Property Estate Modelling and Forecasting 11 ppt

... events. For example the expert observes that, in Cointegration in real estate markets 411 115 Actual Forecast 114 113 112 111 110 109 108 107 Jan. 07 Feb. 07 Mar. 07 Apr. 07 May. 07 Jun. 07 Jul. ... model ● Johansen method ● cointegration and forecasting Cointegration in real estate markets 403 equation for y 1 α 11  y 1 + β 12 β 11 y 2 + β 13 β 11 y 3 + β 14 β 11 y 4...

Ngày tải lên: 20/06/2014, 20:20

... office tenant demand, the ratio of government employment over the sum of the financial, insurance and real estate and service office tenants and the level of occupied stock. McGough and Tsolacos (2002), ... at 0.05 (5 per cent). 234 Real Estate Modelling and Forecasting so that the roots are z = 1,z = 2/3 and z = 2. Only one of these lies out- side the unit circle, and henc...

Ngày tải lên: 21/06/2014, 00:20

... real estate returns in the United States, the United Kingdom and Australia and assess the improvement over 298 Real Estate Modelling and Forecasting in the consensus forecasts. The fact that the ... see box 9.1). The data to calculate the 292 Real Estate Modelling and Forecasting employment at lags 1 and 3), new construction lagged five periods and the longer leading...

Ngày tải lên: 21/06/2014, 00:20

... statistic. These tests can be constructed in several ways, and the precise approach to constructing the 114 Real Estate Modelling and Forecasting If the test is H 0 : β i = 0 H 1 : β i = 0 i.e. ... the tests we discuss in the next chapter and the evaluation of forecast performance in later chapters. On the basis of the 118 Real Estate Modelling and Forecasting y t x t F...

Ngày tải lên: 21/06/2014, 07:20

... computation of variance decompositions and impulse responses alike. Tables 11. 7 and 11. 8 present the variance decompositions. 362 Real Estate Modelling and Forecasting 0.04 0.02 0 –0.02 –0.04 –0.06 –0.08 –0.1 1 Steps ... specified is of the form y 1t = β 10 + β 11 y 1t−1 + α 11 y 2t−1 + u 1t (11. 12) y 2t = β 20 + β 21 y 2t−1 + α 21 y 1t−1 + u 2t (11. 13) 334 Real Estate...

Ngày tải lên: 21/06/2014, 07:20

... give the same conclusions, and suffer from most of the same important limitations, as the ADF tests. 374 Real Estate Modelling and Forecasting Although trend-stationary and difference-stationary ... securitised real estate and direct real estate are cointegrated, forming two long-run relationships. Liow (2000) also finds evidence of a long-run relationship between direct pro...

Ngày tải lên: 21/06/2014, 07:20

... 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 98 Real Estate Modelling and Forecasting t 20;10% =±1.725. ... required critical value is 92 Real Estate Modelling and Forecasting x y 0 Figure 4 .11 Effect on the standard errors of x 2 t large x y 0 Figure 4.12 Ef...

Ngày tải lên: 22/06/2014, 17:20

... requires no new algebra but is tedious, and hence it is left as an exercise for interested readers. 250 Real Estate Modelling and Forecasting Table 8.3 Actual and forecast cap rates CAP Actual Forecast ... model produces a 240 Real Estate Modelling and Forecasting 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 acf and pacf lag,s 12 345678910 acf pacf Figure 8.6 Sample autocorr...

Ngày tải lên: 22/06/2014, 18:20

... zero, since the explained and explanatory 364 Real Estate Modelling and Forecasting The forecast for SPY t for August 2007 – that is, the change between July 2007 and August 2007 (0.0589 or ... every month and to reach −0.29 per cent in January 2008 from −1.3 per cent in August 2007. Box 11. 1 Forecasting with VARs ● One of the main advantages of the VAR approach to modelli...

Ngày tải lên: 22/06/2014, 18:20

... Tokyo 326 11. 1 Impulse responses for REIT returns 357 11. 2 Impulse responses and standard error bands for innovations in unexpected inflation equation errors 362 11. 3 Impulse responses and standard ... fields of economics and finance, and conduct forecasting. We hope that the book achieves this aspiration. Chris Brooks and Sotiris Tsolacos, April 2009 4 Real Estate Modelling...

Ngày tải lên: 20/06/2014, 20:20