Chris Brooks Real Estate Modelling and Forecasting 5 docx

... hypothesis in favour of 170 Real Estate Modelling and Forecasting 25 20 15 10 (Regression residuals) 5 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 0 5 −10 − 15 Figure 6.10 Regression residuals ... 158 Real Estate Modelling and Forecasting autocorrelation, therefore, would be to use appropriately modified standard error estimates. While White’s correc...

Ngày tải lên: 21/06/2014, 09:20

... −4.02 4.02 16. 15 17.98 0. 05 −12.37 66.10 2007 3.48 2.00 1.48 1.48 2.18 12.11 4.02 −12.37 251 .22 Sum of column 5. 62 15. 55 77.80 54 4 .59 641.79 426.21 Forecast periods 5 5 5 5 5 5 Average of column ... 18.88 356 .39 17.98 53 4. 45 −12.37 66.10 2007 3.48 −17 .56 21.04 21.04 442 .55 12.11 308.24 −12.37 251 .22 Sum of column 89.46 89.46 1786.12 54 4 .59 3236.01 426.21 Forecast...

Ngày tải lên: 21/06/2014, 09:20

... 1,017 .5 2Q 05 −0.40 76,896 90,499 6.3 21,410 110 20, 055 106 1,9 15 1,0 15. 5 3Q 05 −0.31 76, 656 90 ,56 4 6.3 21 ,51 7 107 20, 158 103 1,920 984.9 4Q 05 −0.26 76, 453 90,488 6.3 21,622 1 05 20,260 102 1,9 25 954 .5 1Q06 ... ahead 123 456 7 8 (a) LaSalle Investment Management rents series VAR(1) −1.141 −2.844 −3.908 −4.729 5. 407 5. 912 −6. 158 −6 .58 6 VAR(2) −0.799 −1 .55 6 −2. 652...

Ngày tải lên: 21/06/2014, 09:20

... 247 1.47 1Q 05 2.02 81,7 05 90 ,56 3 3.6 21,302 90 20 ,54 3 1 85 0.81 2Q 05 2.28 83 ,56 8 90,499 3.1 21,366 64 20,694 151 0. 45 3Q 05 2.46 85, 6 25 90 ,56 4 2.7 21,4 15 49 20,832 138 0.32 4Q 05 2 .59 87,844 90,488 ... 100.0 51 .0 2 0.2 0.8 0.2 35. 1 0.2 12.3 0.4 1.4 1.6 2.9 97 .5 47 .5 3 3.8 2 .5 0.4 29.4 0.2 17.8 1.0 1 .5 2.3 3.0 92.3 45. 8 4 3.7 2.1 5. 3 22.3 1.4 18 .5 1.6 1...

Ngày tải lên: 21/06/2014, 09:20

... RENT(qoq %) 1Q07 85. 5 156 .4 0.8 0.83 2Q07 87 .5 157 .2 0.8 2.34 3Q07 89.1 158 .2 1.0 1.83 4Q07 89.7 159 .2 −2. 95 1.0 0.67 1Q08 90.1 160.0 −2.98 0.8 0.440 0.49 2Q08 90.3 160.8 −3.34 0.8 0.1 15 0.13 3Q08 ... GDP growth. 408 Real Estate Modelling and Forecasting Table 12.8 Johansen tests for cointegration between Asia, the United States and Europe λ max Critical 5% λ trace Cri...

Ngày tải lên: 21/06/2014, 09:20

... 432 5 seasonal dummies 255 –7 seasonality 162, 2 45, 251 –7 securitised real estate 258 –9, 282, 344 5, 3 85 shocks 239, 352 –6, 361, 369–73, 378 sign predictions 288–9, 299, 301 significance level 59 –64, ... Press. Brooks, C., Burke, S. P., and Persand, G. (2001) Benchmarks and the accuracy of GARCH model estimation, International Journal of Forecasting 17(1), 45 56 . 441 428...

Ngày tải lên: 21/06/2014, 09:20

... 432 5 seasonal dummies 255 –7 seasonality 162, 2 45, 251 –7 securitised real estate 258 –9, 282, 344 5, 3 85 shocks 239, 352 –6, 361, 369–73, 378 sign predictions 288–9, 299, 301 significance level 59 –64, ... 311, 339, 352 explanatory 73, 75, 96, 109–12 irrelevant 130–2, 188, 242 macroeconomic 316, 357 omission of 129–30, 152 , 161, 219 ordering of 354 , 360 random 52 , 54 5, 89 sl...

Ngày tải lên: 20/06/2014, 20:20

... straight line, y = α + βx (4.1) Real estate analysis: statistical tools 69 25 20 15 10 5 0 5 –10 – 15 47 931 139 1 85 231 277 323 369 4 15 461 50 7 55 8 59 9 6 45 691 737 783 829 8 75 921 967 1013 Figure 3.9 Sample ... 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 6.2 7.3 200...

Ngày tải lên: 21/06/2014, 07:20

... %) Actual Fitted (%) 15 10 5 0 1979 1981 1983 19 85 1987 1989 1991 1993 19 95 1997 1999 2001 2003 20 05 1979 1981 1983 19 85 1987 1989 1991 1993 19 95 1997 1999 2001 2003 20 05 5 −10 − 15 −20 (a) Actual and fitted values for RR (b) Residuals − 25 20 15 10 5 0 5 −10 − 15 −20 − 25 Figure 4.8 Actual and fitted values and residuals for ... by ˆ β and adding ˆα will 84...

Ngày tải lên: 21/06/2014, 07:20

... following statistics were obtained: R 2 = 0 .58 , adj. R 2 = 0 .55 , RRSS = 1,078.26. Restricted equation: ˆ RRg t =−9 .54 + 3.25EFBSg t (5. 52) (1.80) (5. 18) R 2 = 0 .51 , adj. R 2 = 0.49, RRSS = 1,268.38. ... line Example 5. 2 Measuring goodness of fit We now estimate the R 2 for equation (4.28) applying formula (5. 27). RSS = 1214.20, TSS = 255 0 .59 . R 2 = 1 − RSS TSS = 1 − 1214.20 25...

Ngày tải lên: 21/06/2014, 07:20