Real Estate Modelling and Forecasting Hardcover 4 pdf

... of significance and confidence interval approaches, test the hypothesis that β = 1 (that is, an exactly proportionate impact of 82 Real Estate Modelling and Forecasting 8 6 4 2 0 0 Real rents (yoy ... +3.27EFBSg t (4. 10) The coefficients ˆα and ˆ β are computed based on the formulae (4. 4) and (4. 5) – that is, ˆ β =  x t y t − T ¯ x ¯ y  x 2 t − T ¯ x 2 = 41 5. 64 − 6....

Ngày tải lên: 20/06/2014, 20:20

... observations on y by ten! 1 24 Real Estate Modelling and Forecasting Trying many variables in a regression without basing the selection of the candidate variables on a real estate or economic theory ... =  u t g t (4A.33) From (4A.15), the intercept variance would be written var( ˆα) = E   u t g t  2 =  g 2 t E  u 2 t  = s 2  g 2 t (4A. 34) Writing (4A. 34) out in full...

Ngày tải lên: 21/06/2014, 00:20

... autocor- relation in our example above. 246 Real Estate Modelling and Forecasting 10 9 8 7 6 (%) 5 4 3 2 1 0 1Q78 1Q80 1Q82 1Q 84 1Q86 1Q88 1Q90 1Q92 1Q 94 1Q96 1Q98 1Q00 1Q02 1Q 04 1Q06 Figure 8.8 Cap rates ... autocorrelation function. 240 Real Estate Modelling and Forecasting 1 0.9 0.8 0.7 0.6 0.5 0 .4 0.3 0.2 0.1 0 acf and pacf lag,s 12 345 678910 acf pacf Fi...

Ngày tải lên: 21/06/2014, 00:20

... econometric model 4 1 .4 Model building in real estate 5 1.5 What do we model and forecast in real estate? 6 1.6 Model categorisation for real estate forecasting 8 1.7 Why real estate forecasting? ... techniques to real data and problems in real estate. 2 Real Estate Modelling and Forecasting 1.1 Motivation for this book The complexity of the real e...

Ngày tải lên: 20/06/2014, 20:20

... −0.1 19 94 3 .4 2.0 −0.7 2.0 1995 −0.7 −2.0 0.8 2.1 1996 −2.5 7.3 2.6 2.6 1997 5.3 7.1 3 .4 4.7 1998 6.2 10.1 4. 0 5 .4 1999 10 .4 9.5 4. 9 5.6 2000 11.1 11.7 5.3 5.7 2001 11.3 5 .4 5.8 7.1 2002 4. 0 5.6 ... have zero mean and unit variance by subtracting its mean and dividing by its standard deviation. 54 Real Estate Modelling and Forecasting coefficient, is often den...

Ngày tải lên: 20/06/2014, 20:20

... e.g., if data for 1980Q1 to 2008Q4 are available, and the model is estimated over 1981Q1 to 2008Q4, the backcast could be 178 Real Estate Modelling and Forecasting (4) Double log: ln(y t ) = β 1 + ... plausible; ● be consistent with underlying real estate theory, including satisfying any relevant parameter restrictions; 172 Real Estate Modelling and Forecasting is no...

Ngày tải lên: 20/06/2014, 20:20

... course of the previous year; 2 34 Real Estate Modelling and Forecasting so that the roots are z = 1,z = 2/3 and z = 2. Only one of these lies out- side the unit circle, and hence the process for y t described ... distributed (the Bera–Jarque test) and the form of the equation with the RESET test. Normality test: BJ = 33  0.15 2 6 + (3 .42 − 3) 2 24  = 0.37 222 Real Est...

Ngày tải lên: 20/06/2014, 20:20

... forecast Forecast period 1Q07–4Q07 4Q06 5 .47 5 .47 1Q07 5.25 5 .42 −0.053 2Q07 5.25 5 .44 0.021 3Q07 5.07 5.38 −0.061 4Q07 5.28 5. 34 −0.037 Forecast period 1Q06–4Q06 4Q05 5.96 5.96 1Q06 5.89 5.95 ... in real estate In the real estate literature, ARMA models are used mainly for short-term forecasting and to provide a benchmark by which to judge structural models 2 64 Real E...

Ngày tải lên: 20/06/2014, 20:20

... the non-stationarity: the random walk model with drift, y t = µ + y t−1 + u t (12.1) 376 Real Estate Modelling and Forecasting 30 25 20 15 10 5 0 –5 1 40 118 157 2 74 313 352 391 43 0 46 979 196 235 Figure ... 2007 ARPRET t SPY t 10Y t AAA t Constant 0. 044 2 −0. 940 5 0.0955 −0.3128 ARPRET t−1 0.0552 0.2721 −0.205 −0.3119 ARPRET t−2 0.0203 0.1037 −0.2305 −0.1853 SPY t−1 0.0...

Ngày tải lên: 20/06/2014, 20:20

... −1.78 EU t−3 0.13 0.13 0.12 1.77 1. 84 1.68 Critical 5% −1. 94 −2.88 −3 .43 −1. 94 −2.88 −3 .43 41 6 Real Estate Modelling and Forecasting In this book, we have presented the conventional and most commonly used ... = ⎛ ⎜ ⎜ ⎝ π 11 π 12 π 13 π 14 π 21 π 22 π 23 π 24 π 31 π 32 π 33 π 34 π 41 π 42 π 43 π 44 ⎞ ⎟ ⎟ ⎠ (12.69) If r = 1, so that there is one cointegratin...

Ngày tải lên: 20/06/2014, 20:20