Real estate modelling and forecasting

Real Estate Modelling and Forecasting

Volumn , Issue , 2010, Pages 1-453

  Brooks, Chris ^a   Tsolacos, Sotiris ^b  

^a UNIVERSITY OF READING   (United Kingdom)

^b Property and Portfolio Research CoStar Group company   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84924118582     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1017/CBO9780511814235     Document Type: Book

References (140)

1. Akaike, H. (1974) A new look at the statistical model identification, IEEE Transactions on Automatic Control 19(6), 716-23.
2. Amy, K., Ming, Y. -S., and Yuan, L. -L. (2000) The natural vacancy rate of the Singapore office market, Journal of Property Research 17(4), 329-38.
3. Armstrong, J. (ed.) (2001) Principles of Forecasting: A Handbook for Researchers and Practitioners, Norwell, MA, Kluwer Academic.
4. Bails, D., and Peppers, L. (1993) Business Fluctuations: Forecasting Techniques and Applications, Upper Saddle River, NJ, Prentice Hall.
5. Ball, M., Lizieri, C., and MacGregor, B. (1998) The Economics of Commercial Property Markets, London, Routledge.
6. Baltagi, B. H. (2008) Econometric Analysis of Panel Data, 2nd edn., Chichester, John Wiley.
7. Bardhan, A., and Kroll, C. (2007) Globalization and Real Estate: Issues, Implications, Opportunities, Research Report no. 0407, Berkeley, Fisher Center for Real Estate and Urban Economics, University of California.
8. Baum, A., and Crosby, N. (2008) Property Investment Appraisal, 3rd edn., Oxford, Basil Blackwell.
9. Bera, A. K., and Jarque, C. M. (1981) An Efficient Large-sample Test for Normality of Observations and Regression Residuals, Working Paper in Econometrics no. 40, Canberra, Australian National University.
10. Biais, B., Hilton, D., Mazurier, K., and Pouget, S. (2005) Judgmental overconfidence, self-monitoring and trading performance in an experimental financial market, Review of Economic Studies 72(2), 287-312.
11. Box, G. E. P., and Jenkins, G. M. (1976) Time Series Analysis: Forecasting and Control, 2nd edn., San Francisco, Holden-Day.
12. Box, G. E. P., and Pierce, D. A. (1970) Distributions of residual autocorrelations in autoregressive integrated moving average models, Journal of the American Statistical Association 65, 1509-26.
13. Brooks, C. (1997) GARCH modelling in finance: a review of the software options, Economic Journal 107, 1271-6.
14. Brooks, C. (2008) Introductory Econometrics for Finance, 2nd edn., Cambridge, Cambridge University Press.
15. Brooks, C., Burke, S. P., and Persand, G. (2001) Benchmarks and the accuracy of GARCH model estimation, International Journal of Forecasting 17(1), 45-56.
16. Brooks, C., Burke, S. P., and Persand, G. (2003) Multivariate GARCH models: software choice and estimation issues, Journal of Applied Econometrics 18(6), 725-34.
17. Brooks, C., and Tsolacos, S. (1999) The impact of economic and financial factors on UK property performance, Journal of Property Research 16(2), 139-52.
18. Brooks, C., and Tsolacos, S. (2000) Forecasting models of retail rents, Environment and Planning A 32(10), 1825- 39.
19. Brooks, C., and Tsolacos, S. (2003) International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks, Journal of Property Research 20(2), 133-55.
20. Brown, G., and Matysiak, G. (2000) Real Estate Investment: A Capital Markets Approach, Harlow, Financial Times/Prentice Hall.
21. Chatfield, C. (1988) Apples, oranges and mean square error, International Journal of Forecasting 4(4), 515-18.
22. Clapp, J. (1993) Dynamics of Office Markets: Empirical Findings and Research Issues, Washington, DC, Urban Institute Press.
23. Clements, M., and Hendry, D. (1996) Intercept corrections and structural change, Journal of Applied Econometrics 11(5), 475-94.
24. Clements, M., and Hendry, D. (1998) Forecasting Economic Time Series, Cambridge, Cambridge University Press.
25. Cochrane, D., and Orcutt, G. H. (1949) Application of least squares regression to relationships containing autocorrelated error terms, Journal of the American Statistical Association 44, 32-61.
26. Collopy, F., and Armstrong, S. (1992) Rule-based forecasting: development and validation of an expert systems approach to combining time series extrapolations, Management Science 38(10), 1394-414.
27. Cotter, J., and Stevenson, S. (2007) Uncovering volatility dynamics in daily REIT returns, Journal of Real Estate Portfolio Management 13(2), 119-28.
28. D'Arcy, E., McGough, T., and Tsolacos, S. (1997) National economic trends, market size and city growth effects on European office rents, Journal of Property Research 14(4), 297-308.
