2nd International Conference on Economics, Finance and

Abstract of Economics, Finance and Management Outlooks, 2014, Vol.2
DOI: 10.18488/journal.1003/2014.2/1003.2
2nd International Conference on Economics, Finance
and Management Outlooks
20-21 December, 2014
Pearl International Hotel, Kuala Lumpur, Malaysia
Conference Website: www.pakrdw.com
nd
Paper ID: 226/14/2 ICEFMO
Long Range Dependency and Forecasting of Housing Price
Index and Mortgage Market Rate: Evidence of Subprime
Crisis
Nadhem Selmi1 --- Nejib Hachicha2
1
Département de Méthodes Quantitatives, Faculté des Sciencesm Economiques et de Gestion Sfax Tunisie
2
Département de Méthodes Quantitatives, Faculté des Sciences, Economiques et de Gestion, Sfax –
Tunisie
Abstract
In this paper, we examine and forecast the House Price Index (HPI) and mortgage
market rate in terms of the description of the subprime crisis. We use a semiparametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005) in a
long memory parameter time series. Empirical investigation of HPI and mortgage
market rate shows that these variables are more persistent when the d estimates are
found on the Shimotsu method than on the one of Krunch (1987). The estimating
forecast values are more realistic and they strongly reflect the present US economy
actuality in the two series as indicated by the forecast evaluation topics.
Keywords: Subprime crisis, Whittle, Prediction error.
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