Explaining real commercial rents using an error correction model with panel data

Journal of Real Estate Finance and Economics

Volumn 24, Issue 1-2, 2002, Pages 59-87

  Hendershott, Patric ^a   MacGregor, Bryan ^a   White, Michael ^a  

^a UNIVERSITY OF ABERDEEN   (United Kingdom)

Author keywords

Error correction; Panel estimation; Regional rent models

Indexed keywords

EID: 0036117085     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1013930304732     Document Type: Conference Paper

References (46)

1. Ball, M., C. Lizieri, and B. D. MacGregor. (1998). The Economics of Commercial Property Markets. London: Routledge.
2. Banerjee, A., J. Dolado, J. W. Galbraith, and D. F. Hendry. (1993). Co-integration, Error-Correction, and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press.
3. Blank, D. M., and L. Winnick. (1953). "The Structure of the Housing Market," Quarterly Journal of Economics 67, 181-203.
4. Charemza, W., and D. F. Deadman. (1997). New Directions in Econometric Practice. Cheltenham: Edward Elgar.
5. D'Arcy, E., T. McGough, and S. Tsolacos. (1997). "National Economic Trends, Market Size and City Growth Effects on European Office Rents," Journal of Property Research 14(4), 297-308.
6. Dobson, S., and J. Goddard. (1992). "The Determinants of Commercial Property Prices and Rents," Bulletin of Economic Research 44, 301-321.
7. Dougherty, C. D. (1992) Introduction to Econometrics. New York: Oxford University Press.
8. Engle, R. F., and C. W. J. Granger. (1987). "Cointegration and Error Correction Representation, Estimation and Testing," Econometrica 55, 251-276.
9. Fuller, W. A. (1976) Introduction to Statistical Time Series. New York: John Wiley.
10. Gabriel, S. A., and F. E. Nothaft. (1998). "Rental Housing Markets and the Natural Vacancy Rate," Journal of the American Real Estate and Urban Economics Association, 16, 419-436.
11. Gardiner, C., and J. Henneberry. (1988). "The Development of a Simple Regional Office Rent Prediction Model," Journal of Valuation 7(1), 36-52.
12. Gardiner, C., and J. Henneberry. (1991). "Predicting Regional Office Rents Using Habit-persistence Theories," Journal of Property Valuation and Investment 9(3), 215-226.
13. Guissani, B., M. Hsia, and S. Tsolacos. (1993). "A Comparative Analysis of the Major Determinants of Office Rental Values in Europe," Journal of Property Valuation and Investment 11(2), 157-173.
14. Hamelink, F., M. Hoesli, C. Lizieri, and B. D. MacGregor. (2000). "Homogeneous Commercial Property Market Groupings and Portfolio Construction in the United Kingdom," Environment and Planning A 32, 323-344.
15. Harris, R. I. D. (1995). Using Cointegration Analysis in Econometric Modelling. London Prentice Hall.
16. Hendershott, P. H. (1995). "Real Effective Rent Determination: Evidence from the Sydney Office Market," Journal of Property Research 12(2), 127-135.
17. Hendershott, P. H. (1996). "Rental Adjustment and Valuation in Overbuilt Markets: Evidence from the Sydney Office Market," Journal of Urban Economics 39, 51-67.
18. Hendershott, P. H., C. Lizieri, and G. A. Matysiak. (1999). "The Workings of the London Office Market," Real Estate Economies 27(2), 365-387.
19. Hendry, D. F., and G. E. Mizon. (1978). "Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of The Demand for Money by the Bank of England," Economic Journal 88, 549-563.
20. Hetherington, J. (1988). "Forecasting of Rents." In A. MacLeary, and N. Nanthakumaran (eds.) Property Investment Theory (pp. 97-107). London: E. & F. N. Spon.
21. Hoesli, M. C. Lizieri, and B. D. MacGregor. (1997). "The Spatial Dimensions of the Investment Performance of UK Commercial Property," Urban Studies 34(9), 1475-94.