29. D'Arcy, E., McGough, T., and Tsolacos, S. (1999) An econometric analysis and forecasts of the office rental cycle in the Dublin area, Journal of Property Research 16(4), 309-21.
30. Daniel, K., Hirshleifer, D., and Subrahmanyam, A. (1998) Investor psychology and security market under- and over-reactions, Journal of Finance 53(6), 1839-85.
31. Davidson, R., andMacKinnon, J. G. (1981) Several tests for model specification in the presence of alternative hypotheses, Econometrica 49(3), 781-94.
32. Davis, F., Lohse, G., and Kottemann, S. (1994) Harmful effects of seemingly helpful information on forecasts of stock earnings, Journal of Economic Psychology 15(2), 253-67.
33. Dickey, D. A., and Fuller, W. A. (1979) Distribution of estimators for time series regressions with a unit root, Journal of the American Statistical Association 74, 427-31.
34. Dickey, D. A., and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49(4), 1057-72.
35. Diebold, F. (1993) On the limitations of comparing mean square forecast errors: comment, Journal of Forecasting 12(8), 641-2.
36. Diebold, F., and Kilian, L. (1997) Measuring Predictability: Theory and Macroeconomic Applications, Technical Working Paper no. 213, Cambridge, MA, National Bureau of Economic Research.
37. Diebold, F., and Lopez, J. (1996) Forecast evaluation and combination in Maddala, G. S., and Rao, C. R. (eds.) Handbook of Statistics, vol. XIV, Statistical Methods' in Finance, Amsterdam, North-Holland, 241-68.
38. DiPasquale, D., andWheaton, W. (1992) Themarkets for real estate assets and space: a conceptual framework, Journal of the American Real Estate and Urban Economics Association 20(2), 181-98.
39. DiPasquale, D., andWheaton, W. (1996) Urban Economics and Real Estate Markets, Englewood Cliffs, NJ, Prentice Hall.
40. Doan, T. (1994) Regression Analysis of Time Series: User Manual, 4th edn., Evanston, IL, Estima.
41. Dougherty, C. (1992) Introduction to Econometrics, Oxford, Oxford University Press.
42. Durbin, J., and Watson, G. S. (1951) Testing for serial correlation in least squares regression - II, Biometrika 38(1-2), 159-78.
43. Engle, R. F., and Granger, C. W. J. (1987) Co-integration, and error correction: representation, estimation and testing, Econometrica 55(2), 251-76.
44. Engle, R. F., and Yoo, B. S. (1987) Forecasting and testing in cointegrated systems, Journal of Econometrics 35(1), 143-59.
45. Fama, E., and French, K. (1988) Permanent and transitory components of stock prices, Journal of Political Economy 96(2), 246-73.
46. Fildes, R., and Goodwin, P. (2007) Against your better judgment? How organizations can improve their use of management judgment in forecasting, Interfaces 37(6), 570-6.
47. Fildes, R., and Stekler, H. (2002) The state of macroeconomic forecasting, Journal of Macroeconomics 24(4), 435-68.
48. Franses, P. (2006) Formalizing Judgemental Adjustment of Model-based Forecasts, Report no. 2006-19, Rotterdam, Econometric Institute, Erasmus University.
49. Fuller, W. A. (1976) Introduction to Statistical Time Series, New York, John Wiley.
50. Galbraith, J. (2003) Content horizons for univariate time series forecasts, International Journal of Forecasting 19(1), 43-55.
51. Gallimore, P., and McAllister, P. (2004) Expert judgement in the processes of commercial property market forecasting, Journal of Property Research 21(4), 337- 60.
52. Gerlow, M. E., Irwin, S. H., and Liu, T. -R. (1993) Economic evaluation of commodity price forecasting models, International Journal of Forecasting 9(3), 387-97.
53. Gilbert, C. (1986) Professor Hendry's methodology, Oxford Bulletin of Economics and Statistics 48(3), 283-307.
54. Giussani, B., Hsia, M., and Tsolacos, S. (1993) A comparative analysis of the major determinants of office rental values in Europe, Journal of Property Valuation and Investment 11(2), 157-72.
55. Goldfeld, S. M., and Quandt, R. E. (1965) Some tests for homoskedasticity, Journal of the American Statistical Association 60, 539-47.
56. Goodwin, P. (2000a) Improving the voluntary integration of statistical forecasts and judgment, International Journal of Forecasting 16(1), 85-99.
57. Goodwin, P. (2000b) Correct or combine? Mechanically integrating judgmental forecasts with statistical methods, International Journal of Forecasting 16(2), 261-75.
58. Goodwin, P. (2005) How to integrate management judgment with statistical forecasts, Foresight 1(1), 8-12.
59. Granger, C. W. J. (1969) Investigating causal relations by econometric models and cross-spectral methods, Econometrica 37(3), 424-38.
