Chris Brooks Real Estate Modelling and Forecasting 6 pdf
Chris Brooks Real Estate Modelling and Forecasting_1 ppt
... with residual
166 Real Estate Modelling and Forecasting
We revisit equation (6. 37) and exclude the insignificant term GDPg
t−1
,
which results in equation (6. 38):
ˆ
RRg
t
=−15.02 +1 .64 EFBSg
t
+ 2.27GDPg
t
+ ... region in which
164 Real Estate Modelling and Forecasting
one: the empirical model containing many lags or differenced terms is
difficult to interpret and m...
Chris Brooks Real Estate Modelling and Forecasting_5 docx
... 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 × 5.7 + 4.55 × 0 .61 8 =− 16. 06
.
.
.
.
.
.
.
.
.
2007 ... −3.35 −7 .66 3.51 −1 .65 2 .66
3Q03 −5.24 −8.94 −3 .62 −7.54 3.70 −1 .62 2.30
4Q03 −4.79 −8.25 −3.55 −7.09 3. 46 −1.24 2.30
1Q04 −4.15 −7.13 −3.50 6. 52 2.98 −0 ....
Chris Brooks Real Estate Modelling and Forecasting_6 pdf
... 90,488 6. 3 21 ,62 2 105 20, 260 102 1,925 954.5
1Q 06 −0.21 76, 289 90,441 6. 3 21,725 103 20, 361 101 1,930 925.0
2Q 06 −0.15 76, 1 76 90,4 96 6.3
21,827 102 20, 461 100 1,9 36 883.2
3Q 06 −0.12 76, 0 86 90,3 96 6.2
21,929 ... 100 20, 863 101 1,957 713.7
3Q07 0.02 76, 062 90,300 6. 1 22,330 100 20, 963 101 1, 962 67 7.3
4Q07 0.01 76, 068 90,024 6. 1 22,430 100 21, 065 101 1, 96...
Chris Brooks Real Estate Modelling and Forecasting_7 docx
... 0.03 −2.19 6. 0 6. 7 3 56 174 159 118
2Q04 0 .69 −1.43 6. 0 6. 5 117 147 124 118
3Q04 0. 96 −0.97 5.7 6. 4 202 129 148 1 16
4Q04 0.78 −0 .69 5.7 6. 4 42 118 44 114
1Q05 0.23 −0.50 5.1 6. 3 1 86 111 62 111
2Q05 ... −0.40 4 .6 6.3 98 1 06 −9 110
3Q05 0.12 −0.31 4.0 6. 3 154 103 28 107
4Q05 0.87 −0. 26 3 .6 6.3 221 102 140 105
1Q 06 1.71 −0.21 2.9 6. 3 240 101 93 103
2Q 06 2....
Chris Brooks Real Estate Modelling and Forecasting_9 pptx
... −3.17 0.8 0 .64 0 0.71
4Q08 91.5 162 .4 −3.02 0.8 0 .62 5 0 .69
1Q09 91 .6 163 .2 −3.39 0.8 0.118 0.13
2Q09 91.8 164 .0 −3.72 0.8 0.151 0. 16
3Q09 92.0 164 .9 −4.02 0.9 0.180 0.20
4Q09 92.3 165 .7 0.8 0.371 ... 0.0209
(0.78)(2.11)(0.58)
ECT
t−1
−0.00 16 0.0027 −0.0 069
(−0.37)(1.04)(−3. 46)
AS
t−1
0.0832 0.02 16 0.0407
(1.02)(0. 46) (1.10)
AS
t−2
−0.0442 −0.0229 −0.0 162
(−0.54)(−0....
Chris Brooks Real Estate Modelling and Forecasting_10 pdf
... 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 Real Estate Modelling and Forecasting
this ... K., and Yang, H. (2005) Long-term co-memories and short-run adjustment: secu-
ritized real estate and stock markets, Journal of Real Estate Finan...
Real Estate Modelling and Forecasting Hardcover_4 pdf
... 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 ... modelled.
76 Real Estate Modelling and Forecasting
●
There are bound to be random outside influences on y that, again, cannot be
modelled. For exa...
Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos_2 pot
... 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 ... 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 an...
Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos_3 doc
... 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...
Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos_4 ppt
... (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...
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