A comparative analysis of three macro price forecasting models

Abstract

This paper examines the relative performance of three different systems of forecasting movements in macro building prices. The three systems analysed are (1) the Building Cost Information Service system, (2) the Davis, Langdon & Everest system, and (3) Akintoye and Skitmore's reduced-form simultaneous equation. A battery of accuracy measures are used to compare the forecasts published by the Building Cost Information Service and Davis, Langdon & Everest systems and simulated out-sample forecasts made by the Akintoye and Skitmore system. The results indicate that, during the three year period commencing with the first quarter 1988, the Akintoye and Skitmore system gives the most accurate forecasts for a zero to three quarters forecast horizon and the Building Cost Information Service system gives the most accurate forecasts for a four to eight quarters forecast horizon.