Analyzing Housing Market Dynamics using Linear and non-Parametric Models

2018-10-07
Yılmaz, Bilgi
Yerlikaya Özkurt, Fatma
Kestel, Ayşe Sevtap
This paper analyzes the dynamic effect of macroeconomic indicators, such as financial and commodity market indicators on national housing markets. Furthermore, it does not only focus on the impact of the variables but also introduces a variety of models that based on the generalized linear models and multivariate adaptive regression splines. The models help us to identify the macroeconomic drivers of housing markets. Since the US has an adequate housing market data, the empirical analysis within the paper focuses on the US national housing market. Namely, the illustration of the proposed models is done through the historical realizations of S&P/Case-Shiller National Home Price Index (HPI) and US macroeconomic indicators for the period 2000 to 2017. The empirical results indicate that although the efficiency of the models may be questionable for their variable selection and their accuracy, the directions of the indicators effect are consistent with the standard expectation, and a proposed model estimates the trend of the market successively.
Citation Formats
B. Yılmaz, F. Yerlikaya Özkurt, and A. S. Kestel, “Analyzing Housing Market Dynamics using Linear and non-Parametric Models,” presented at the 11. International Statistics Days Conference,( 3-07 Ekim 2018), Muğla, Turkey, 2018, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/73369.