Real estate modelling and forecasting:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2010
|
| Ausgabe: | 1. publ. |
| Schlagwörter: | |
| Links: | http://assets.cambridge.org/97805218/73390/cover/9780521873390.jpg http://www.loc.gov/catdir/enhancements/fy1004/2009054017-b.html http://www.loc.gov/catdir/enhancements/fy1004/2009054017-d.html http://www.loc.gov/catdir/enhancements/fy1004/2009054017-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020486713&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke |
| Umfang: | XVIII, 453 S. graph. Darst. |
| ISBN: | 9780521873390 |
Internformat
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV036565488 | ||
| 003 | DE-604 | ||
| 005 | 20131115 | ||
| 007 | t| | ||
| 008 | 100714s2010 xxkd||| |||| 00||| eng d | ||
| 010 | |a 2009054017 | ||
| 020 | |a 9780521873390 |9 978-0-521-87339-0 | ||
| 035 | |a (OCoLC)699662751 | ||
| 035 | |a (DE-599)BVBBV036565488 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxk |c GB | ||
| 049 | |a DE-355 |a DE-1043 |a DE-522 | ||
| 050 | 0 | |a HD1382.5 | |
| 082 | 0 | |a 332.63/2401 | |
| 084 | |a QT 384 |0 (DE-625)142118: |2 rvk | ||
| 100 | 1 | |a Brooks, Chris |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Real estate modelling and forecasting |c Chris Brooks ; Sotiris Tsolacos |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2010 | |
| 300 | |a XVIII, 453 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Hier auch später erschienene, unveränderte Nachdrucke | ||
| 650 | 4 | |a Real estate investment |x Statistical methods | |
| 650 | 0 | 7 | |a Immobilienanlage |0 (DE-588)4120474-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Performance |g Kapitalanlage |0 (DE-588)4219415-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Prognose |0 (DE-588)4047390-9 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Immobilienanlage |0 (DE-588)4120474-8 |D s |
| 689 | 0 | 1 | |a Performance |g Kapitalanlage |0 (DE-588)4219415-5 |D s |
| 689 | 0 | 2 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |D s |
| 689 | 0 | 3 | |a Prognose |0 (DE-588)4047390-9 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 700 | 1 | |a Tsolacos, Sotiris |e Sonstige |4 oth | |
| 856 | 4 | |u http://assets.cambridge.org/97805218/73390/cover/9780521873390.jpg |3 Cover image | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy1004/2009054017-b.html |3 Contributor biographical information | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy1004/2009054017-d.html |3 Publisher description | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy1004/2009054017-t.html |3 Table of contents only | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020486713&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-020486713 | |
Datensatz im Suchindex
| _version_ | 1819312884367228928 |
|---|---|
| adam_text | Contents
List of figures page
χ
List of tables
xii
List of boxes
xiv
Preface
xv
Acknowledgements
xix
1
Introduction
1
1.1
Motivation for this book
2
1.2
What is econometrics?
3
1.3
Steps in formulating an econometric model
4
1.4
Model building 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, finance and economics: similarities and
differences
12
1.9
Econometric packages for modelling real estate data
13
1.10
Outline of the remainder of this book
15
Appendix: Econometric software package 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
Properties of logarithms and the log transform
32
2.5
Returns
33
2.6
Matrices
34
2.7
The eigenvalues of a matrix
38
vi
Contents
3
Statistical tools for real estate analysis
41
3.1
Types of data for quantitative real estate analysis
41
3.2
Descriptive statistics
44
3.3
Probability and characteristics of probability distributions
54
3.4
Hypothesis testing
55
3.5
Pitfalls in the analysis of real estate data
65
4
An overview of regression analysis
72
4.1
Chapter objectives
72
4.2
What is a regression model?
