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Title: Causality analysis of the Canadian city house price indices: A cross-sample validation approach
Authors: Kyriazakou, Eleni
Panagiotidis, Theodore
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business
Keywords: House prices
Post-sample testing
Cross-sample validation (CSV)
Issue Date: Nov-2017
Publisher: Elsevier
Source: The Journal of Economic Asymmetries
Volume: 16
First Page: 42
Last Page: 52
Abstract: We examine pair-wise causality between 11 Canadian city house price indices. Monthly data that span from 1990:7 to 2015:9 are employed. The traditional Granger-causality framework is relaxed by following the cross-sample validation approach of Ashley and Tsang (2014). This allows us to overcome the ad hoc partition of the sample and examine predictability both “in” and “out-of-sample”. Toronto emerges as the driving force of the Canadian Housing Market.
ISSN: 1703-4949
Other Identifiers: 10.1016/j.jeca.2017.06.001
Appears in Collections:Department of Economics

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