Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/451
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 Regions Granger-causality 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. |
URI: | https://doi.org/10.1016/j.jeca.2017.06.001 https://ruomo.lib.uom.gr/handle/7000/451 |
ISSN: | 1703-4949 |
Other Identifiers: | 10.1016/j.jeca.2017.06.001 |
Appears in Collections: | Department of Economics |
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JEA_2017_3_Revision 1_V0.pdf | 269,96 kB | Adobe PDF | View/Open |
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