73
4.3
Regression versus correlation
74
4.4
Simple regression
74
4.5
Some further terminology
79
4.6
Linearity and possible forms for the regression function
85
4.7
The assumptions underlying the classical linear regression model
86
4.8
Properties of the OLS estimator
87
4.9
Precision and standard errors
88
4.10
Statistical inference and the classical linear regression model
93
Appendix: Mathematical derivations of CLRM results for the
bivariate case
104
4A.1 Derivation of the OLS coefficient estimator
104
4A.2 Derivation of the OLS standard error estimators for the intercept
and slope
105
5
Further issues in regression analysis
108
5.1
Generalising the simple model to multiple linear regression
108
5.2
The constant term
109
5.3
How are the parameters (the elements of the
β
vector) calculated in
the generalised case? Ill
5.4
A special type of hypothesis test: the /-ratio
113
5.5
Goodness of fit statistics
115
5.6
Tests of non-nested hypotheses
119
5.7
Data mining and the true size of the test
123
5.8
Testing multiple hypotheses: the F-test
124
5.9
Omission of an important variable
129
5.10
Inclusion of an irrelevant variable
130
Appendix: Mathematical derivations of CLRM results for the
multiple regression case
133
5A.1 Derivation of the OLS coefficient estimator
133
5A.2 Derivation of the OLS standard error estimator
134
Contents
vii
6
Diagnostic
testing
135
6.1
Introduction
135
6.2
Violations
of the assumptions of the classical linear regression
model
136
6.3
Statistical distributions for diagnostic tests
136
6.4
Assumption
1:
E(ut)
= 0 137
6.5
Assumption
2:
var(wř)
=
σ2
<
oo
138
6.6
Assumption
3:
covCm,-, uj)
= 0
for
ι φ
j
144
6.7
Causes of residual autocorrelation
152
6.8
Assumption
4:
the x, are non-stochastic (covCm,, xt)
= 0) 166
6.9
Assumption
5:
the disturbances are normally distributed
167
6.10
Multicollinearity
171
6.11
Adopting the wrong functional form
175
6.12
Parameter stability tests
178
6.13
A strategy for constructing econometric models
186
Appendix: Iterative procedures for dealing with autocorrelation
191
7
Applications of regression analysis
194
7.1
Frankfurt office rents: constructing a multiple regression model
194
7.2
Time series regression models from the literature
210
7.3
International office yields: a cross-sectional analysis
214
7.4
A cross-sectional regression model from the literature
222
8
Time series models
225
8.1
Introduction
225
8.2
Some notation and concepts
226
8.3
Moving average processes
230
8.4
Autoregressive
processes
231
8.5
The partial autocorrelation function
234
8.6
ARMA
processes
235
8.7
Building
ARMA
models: the Box-Jenkins approach
241
8.8
Exponential smoothing
244
8.9
An
ARMA
model for cap rates
246
8.10
Seasonality in real estate data
251
8.11
Studies using
ARMA
models in real estate
257
Appendix: Some derivations of properties of
ARMA
models
261
8A.1 Deriving the autocorrelation function for an MA process
261
8A.2 Deriving the properties of
AR
models
263
9
Forecast evaluation
268
9.1
Forecast tests
269
viii Contents
9.2
Application
of forecast evaluation criteria to a simple regression
model
274
9.3
Forecast accuracy studies in real estate
290
10
Multi-equation structural models
303
10.1
Simultaneous-equation models
304
10.2
Simultaneous equations bias
306
10.3
How can simultaneous-equation models be estimated?
307
10.4
Can the original coefficients be retrieved from the 7rs?
308
10.5
A definition of exogeneity
310
10.6
Estimation procedures for simultaneous equations systems
313
10.7
Case study: projections in the industrial property market using a
simultaneous equations system
316
10.8
A special case: recursive models
322
10.9
Case study: an application of a recursive model to the City of London
office market
322
10.10
Example: a recursive system for the Tokyo office market
325
11
Vector
autoregressive
models
337
11.1
Introduction
337
11.2
Advantages of
VAR
modelling
339
11.3
Problems with VARs
340
11.4
Choosing the optimal lag length for
a VAR
340
11.5
Does the
VAR
include contemporaneous terms?
342
11.6
A VAR
model for real estate investment trusts
344
11.7
Block significance and causality tests
347
11.8
VARs with exogenous variables
352
11.9
Impulse responses and variance decompositions
352
11.10
A VAR
for the interaction between real estate returns and the
macroeconomy
357
11.11
Using VARs for forecasting
362
12
Cointegration in
real estate markets
369
12.1
Stationarity and unit root testing
369
12.2
Cointegration
382
12.3
Equilibrium correction or error correction models
385
12.4
Testing for
cointegration in
regression: a residuals-based
approach
387
12.5
Methods of parameter estimation in cointegrated systems
388
12.6
Applying the Engle-Granger procedure: the Sydney office market
390
Contents ix
12.7 The Engle and Yoo
three-step method
399
12.8
Testing for and estimating cointegrating systems using the
Johansen technique
399
12.9
An application of the Johansen technique to securitised
real estate
404
12.10
The Johansen approach: a case study
411
13
Real estate forecasting in practice
414
13.1
Reasons to intervene in forecasting and to use judgement
415
13.2
How do we intervene in and adjust model-based forecasts?
418
13.3
Issues with judgemental forecasting
422
13.4
Case study: forecasting in practice in the United Kingdom
424
13.5
Increasing the acceptability of intervention
426
13.6
Integration of econometric and judgemental forecasts
427
13.7
How can we conduct scenario analysis when judgement is applied?
