An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa

► This paper finds overwhelming evidence of non-linearity in five segments of the South African housing market, covering the period of 1970:Q2 to 2009:Q3. ► The five segments are: large-middle, medium-middle, small-middle, luxury and affordable. ► Further support for non-linearity is provided by comparing forecasts of the non-linear time series model with those of the classical and Bayesian versions of the linear autoregressive (AR).