22. Hoesli, M., and B. D. MacGregor. (2000). Property investment: The Principles and Practice of Portfolio Management. Harlow: Pearson Education.
23. Hort, K. (1998). "The Determinants of Urban House Price Fluctuations in Sweden," Journal of Housing Economics 7(2), 93-120.
24. Key, T, B. D. MacGregor, N. Nanthakumaran, and F. Zarkesh. (1994). Economic Cycles and Property Cycles, Main Report for Understanding the Property Cycle. London: RICS.
25. Levin, A. C., and Lin. (1993). Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, mimeo.
26. McGough, T., and S. Tsolacos. (1995). "Forecasting Commercial Rental Values in the UK Using ARIMA Models," Journal of Property Valuation and Investment 13(5), 5-21.
27. Pedroni, P. (1999). "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics 16(s1), 653-670.
28. Pedroni, P. (1997). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis: New Results, Working Paper, Indiana University.
29. Perron, P. (1988). "Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach," Journal of Economic Dynamics and Control 12, 1361-1401
30. Phillips, P. C. B. (1987). "Time Series Regression with a Unit Root," Econometrica 55, 277-301.
31. Phillips, P. C. B., and P. Perron. (1988). "Testing for a Unit Root in Time Series Regressions," Biometrika 75, 335-346.
32. Pollakowski, H. O., S. M. Wachter, and L. Lynford. (1992). "Did Office Size Matter in the 1980s? A Time Series Cross-Sectional Analysis of Metropolitan Area Office Markets," Journal of the American Real Estate and Urban Economics Association 20(2), 303-324.
33. RICS. (1999). The UK Property Cycle - a History from 1921 to 1997. London: Royal Institution of Chartered Surveyors.
34. Rosen, K. T. (1984). "Towards a Model of the Office Building Sector," Journal of the American Real Estate and Urban Economics Association 12(3), 261-269.
35. Rosen, K. T., and L. B. Smith. (1984). "The Price Adjustment Process for Rental Housing and the Natural Vacancy Rate," American Economic Review 73, 779-786.
36. Shilling, J. D., C. F. Sirmans, and J. B. Corgel. (1987). "Price Adjustment Process for Rental Office Space," Journal of Urban Economics 22, 90-100.
37. Shilling, J. D., C. F. Sirmans, and J. B. Corgel. (1992). "Natural Office Vacancy Rates: Some Additional Estimates," Journal of Urban Economics 31, 140-143.
38. Silver, M., and M. Goode. (1990). "Econometric Forecasting Model for Rents in the British Retail Property Market," International Journal of Management Science 18(5) 529-539.
39. Smith, L. B. (1969). "A Model of the Canadian Housing and Mortgage Markets," The Journal of Political Economy 77, 795-816.
40. Smith, L. B. (1974). "A Note on the Price Adjustment Mechanism for Rental Housing," American Economic Review 64, 478-481.
41. Thompson, B., and S. Tsolacos. (1999). "Rental Adjustment and Forecasts in the Industrial Market," Journal of Real Estate Research 17(1/2), 151-168.
42. Tsolacos, S., G. Keogh, and T. McGough (1998). "Modelling Use, Investment and Development in the British Office Market," Environment and Planning A 30, 1409-1427.
43. Tse, R. Y. C., and B. D. MacGregor (1999). "Housing Vacancy and Rental Adjustment: Evidence from Hong Kong," Urban Studies 36, 1769-1782.
44. Wheaton, W. C. (1987). "The Cyclic Behavior of the National Office Market," Journal of the American Real Estate and Urban Economics Association 15(4), 281-299.
45. Wheaton, W. C., and R. G. Torto (1988). "Vacancy Rates and the Future of Office Rents," Journal of the American Real Estate and Urban Economics Association 16(4), 430-436.
46. Wheaton, W. C., R. G. Tono, and P. Evans (1997). "The Cyclic Behavior of the Greater London Office Market," The Journal of Real Estate Finance and Economics 15(1), 77-92.