coefficient Approach / Economic Modeling 14 : 529 ~ 548
Case, K / 1989 / The efficiency of the market for single-family homes / American Economic Review 79 : 125 ~ 137
Clark, P.K. / 1987 / The Cyclical Component of U.S. Economic Activity / The Quarterly Journal of Economics 102 : 797 ~ 814
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 52 : 307 ~ 327
Brown, J.P. / 1997 / Forecasting UK House Prices: A Time Varying Coefficient Approach / Economic Modeling 14 : 529 ~ 548
Case, K / 1989 / The efficiency of the market for single-family homes / American Economic Review 79 : 125 ~ 137
Clark, P.K. / 1987 / The Cyclical Component of U.S. Economic Activity / The Quarterly Journal of Economics 102 : 797 ~ 814
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