Property Estate Modelling and Forecasting 8 docx

... 104–7 regression approach 388 slope 74, 79, 92, 94 standard error estimator 88 –93 out-of-sample, see forecasting outliers 46, 48, 169–71, 188 overconfidence 423 overfitting 241–2 oversized tests 380 p-value, ... 161, 199 specific-to-general modelling 187 standard deviations 48 9, 54, 57–64 standard errors 60–4, 88 –93 stationarity difference 374 stochastic 373–4 testing for 3 78 81 w...

Ngày tải lên: 20/06/2014, 20:20

... %) (euros) (index) (%) (%)(%) (%) 0 1 980 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 1 983 1 986 1 989 1992 1995 19 98 2001 2004 2007 1 980 1 983 1 986 1 989 1992 1995 19 98 2001 2004 2007...

Ngày tải lên: 22/06/2014, 17:20

... 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 85 3. 68 −12.37 76.21 2006 −4.24 −23.12 18. 88 18. 88 356.39 17. 98 534.45 −12.37 66.10 2007 3. 48 −17.56 21.04 ... FF Naive A −F Naive 2003 − 18. 01 −14.19 −3 .82 3 .82 14.57 324.36 201.44 −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...

Ngày tải lên: 22/06/2014, 18:20

... series VAR(1) 78. 69 117. 28 170.41 236.70 360.34 467.90 6 58. 41 86 7.72 AR(1) 75.39 88 .24 84 .32 92. 18 88. 44 89 .15 80 .03 87 .44 Long-term mean 209.55 163.42 139 .88 137.20 139. 98 143.91 150.20 154 .84 Random ... 84 .10 86 .17 76 .80 79.27 86 .63 84 .65 86 .12 Long-term mean 159.55 163.42 139 .88 137.20 139. 98 143.91 150.20 154 .84 Random walk 1 38. 16 132 .86 162.95...

Ngày tải lên: 22/06/2014, 18:20

... in real estate 5 1.5 What do we model and forecast in real estate? 6 1.6 Model categorisation for real estate forecasting 8 1.7 Why real estate forecasting? 9 1 .8 Econometrics in real estate, ... residual and the fitted value 78 4.5 Plot of the two variables 81 4.6 Scatter plot of rent and employment growth 82 4.7 No observations close to the y-axis 83 4 .8 Actual...

Ngày tải lên: 20/06/2014, 20:20

... Tokyo 200 120 100 80 60 60 40 20 0 −20 −40 −60 40 20 0 1Q93 1971 1974 1977 1 980 1 983 1 986 1 989 1992 1995 19 98 2001 2004 2007 1Q96 1Q99 1Q02 3Q03 3Q06 1Q05 3Q94 3Q97 3Q00 0 1Q 78 1Q80 1Q82 1Q84 1Q86 1Q 88 1Q90 1Q92 1Q94 1Q96 1Q 98 1Q00 1Q02 1Q04 1Q06 Figure ... are generated as independent random series, the statistical 68 Real Estate Modelling and Forecasting 1,200 1,...

Ngày tải lên: 20/06/2014, 20:20

... regression analysis 81 25 (yoy%) (yoy%) 20 15 10 5 −5 −10 −1 −2 −3 −15 −20 −25 1979 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 1979 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 0 (a) ... proportionate impact of 82 Real Estate Modelling and Forecasting 8 6 4 2 0 0 Real rents (yoy %) Employment in FBS (yoy %) 10 20 30 −2...

Ngày tải lên: 20/06/2014, 20:20

... %) (euros) (index) (%) (%)(%) (%) 0 1 980 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 1 983 1 986 1 989 1992 1995 19 98 2001 2004 2007 1 980 1 983 1 986 1 989 1992 1995 19 98 2001 2004 2007...

Ngày tải lên: 20/06/2014, 20:20

... B Fitted Actual Fitted 30 20 10 −10 −20 −30 0 1 982 1 984 1 986 1 988 1990 1992 1994 1996 19 98 2000 2002 2004 2006 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 (%) (%) 30 Model A Model B 20 10 −10 −20 0 1 981 1 983 1 985 1 987 1 989 1991 1993 1995 1997 1999 2001 2003 2005 2007 (%) Figure ... 203 30 20 10 −10 −20 −30 0 Actual (a) Actual and fitte...

Ngày tải lên: 20/06/2014, 20:20

... −1 .87 1,2 −1.95 −1 .85 1,3 −1. 98 −1 .89 1,4 −1.97 −1 .83 2,1 −1.92 −1 .83 2,2 −1.92 −1 .80 2,3 −1.95 −1 .81 2,4 −1.93 −1.77 3,1 −1.97 −1 .85 3,2 −1.95 −1 .81 3,3 −2. 18 −2.02 3,4 −2.15 −1.96 4,1 −1. 98 ... 123456 789 101112 Figure 8. 9 Autocorrelation and partial autocorrelation functions for cap rates 1.5 1.0 (%) 0.5 0.0 2Q 78 2Q80 2Q82 2Q84 2Q86 2Q 88 2Q90 2Q92 2Q94 2Q96...

Ngày tải lên: 20/06/2014, 20:20