Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos 6 potx

... correction and we would divide by N rather than N − 1. 68 Real Estate Modelling and Forecasting 1,200 1,000 800 60 0 400 (a) Index of US income returns (c) All-property risk premium (b) Index of real ... line, y = α + βx (4.1) Real estate analysis: statistical tools 69 25 20 15 10 5 0 –5 –10 –15 47 931 139 185 231 277 323 369 415 461 507 558 599 64 5 69 1 737 783 829...

Ngày tải lên: 21/06/2014, 07:20

... proportionate impact of 82 Real Estate Modelling and Forecasting 8 6 4 2 0 0 Real rents (yoy %) Employment in FBS (yoy %) 10 20 30 −2 −4 −30 −20 −10 Figure 4 .6 Scatter plot of rent and employment growth relationship ... MacGregor and White, 2002). Employment in business and finance is a proxy for business conditions among firms occupying office space and their demand for...

Ngày tải lên: 21/06/2014, 07:20

... (1984–20 06) : ˆ RRg t =−17 .68 + 2.45EFBSg t + 2.71GDPg t + 0.79OFBSg t (5.48) (6. 35) (3. 76) (1.92) (0.87) where OFBSg is the annual percentage growth in OFBS,R 2 = 0. 76, adj. R 2 = 0.72, URSS = 61 9. 46, ... regressors) = 4 and m (number of added variables) = 1. Restricted equation (1984–20 06) : ˆ RRg t =−17. 06 + 2.53EFBSg t + 3.58GDPg t (5.49) (6. 37) (3. 96) (3 .61 ) R 2 = 0.75...

Ngày tải lên: 21/06/2014, 07:20

... denoted by T 1 (even though it may come second). The test statistic is given by test statistic = RSS −RSS 1 RSS 1 × T 1 − k T 2 (6. 61) 190 Real Estate Modelling and Forecasting of data at hand, ... then be a standard F-test of the joint restriction H 0 : β 4 = 0 and β 5 = 0 and β 6 = 0, with (6. 58) and (6. 57) being the unrestricted and restricted regressions, respe...

Ngày tải lên: 21/06/2014, 07:20

... follows. Model A: F-test = 1383. 86 − (992.91 + 209.81) (992.91 + 209.81) × 26 − 6 3 = 1.00 Model B: F-test = 1 460 .02 − (904.87 + 289 .66 ) (904.87 + 289 .66 ) × 27 − 6 3 = 1. 56 Applications of regression ... 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  = 0.37 214 Real Estate Modelling and Fo...

Ngày tải lên: 21/06/2014, 07:20

... −18.01 − 26. 26 8.25 8.25 68 . 06 324. 36 689.59 −12.37 31.81 2004 −13.30 −21.73 8.43 8.43 71. 06 1 76. 89 472.19 −12.37 0. 86 2005 −3 .64 −13.24 9 .60 9 .60 92. 16 13.25 175.30 −12.37 76. 21 20 06 −4.24 4.10 ... 1982–2007 2003 6. 81 −3.13 × 6. 3 + 4.72 × 0.0 56 =− 26. 26 6. 39 − 2.19 × 6. 3 + 4.55 × 0.0 56 =−19.93 2004 6. 81 −3.13 × 5.7 + 4.72 × 0 .61 8 =−21.73 6. 39 − 2.19 × 5....

Ngày tải lên: 21/06/2014, 07:20

... 2.59 3 .6 2.3 221 150 141 50 1Q 06 1.71 2.75 2.9 1.8 240 164 93 64 2Q 06 2.35 2.89 2.7 1.4 69 169 26 90 3Q 06 3.02 2.84 2.4 1.2 144 170 82 122 4Q 06 3 .62 2 .64 2.3 1.1 −17 167 −40 155 1Q07 12. 36 2.23 ... 21, 366 64 20 ,69 4 151 0.45 3Q05 2. 46 85 ,62 5 90, 564 2.7 21,415 49 20,832 138 0.32 4Q05 2.59 87,844 90,488 2.3 21, 465 50 20,982 150 0.44 1Q 06 2.75 90, 261 90,441 1.8 21,5...

Ngày tải lên: 21/06/2014, 07:20

... −0.1853 SPY t−1 0.013 −0.0 264 −0.3431 −0. 264 6 SPY t−2 −0.0251 0.0744 0.4375 0.2599 10Y t−1 0.0492 −0. 069 6 −0.2545 −0. 168 2 10Y t−2 −0.0072 0.0035 −0. 062 6 0.1374 AAA t−1 −0. 060 9 0.1145 0.1208 0.00 86 AAA t−2 −0.0019 ... VAR forecasting methodology outlined in box 11.1). Assuming 394 Real Estate Modelling and Forecasting 50 40 30 20 10 0 2Q90 2Q93 2Q 96 2Q99 2Q02 2...

Ngày tải lên: 21/06/2014, 07:20

... 114.2 65 0 .6 98.2 7 .6 8 06. 6 84.7 74.2 2001 68 5 113.5 60 3.5 97 .6 7.0 748.2 78.1 68 .8 2002 60 0 114.0 5 26. 3 98.0 6. 1 65 2.7 68 .4 60 .0 2003 537 114.8 467 .8 98.7 5.4 580.0 61 .2 53.4 2004 5 56 1 16. 3 478.1 ... 104.7 96. 7 19 96 933 110.5 844.3 95.0 9.8 1,0 46. 9 1 06. 4 96. 3 1997 878 112.7 779.1 96. 9 9.1 965 .9 100.1 88.9 1998 727 111.0 65 5.0 95.5 7 .6 811.5 82....

Ngày tải lên: 21/06/2014, 00:20

... variate can be scaled to have zero mean and unit variance by subtracting its mean and dividing by its standard deviation. 74 Real Estate Modelling and Forecasting 4.3 Regression versus correlation All ... interval 68 Real Estate Modelling and Forecasting 1,200 1,000 800 60 0 400 (a) Index of US income returns (c) All-property risk premium (b) Index of real offi...

Ngày tải lên: 21/06/2014, 00:20