Property Estate Modelling and Forecasting 2 pptx
Real Estate Modelling and Forecasting Hardcover_14 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
⎞
⎟
⎟
⎠...
Real Estate Modelling and Forecasting By Chris Brooks_6 pptx
... 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...
Real Estate Modelling and Forecasting by Chris Brooks and Sotiris Tsolacos_12 pptx
... 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
...
Property Estate Modelling and Forecasting_2 pptx
... +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...
Property Estate Modelling and Forecasting_7 pptx
... (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...
Real Estate Modelling and Forecasting Hardcover_1 potx
... 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...
Real Estate Modelling and Forecasting Hardcover_3 doc
... 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...
Real Estate Modelling and Forecasting Hardcover_4 pdf
... 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...
Real Estate Modelling and Forecasting Hardcover_7 pot
... %)
(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...
Real Estate Modelling and Forecasting Hardcover_8 potx
... 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...
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