Chris Brooks Real Estate Modelling and Forecasting 7 docx
Chris Brooks Real Estate Modelling and Forecasting_1 ppt
... 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....
Chris Brooks Real Estate Modelling and Forecasting_5 docx
... −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...
Chris Brooks Real Estate Modelling and Forecasting_6 pdf
... 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,...
Chris Brooks Real Estate Modelling and Forecasting_7 docx
... 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....
Chris Brooks Real Estate Modelling and Forecasting_9 pptx
... 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...
Chris Brooks Real Estate Modelling and Forecasting_10 pdf
... 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...
Real Estate Modelling and Forecasting Hardcover_15 docx
... 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...
Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos_2 pot
... 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 −...
Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos_3 doc
... 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...
Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos_4 ppt
... (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...