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英文文献：Housing price forecastability: A factor analysis-房价预测:一个因素分析
英文文献作者：Lasse Bork,Stig V. M?ller
英文文献摘要：
We examine US housing price forecastability using a common factor approach based on a large panel of 122 economic time series. We find that a simple three-factor model generates an explanatory power of about 50% in one-quarter ahead in-sample forecasting regressions. The predictive power of the model stays high at longer horizons. The estimated factors are strongly statistically signi?cant according to a bootstrap resampling method which takes into account that the factors are estimated regressors. The simple three-factor model also contains substantial out-of-sample predictive power and performs remarkably well compared to both autoregressive benchmarks and computational intensive forecast combination models.
我们研究美国住房价格的可预测性使用公共因素的方法基于122经济时间序列的大面板。我们发现，一个简单的三因素模型在四分之一的样本内预测回归中产生约50%的解释力。从长远来看，该模型的预测能力仍然很高。估计的因素具有很强的统计意义?不能根据bootstrap重新采样的方法，考虑到这些因素都是估计的回归量。简单的三因素模型还包含大量的样本外预测能力，与自回归基准和计算密集的预测组合模型相比，其性能非常好。
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