Chris Brooks Real Estate Modelling and Forecasting 7 docx

... in which 164 Real Estate Modelling and Forecasting one: the empirical model containing many lags or differenced terms is difficult to interpret and may not test the original real estate theory ... 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....

Ngày tải lên: 21/06/2014, 09:20

... −18.01 −25.21 7. 20 7. 20 51.89 324.36 635 .72 −12. 37 31.81 2004 −13.30 −30. 07 16 .77 16 .77 281. 07 176 .89 903.91 −12. 37 0.86 2005 −3.64 −29.22 25.58 25.58 654.22 13.25 853.68 −12. 37 76.21 2006 −4.24 ... −12. 37 31.81 2004 −13.30 −13.81 0.51 0.51 0.26 176 .89 190.69 −12. 37 0.86 2005 −3.64 −12.46 8.82 8.82 77 . 87 13.25 155.35 −12. 37 76.21 2006 −4.24 −4.65 0.41 0.41 0. 17...

Ngày tải lên: 21/06/2014, 09:20

... 8 075 72 676 16356 47 AR(2) 808 079 8 173 7 574 71 Long-termmean4039403834333132 (b) CB Hillier Parker rents series VAR(1) 76 66 676 9494341 47 AR(2) 78 808 179 7 378 777 4 Long-termmean4241424034353334 Note: The random walk in ... −0.06 76 ,044 90,481 6.2 22,030 101 20,662 100 1,9 47 791 .7 1Q 07 −0.01 76 ,033 90,485 6.2 22,130 100 20 ,76 2 100 1,952 75 2.9 2Q 07 0.01 76 ,043 90,...

Ngày tải lên: 21/06/2014, 09:20

... 0.03 27 0.2126 0.0000 DIVY 0.5025 0.0000 0.6212 0.42 17 0.5654 0.4033 SPREAD 0. 277 9 0.1328 0.0000 0.4 372 0.6563 0.00 07 UNEM 0.3410 0.3026 0.1151 0.0000 0. 075 8 0. 276 5 UNINFL 0.30 57 0.5146 0.3420 0. 479 3 ... (−1.69) (−1 .72 ) SPY t−2 0.01 −0.03 −0.35 −0. 27 (0 .73 ) (−0.51) (−2 .78 ) (−2 .79 ) 10Y t−1 −0.03 0.08 0.44 0.26 (−1.40) (1.50) (3.55) (2 .76 ) 10Y t−2 0.05 −0. 07 −0....

Ngày tải lên: 21/06/2014, 09:20

... product moment matrices and not from  itself. Cointegration in real estate markets 411 115 Actual Forecast 114 113 112 111 110 109 108 1 07 Jan. 07 Feb. 07 Mar. 07 Apr. 07 May. 07 Jun. 07 Jul. 07 Figure 12.12 Ex ... (vii) RENT GDP ECT GDP RENT RENT(qoq %) 1Q 07 85.5 156.4 0.8 0.83 2Q 07 87. 5 1 57. 2 0.8 2.34 3Q 07 89.1 158.2 1.0 1.83 4Q 07 89 .7 159.2 −2.95 1.0 0. 67 1...

Ngày tải lên: 21/06/2014, 09:20

... evidence from real estate investment trust data, 1 972 –1991, Journal of Real Estate Research 9(3), 277 – 87. Real estate modelling/ forecasting: the way forward 435 an increasingly high frequency, and data ... 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...

Ngày tải lên: 21/06/2014, 09:20

... from real estate investment trust data, 1 972 –1991, Journal of Real Estate Research 9(3), 277 – 87. 452 Index price discovery 215, 4 37 principal components analysis (PCA) 174 probabilities 54–5, 74 , ... value 77 –80, 84 fixed effects 436 forecasting accuracy 258, 268 75 adequacy test 268, 275 adjustment 415–18, 422–33 ARMA models 250–1 autoregressive process 296 7 bias 270...

Ngày tải lên: 20/06/2014, 20:20

... 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 5 07 558 599 645 691 73 7 78 3 829 875 921 9 67 1013 Figure 3.9 Sample ... 2.6 19 97 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 2003 2.6 5 .7 9.6 8.0 2004 −...

Ngày tải lên: 21/06/2014, 07:20

... it by ˆ β and adding ˆα will 84 Real Estate Modelling and Forecasting 20 (yoy %) Actual Fitted (%) 15 10 5 0 1 979 1981 1983 1985 19 87 1989 1991 1993 1995 19 97 1999 2001 2003 2005 1 979 1981 1983 1985 19 87 1989 1991 1993 1995 19 97 1999 2001 2003 2005 −5 −10 −15 −20 (a) ... MacGregor and White, 2002). Employment in business and finance is a proxy for business condition...

Ngày tải lên: 21/06/2014, 07:20

... (1984–2006): ˆ RRg t =− 17. 68 + 2.45EFBSg t + 2 .71 GDPg t + 0 .79 OFBSg 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 = 619.46, ... 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 is H 0...

Ngày tải lên: 21/06/2014, 07:20