Property Estate Modelling and Forecasting 4 pdf

... +3.27EFBSg t (4. 10) The coefficients ˆα and ˆ β are computed based on the formulae (4. 4) and (4. 5) – that is, ˆ β =  x t y t − T ¯ x ¯ y  x 2 t − T ¯ x 2 = 41 5. 64 − 6.55 363.60 − 238.37 = 3.27 and ˆα = 0.08 −3.27 ... to write (4A.5) as T ¯ y − T ˆα −T ˆ β ¯ x = 0 (4A.6) or ¯ y − ˆα − ˆ β ¯ x = 0 (4A.7) From (4A.3),  t x t (y t − ˆα − ˆ βx t ) = 0 (4A.8) From (4A.7), ˆα = ¯ y −...

Ngày tải lên: 20/06/2014, 20:20

... =  u t g t (4A.33) From (4A.15), the intercept variance would be written var( ˆα) = E   u t g t  2 =  g 2 t E  u 2 t  = s 2  g 2 t (4A. 34) Writing (4A. 34) out in full for g 2 t and expanding ... observations on y by ten! 1 24 Real Estate Modelling and Forecasting Trying many variables in a regression without basing the selection of the candidate variables on a real esta...

Ngày tải lên: 21/06/2014, 00:20

... −1.98 −1. 84 4,2 −2.16 −1.99 4, 3 −2.17 −1.98 4, 4 −2.15 −1.93 49 .42 , although it is still significant at the 1 per cent level (p = 0.00). We also observe a seasonal pattern at lags 4, 8 and 12, when ... 1Q07–4Q07 4Q06 5 .47 5 .47 1Q07 5.25 5.37 −0.098 2Q07 5.25 5.63 0.253 3Q07 5.07 5.32 −0.308 4Q07 5.28 5.31 −0.0 04 Forecast period 1Q06–4Q06 4Q05 5.96 5.96 1Q06 5.89 5.85 −0.107 2Q0...

Ngày tải lên: 21/06/2014, 00:20

... the first and 142 Real Estate Modelling and Forecasting Unrestricted regression: ˆ u 2 t = 76.52 + 0.88EFBSg t − 21.18GDPg t − 3.79EFBSg 2 t − 0.38GDPg 2 t +7.14EFBSGMKg t (6.7) R 2 = 0. 24; T = ... much more explanatory power over and above the original regressors. 1 54 Real Estate Modelling and Forecasting the alternative of first-order serial correlation, and if it wer...

Ngày tải lên: 22/06/2014, 17:20

... 211, 323 4, 358 unexpected 344 , 360–2 information criteria 242 4 adjusted R 2 119–20 Akaike’s (AIC) 243 4 Hannan–Quinn (HQIC) 243 4 Schwartz’s Bayesian (SBIC) 243 4 in-sample forecasts 2 74 intercept ... availability will facilitate modelling in real estate mar- kets. Real estate series are becoming longer, the data are available at 43 4 43 8 Real Estate Modelling and For...

Ngày tải lên: 22/06/2014, 18:20

... estate 40 4 12.10 The Johansen approach: a case study 41 1 13 Real estate forecasting in practice 41 4 13.1 Reasons to intervene in forecasting and to use judgement 41 5 13.2 How do we intervene in and ... modelling and forecasting 43 4 References 44 1 Index 44 8 List of figures xi 6.11 Possible effect of an outlier on OLS estimation 170 6.12 Plot of a variable showin...

Ngày tải lên: 20/06/2014, 20:20

... −0.1 19 94 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 2000 11.1 11.7 5.3 5.7 2001 11.3 5 .4 5.8 7.1 2002 4. 0 5.6 ... have zero mean and unit variance by subtracting its mean and dividing by its standard deviation. 54 Real Estate Modelling and Forecasting coefficient, is often denot...

Ngày tải lên: 20/06/2014, 20:20

... e.g., if data for 1980Q1 to 2008Q4 are available, and the model is estimated over 1981Q1 to 2008Q4, the backcast could be 178 Real Estate Modelling and Forecasting (4) Double log: ln(y t ) = β 1 + ... value: ˆ RRg t =− 14. 41 + 2.68EFBSg t + 2.24GDPg t + 0.02FITTED 2 RRSS = 1,078.26; URSS = 1,001.73; T = 28; m = 1; and k = 4. TheF -statistic is 1078.26 − 1001.72 1001.72 × 28 − 4...

Ngày tải lên: 20/06/2014, 20:20

... Estate Modelling and Forecasting Table 7.6 White’s test for heteroscedasticity Model A Model B Constant 0 .44 Constant 63.30 VAC t−1 47 .70 VAC t −12.03 VAC t−1 2 −8.05 VAC t 2 0.53 OFSg t 84. 18 ... distributed (the Bera–Jarque test) and the form of the equation with the RESET test. Normality test: BJ = 33  0.15 2 6 + (3 .42 − 3) 2 24  = 0.37 222 Real Estate Modelling...

Ngày tải lên: 20/06/2014, 20:20

... forecast Forecast period 1Q07–4Q07 4Q06 5 .47 5 .47 1Q07 5.25 5 .42 −0.053 2Q07 5.25 5 .44 0.021 3Q07 5.07 5.38 −0.061 4Q07 5.28 5. 34 −0.037 Forecast period 1Q06–4Q06 4Q05 5.96 5.96 1Q06 5.89 5.95 ... real estate In the real estate literature, ARMA models are used mainly for short-term forecasting and to provide a benchmark by which to judge structural models 2 64 Real Estate M...

Ngày tải lên: 20/06/2014, 20:20