Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos 11 ppt

... vacancy or measures of demand) have confined empirical investigations to standard regression models, which make lesser demands on the data 72 50 Real Estate Modelling and Forecasting Table 3.1 Summary ... correction and we would divide by N rather than N − 1. 68 Real Estate Modelling and Forecasting 1,200 1,000 800 600 400 (a) Index of US income returns (c) All-property...

Ngày tải lên: 21/06/2014, 07:20

... ˆα and ˆ β, to find the values of α and β that minimise the residual sum of squares to give the line that is closest 92 Real Estate Modelling and Forecasting x y 0 Figure 4 .11 Effect on the standard errors ... MacGregor and White, 2002). Employment in business and finance is a proxy for business conditions among firms occupying office space and their demand for office 88 Rea...

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... in particular by means of the tests we discuss in the next chapter and the evaluation of forecast performance in later chapters. On the basis of the 118 Real Estate Modelling and Forecasting y t x t Figure ... statistic. These tests can be constructed in several ways, and the precise approach to constructing the 114 Real Estate Modelling and Forecasting If the test...

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... 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, ... of the RESET, heteroscedasticity and autocorrelation tests. Equally, a small number of large outliers could cause non-normality and 172 Real Estate Modelling and Forecast...

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... 12 and T − k = 20 at the 5 per cent level of significance is F 12,20 = 2.28.The 212 Real Estate Modelling and Forecasting As a result, the equilibrium real rent varies through time with the real risk-free ... office tenant demand, the ratio of government employment over the sum of the financial, insurance and real estate and service office tenants and the level of occupi...

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... the United Kingdom and Australia and assess the improvement over 292 Real Estate Modelling and Forecasting employment at lags 1 and 3), new construction lagged five periods and the longer leading ... employment and 274 Real Estate Modelling and Forecasting of UK office construction efficiently incorporates all available information, including that contained in the p...

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... returns. 11. 10.2 Methodology Brooks and Tsolacos (1999) employ a reduced-form VAR, and hence each equation can be estimated separately using OLS. We noted earlier that, 340 Real Estate Modelling and Forecasting 11. 3 ... 4 Months 56 0.00 −0.01 −0.02 0.05 0.04 0.03 0.02 0.01 0.00 −0.01 −0.02 Figure 11. 1 Impulse responses for REIT returns 11. 10 A VAR for the interaction...

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... give the same conclusions, and suffer from most of the same important limitations, as the ADF tests. 374 Real Estate Modelling and Forecasting Although trend-stationary and difference-stationary ... β 1 x t + u 1t (12.51) 386 Real Estate Modelling and Forecasting the equation cancels. Model (12.45) has no long-run solution and it therefore has nothing to say about wh...

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... measurement error and revi- sions (e.g. absorption data are subject to stock and vacancy rate revisions 42 Real Estate Modelling and Forecasting Box 3.1 Time series data in real estate Series Frequency Rents ... 933 110 .5 844.3 95.0 9.8 1,046.9 106.4 96.3 1997 878 112 .7 779.1 96.9 9.1 965.9 100.1 88.9 1998 727 111 .0 655.0 95.5 7.6 811. 5 82.9 74.7 1999 660 111 .9 589....

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 ... variables Regressand Regressors Effect variable Causal variables Explained variable Explanatory variables Left-hand side (LHS) variable Right-hand side (RHS) variables 52...

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