Property Estate Modelling and Forecasting 2 pptx

... αβ  = ⎛ ⎜ ⎜ ⎝ α 11 α 12 α 13 α 14 ⎞ ⎟ ⎟ ⎠  β 11 β 12 β 13 β 14  ( 12. 70) If r = 2, so that there are two cointegrating vectors, then α and β will be (4 × 2) :  = αβ  = ⎛ ⎜ ⎜ ⎝ α 11 α 21 α 12 α 22 α 13 α 23 α 14 α 24 ⎞ ⎟ ⎟ ⎠  β 11 β 12 β 13 β 14 β 21 β 22 β 23 β 24  ( 12. 71) and ... αβ  = ⎛ ⎜ ⎜ ⎝ α 11 α 21 α 12 α 22 α 13 α 23 α 14 α 24 ⎞ ⎟ ⎟ ⎠...

Ngày tải lên: 20/06/2014, 20:20

... 0.09 RESID t 2 – 0 .20 – 0.17 R 2 0.009 0.0 62 0.009 0.035 T 25 24 25 25 r 121 T −r 24 22 Computed test stat. χ 2 (r) χ 2 (1) = 0 .22 χ 2 (2) = 1.36 χ 2 (1) = 0 .23 χ 2 (2) = 0.81 Critical χ 2 (r) χ 2 (1) ... (0.40) VAC t−1 −3.13 2. 5 (0. 02) – – VAC t –– 2. 06 2. 9 (0.01) OFSg t 3.71 3 .2 (0.01) 3.83 2. 6 (0. 02) Adjusted R 2 0.53 0.57 DW statistic 1.94 1.91...

Ngày tải lên: 21/06/2014, 00:20

... forecasting methodology outlined in box 11.1). Assuming 394 Real Estate Modelling and Forecasting 50 40 30 20 10 0 2Q90 2Q93 2Q96 2Q99 2Q 02 2Q05 4Q91 4Q94 4Q97 4Q00 4Q03 4Q06 2Q90 2Q93 2Q96 2Q99 2Q 02 2Q05 4Q91 4Q94 4Q97 4Q00 4Q03 4Q06 −10 20 −30 (a) ... −0.0 025 −0.0036 −0.0040 −0.0058 ARPRET t−1 0.0548 −0.9 120 0.0985 −0.3003 ARPRET t 2 0.0543 0 .28 25 −0 .21 92 −0.3176 ...

Ngày tải lên: 21/06/2014, 07:20

... +3 .27 × 3.85 = 2. 96 R ˆ Rg 80 =−9. 62 +3 .27 × EFBSg 80 =−9. 62 +3 .27 × 3.15 = 0.68 . . . . . . . . . (4.11) R ˆ Rg 05 =−9. 62 +3 .27 × EFBSg 05 =−9. 62 +3 .27 × 2. 08 = 2. 83 The plot of the actual and ... and White, 20 02) . Employment in business and finance is a proxy for business conditions among firms occupying office space and their demand for office 98 Real Estate Mod...

Ngày tải lên: 22/06/2014, 17:20

... (8A .25 ) The autocorrelation at lag 1 is given by τ 1 = γ 1 γ 0 = (θ 1 + θ 1 θ 2 )σ 2  1 + θ 2 1 + θ 2 2  σ 2 = (θ 1 + θ 1 θ 2 )  1 + θ 2 1 + θ 2 2  (8A .26 ) 25 6 Real Estate Modelling and Forecasting Table ... Modelling and Forecasting will have zero autocovariances (except at lag 0). Therefore var(y t ) = γ 0 = E  u 2 t + θ 2 1 u 2 t−1 + θ 2 2 u...

Ngày tải lên: 22/06/2014, 18:20

... suppliers 20 2 Mathematical building blocks for real estate analysis 21 2. 1 Introduction 21 2. 2 Constructing price index numbers 21 2. 3 Real versus nominal series and deflating nominal series 29 2. 4 ... real estate forecasting 8 1.7 Why real estate forecasting? 9 1.8 Econometrics in real estate, finance and economics: similarities and differences 12 1.9 Econometr...

Ngày tải lên: 20/06/2014, 20:20

... 2. 5 −0.1 1994 3.4 2. 0 −0.7 2. 0 1995 −0.7 2. 0 0.8 2. 1 1996 2. 5 7.3 2. 6 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 20 00 11.1 11.7 5.3 5.7 20 01 11.3 5.4 5.8 7.1 20 02 ... Tokyo 20 0 120 100 80 60 60 40 20 0 20 −40 −60 40 20 0 1Q93 1971 1974 1977 1980 1983 1986 1989 19 92 1995 1998 20 01 20 04 20 07 1Q96 1Q99 1Q 02 3Q03 3Q06 1Q05 3Q94 3...

Ngày tải lên: 20/06/2014, 20:20

... s 2 x 2 2 +···+s 2 x 2 T  (4A .28 ) which can also be written var( ˆ β) = s 2   x 2 t  2  x 2 1 + x 2 2 +···+x 2 T  = s 2  x 2 t   x 2 t  2 (4A .29 ) 94 Real Estate Modelling and Forecasting been. ... operator of (4A .26 ), var( ˆ β) = 1   x 2 t  2 E  u 2 1 x 2 1 + u 2 2 x 2 2 +···+u 2 T x 2 T + cross-products  (4A .27 ) where...

Ngày tải lên: 20/06/2014, 20:20

... %) (euros) (index) (%) (%)(%) (%) 0 1980 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 20 01 20 03 20 05 20 07 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 20 01 20 03 20 05 20 07 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 20 01 20 03 20 05 20 07 1983 1986 1989 19 92 1995 1998 20 01 20 04 20 07 1980 1983 1986 1989 19 92 1995 1998 20 01 20 04 20 07 1980 1983...

Ngày tải lên: 20/06/2014, 20:20

... 0.09 RESID t 2 – 0 .20 – 0.17 R 2 0.009 0.0 62 0.009 0.035 T 25 24 25 25 r 121 T −r 24 22 Computed test stat. χ 2 (r) χ 2 (1) = 0 .22 χ 2 (2) = 1.36 χ 2 (1) = 0 .23 χ 2 (2) = 0.81 Critical χ 2 (r) χ 2 (1) ... OFSg t 69.41 OFSg t 2 −19.35 OFSg t 2 −15 .21 VAC t−1 × OFSg t 22 .34 VAC t × OFSg t −1.73 R 2 0.164 0 .20 7 T 26 27 r 55 Computed χ 2 (r) χ 2...

Ngày tải lên: 20/06/2014, 20:20