Prediction of Tender Price Index Directional Changes

Ng, S. Thomas, Cheung, Sai On, Lam, Ka Chi, Skitmore, Martin, & Wong, Lai Yi (2000) Prediction of Tender Price Index Directional Changes. Construction Management and Economics, 18(7), pp. 843-852.

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A Multivariate Discriminant Analysis is described, aimed at predicting the direction of changes in the Hong Kong tender price index by utilising the patterns of change in eight leading economic indicators. Two discriminant functions are derived which distinguish between ‘upward’, ‘constant’ and ‘downward’ index trends with a high degree of success. The predictive power of the Discriminant Model is tested by means of a simulated ex post holdout sample of eight index values. By comparing the group centroids, seven of the cases are correctly classified. The hit rate of the ‘upward’ and ‘constant’ groups is 100%, while the ‘downward’ group has a hit rate of 75% suggesting the ‘downward’ trend to be more difficult movement to predict. Despite this, the overall predictive results are considerably better than those that would have occurred by chance alone.

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ID Code: 4147
Item Type: Journal Article
Refereed: Yes
Keywords: Tender price index, economic indicators, trend, Multivariate Discriminant Analysis, forecasts
DOI: 10.1080/014461900433122
ISSN: 1466-433X
Subjects: Australian and New Zealand Standard Research Classification > BUILT ENVIRONMENT AND DESIGN (120000) > BUILDING (120200)
Divisions: Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Copyright Owner: Copyright 2000 Taylor & Francis
Copyright Statement: First published in Construction Management and Economics 18(7):pp. 843-852.
Deposited On: 20 Jul 2006 00:00
Last Modified: 10 Aug 2011 13:35

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