432
13.8
Making the forecast process effective
432
14
The way forward for real estate modelling and forecasting
434
References
441
Index
448
|
| any_adam_object | 1 |
| author | Brooks, Chris |
| author_facet | Brooks, Chris |
| author_role | aut |
| author_sort | Brooks, Chris |
| author_variant | c b cb |
| building | Verbundindex |
| bvnumber | BV036565488 |
| callnumber-first | H - Social Science |
| callnumber-label | HD1382 |
| callnumber-raw | HD1382.5 |
| callnumber-search | HD1382.5 |
| callnumber-sort | HD 41382.5 |
| callnumber-subject | HD - Industries, Land Use, Labor |
| classification_rvk | QT 384 |
| ctrlnum | (OCoLC)699662751 (DE-599)BVBBV036565488 |
| dewey-full | 332.63/2401 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2401 |
| dewey-search | 332.63/2401 |
| dewey-sort | 3332.63 42401 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02329nam a2200529zc 4500</leader><controlfield tag="001">BV036565488</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20131115 </controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">100714s2010 xxkd||| |||| 00||| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">2009054017</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780521873390</subfield><subfield code="9">978-0-521-87339-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)699662751</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV036565488</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxk</subfield><subfield code="c">GB</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-1043</subfield><subfield code="a">DE-522</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HD1382.5</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/2401</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QT 384</subfield><subfield code="0">(DE-625)142118:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Brooks, Chris</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Real estate modelling and forecasting</subfield><subfield code="c">Chris Brooks ; Sotiris Tsolacos</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1. publ.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge [u.a.]</subfield><subfield code="b">Cambridge Univ. Press</subfield><subfield code="c">2010</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVIII, 453 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Hier auch später erschienene, unveränderte Nachdrucke</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Real estate investment</subfield><subfield code="x">Statistical methods</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Immobilienanlage</subfield><subfield code="0">(DE-588)4120474-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Performance</subfield><subfield code="g">Kapitalanlage</subfield><subfield code="0">(DE-588)4219415-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrisches Modell</subfield><subfield code="0">(DE-588)4043212-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Prognose</subfield><subfield code="0">(DE-588)4047390-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Immobilienanlage</subfield><subfield code="0">(DE-588)4120474-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Performance</subfield><subfield code="g">Kapitalanlage</subfield><subfield code="0">(DE-588)4219415-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Ökonometrisches Modell</subfield><subfield code="0">(DE-588)4043212-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Prognose</subfield><subfield code="0">(DE-588)4047390-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Tsolacos, Sotiris</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://assets.cambridge.org/97805218/73390/cover/9780521873390.jpg</subfield><subfield code="3">Cover image</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/enhancements/fy1004/2009054017-b.html</subfield><subfield code="3">Contributor biographical information</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/enhancements/fy1004/2009054017-d.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/enhancements/fy1004/2009054017-t.html</subfield><subfield code="3">Table of contents only</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020486713&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-020486713</subfield></datafield></record></collection> |
| id | DE-604.BV036565488 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T14:37:03Z |
| institution | BVB |
| isbn | 9780521873390 |
| language | English |
| lccn | 2009054017 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020486713 |
| oclc_num | 699662751 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-1043 DE-522 |
| owner_facet | DE-355 DE-BY-UBR DE-1043 DE-522 |
| physical | XVIII, 453 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| spellingShingle | Brooks, Chris Real estate modelling and forecasting Real estate investment Statistical methods Immobilienanlage (DE-588)4120474-8 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Prognose (DE-588)4047390-9 gnd |
| subject_GND | (DE-588)4120474-8 (DE-588)4219415-5 (DE-588)4043212-9 (DE-588)4047390-9 |
| title | Real estate modelling and forecasting |
| title_auth | Real estate modelling and forecasting |
| title_exact_search | Real estate modelling and forecasting |
| title_full | Real estate modelling and forecasting Chris Brooks ; Sotiris Tsolacos |
| title_fullStr | Real estate modelling and forecasting Chris Brooks ; Sotiris Tsolacos |
| title_full_unstemmed | Real estate modelling and forecasting Chris Brooks ; Sotiris Tsolacos |
| title_short | Real estate modelling and forecasting |
| title_sort | real estate modelling and forecasting |
| topic | Real estate investment Statistical methods Immobilienanlage (DE-588)4120474-8 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Prognose (DE-588)4047390-9 gnd |
| topic_facet | Real estate investment Statistical methods Immobilienanlage Performance Kapitalanlage Ökonometrisches Modell Prognose |
| url | http://assets.cambridge.org/97805218/73390/cover/9780521873390.jpg http://www.loc.gov/catdir/enhancements/fy1004/2009054017-b.html http://www.loc.gov/catdir/enhancements/fy1004/2009054017-d.html http://www.loc.gov/catdir/enhancements/fy1004/2009054017-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020486713&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT brookschris realestatemodellingandforecasting AT tsolacossotiris realestatemodellingandforecasting |