Property Estate Modelling and Forecasting 6 doc

... −2.0 0.8 2.1 19 96 −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 6.2 7.3 2003 2 .6 5.7 9 .6 8.0 2004 −3.7 ... are generated as independent random series, the statistical 68 Real Estate Modelling and Forecasting 1,200 1,000 800 60 0 400 (a) Index of US income returns (c) All -pr...

Ngày tải lên: 20/06/2014, 20:20

... period 1Q 06 4Q 06 3Q07 4Q07 4Q05 1Q 06 2Q 06 3Q 06 4Q 06 Figure 8. 16 Forecasts of ARMA models (with seasonal dummies for second and third quarters) 5.7 (%) (%) 6. 2 6. 1 6. 0 5.9 5.8 5.7 5 .6 5.5 5.4 Actual ARMA ... −0.098 2Q07 5.25 5 .63 0.253 3Q07 5.07 5.32 −0.308 4Q07 5.28 5.31 −0.004 Forecast period 1Q 06 4Q 06 4Q05 5. 96 5. 96 1Q 06 5.89 5.85 −0.107 2Q 06 5.87 6. 14 0...

Ngày tải lên: 20/06/2014, 20:20

... 51–3, 56, 167 slope 74, 79, 92, 94 small-sample problems 229, 390 smoothness 13, 67 , 152–3, 161 , 199 specific-to-general modelling 187 standard deviations 48–9, 54, 57 64 standard errors 60 –4, ... theorem 263 –5 yield corporate bond 345 6, 349, 351, 3 56 dividend 162 , 345, 349, 351, 3 56, 358, 361 –2 equivalent 8 gross 8 initial 8, 2 46 net 8 yield curves 2 16 Yule–Walker equation...

Ngày tải lên: 20/06/2014, 20:20

... 114.2 65 0 .6 98.2 7 .6 8 06. 6 84.7 74.2 2001 68 5 113.5 60 3.5 97 .6 7.0 748.2 78.1 68 .8 2002 60 0 114.0 5 26. 3 98.0 6. 1 65 2.7 68 .4 60 .0 2003 537 114.8 467 .8 98.7 5.4 580.0 61 .2 53.4 2004 5 56 1 16. 3 478.1 ... 104.7 96. 7 19 96 933 110.5 844.3 95.0 9.8 1,0 46. 9 1 06. 4 96. 3 1997 878 112.7 779.1 96. 9 9.1 965 .9 100.1 88.9 1998 727 111.0 65 5.0 95.5 7 .6 811.5 82....

Ngày tải lên: 21/06/2014, 00:20

... MacGregor and White, 2002). Employment in business and finance is a proxy for business conditions among firms occupying office space and their demand for office 88 Real Estate Modelling and Forecasting 4.8.2 ... + ˆ βEFBSg t =−9 .62 +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...

Ngày tải lên: 21/06/2014, 07:20

... follows. Model A: F-test = 1383. 86 − (992.91 + 209.81) (992.91 + 209.81) × 26 − 6 3 = 1.00 Model B: F-test = 1 460 .02 − (904.87 + 289 .66 ) (904.87 + 289 .66 ) × 27 − 6 3 = 1. 56 Applications of regression ... OFSg t 5. 16 2.38 5.29 (0.00) (0.10) (0.01) (0.00) (0. 36) (0.00) Adj. R 2 0.59 0.44 0.80 0.57 0.51 0.72 DW 1.81 2.08 1.82 1.82 2.12 2.01 RSS 1,383. 86 992.91 209.81 1, 460...

Ngày tải lên: 21/06/2014, 07:20

... −18.01 − 26. 26 8.25 8.25 68 . 06 324. 36 689.59 −12.37 31.81 2004 −13.30 −21.73 8.43 8.43 71. 06 1 76. 89 472.19 −12.37 0. 86 2005 −3 .64 −13.24 9 .60 9 .60 92. 16 13.25 175.30 −12.37 76. 21 20 06 −4.24 4.10 ... 1982–2007 2003 6. 81 −3.13 × 6. 3 + 4.72 × 0.0 56 =− 26. 26 6. 39 − 2.19 × 6. 3 + 4.55 × 0.0 56 =−19.93 2004 6. 81 −3.13 × 5.7 + 4.72 × 0 .61 8 =−21.73 6. 39 − 2.19 × 5....

Ngày tải lên: 21/06/2014, 07:20

... correlation 68 Real Estate Modelling and Forecasting 1,200 1,000 800 60 0 400 (a) Index of US income returns (c) All -property risk premium (b) Index of real office values in Tokyo 200 120 100 80 60 60 40 20 0 −20 −40 60 40 20 0 1Q93 1971 1974 1977 1980 1983 19 86 1989 1992 1995 1998 2001 2004 2007 1Q 96 1Q99 1Q02 3Q03 3Q 06 1Q05 3Q94 3Q97 3Q00 0 1Q78 1Q80 1Q82 1Q84 1Q 86...

Ngày tải lên: 22/06/2014, 17:20

... of the RESET, heteroscedasticity and autocorrelation tests. Equally, a small number of large outliers could cause non-normality and 1 76 Real Estate Modelling and Forecasting which y t , the dependent ... data into sub-periods and then to estimate 192 Real Estate Modelling and Forecasting samples. The Cochrane–Orcutt procedure is an alternative, which operates as in box...

Ngày tải lên: 22/06/2014, 17:20

... F-test = 1383. 86 − (992.91 + 209.81) (992.91 + 209.81) × 26 − 6 3 = 1.00 Model B: F-test = 1 460 .02 − (904.87 + 289 .66 ) (904.87 + 289 .66 ) × 27 − 6 3 = 1. 56 2 16 Real Estate Modelling and Forecasting The ... Prague 6. 5 San Francisco 5.3 Stockholm 4.8 Seattle 5.8 Warsaw 6. 3 Washington–NoVA–MD 5.7 Asia-Pacific (6 cities) Tokyo 3.7 Sydney 6. 5 Beijing 8.0 Mumbai 6. 1...

Ngày tải lên: 22/06/2014, 17:20