60. Granger, C. W. J., and Newbold, P. (1986) Forecasting Economic Time Series, 2nd edn., San Diego, Academic Press.
61. Greene, W. H. (2002) Econometric Analysis, 5th edn., Upper Saddle River, NJ, Prentice Hall.
62. Gujarati, D. N. (2009) Basic Econometrics, 5th edn., New York, McGraw-Hill.
63. Hall, S. (ed.) (1994) Applied Economic Forecasting Techniques, Hemel Hempstead, Harvester Wheatsheaf.
64. Hansen, L. P. (1982) Large sample properties of generalised method of moments estimators, Econometrica 50(4), 1029-54.
65. Harris, R. (1995) Cointegration Analysis in Econometric Modelling, Harlow, Prentice-Hall.
66. Hausman, J. A. (1978) Specification tests in econometrics, Econometrica 46(6), 1251- 71.
67. Hendershott, P. (1996) Rental adjustment and valuation in overbuilt markets: evidence from the Sydney office market, Journal of Urban Economics 39(1), 51-67.
68. Hendershott, P., Lizieri, C., and Matysiak, G. (1999) The workings of the London office market, Real Estate Economics 27(2), 365-87.
69. Hendershott, P., MacGregor, B., and White, M. (2002) Explaining real commercial rents using an error correction model with panel data, Journal of Real Estate Finance and Economics 24(1/2), 59-87.
70. Hendry, D. F. (1980) Econometrics: alchemy or science?, Economica 47, 387-406.
71. Hendry, D. F., and Mizon, G. E. (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, 549-63.
72. Hendry, D. F., and Richard, J. F. (1982) On the formulation of empirical models in dynamic econometrics, Journal of Econometrics 20(1), 3-33.
73. Higgins, J. (2003) Introduction to Modern Non-parametric Statistics, Pacific Grove, CA, Duxbury Press.
74. Hill, R. C., Griffiths, W., and Judge, G. (1997) Undergraduate Econometrics, New York, John Wiley.
75. Holden, K., Peel, D. A., and Thompson, J. L. (1990) Economic Forecasting: An Introduction, New York, Cambridge University Press.
76. Hollies, R. (2007) International variation in office yields: a panel approach, Journal of Property Investment and Finance 25(4), 370-87.
77. Johansen, S. (1988) Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control 12(2-3), 231-54.
78. Johansen, S., and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics 52(2), 169-210.
79. Karakozova, O. (2004) Modelling and forecasting office returns in the Helsinki area, Journal of Property Research 21(1), 51-73.
80. Kazmier, L. J., and Pohl, N. F. (1984) Basic Statistics for Business and Economics, 2nd edn., New York, McGraw-Hill.
81. Keim, D., and Stambaugh, R. (1986) Predicting returns inthe stock and bond markets, Journal of Financial Economics 17(2), 357-90.
82. Keogh, G. (1994) Use and investment markets in British real estate, Journal of Property Valuation and Investment 12(4), 58-72.
83. Koopmans, T. C. (1937) Linear Regression Analysis of Economic Time Series, Haarlem, Netherlands Economics Institute.
84. Kothari, S., and Shanken, J. (1997) Book-to-market, dividend yield and expected market returns: a time-series analysis, Journal of Financial Economics 44(2), 169- 203.
85. Krystalogianni, A., Matysiak, G., and Tsolacos, S. (2004) Forecasting UK commercial real estate cycle phases with leading indicators: a probit approach, Applied Economics 36(20), 2347-56.
86. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., and Shin, Y. (1992) Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics 54(1-3), 159-78.
87. Lawrence, M., Goodwin, P., O'Connor, M., and Onkal, D. (2006) Judgemental forecasting: a review of progress over the last 25 years, International Journal of Forecasting 22(3), 493-518.
88. Leamer, E. E. (1978) Specification Searches: Ad Hoc Inference with Nonexperimental Data, New York, John Wiley.
89. Leamer, E. E. (1985) Vector autoregressions for causal interference, in Brunner, K., and Meltzer, A. (eds.) Understanding Monetary Regimes, Cambridge, Cambridge University Press, 255-304.
90. Leitch, G., and Tanner, J. E. (1991) Economic forecast evaluation: profit versus the conventional error measures, American Economic Review 81(3), 580-90.
91. Ling, D., and Naranjo, A. (1997) Economic risk factors and commercial real estate returns, Journal of Real Estate Finance and Economics 14(3), 283-307.
92. Liow, K. (2000) The dynamics of the Singapore commercial property market, Journal of Property Research 17(4), 279-91.
93. Liow, K., and Yang, H. (2005) Long-term co-memories and short-run adjustment: securitized real estate and stock markets, Journal of Real Estate Finance and Economics 31(3), 283-300.
94. Lizieri, C., and Satchell, S. (1997) Property company performance and real interest rates: a regime-switching approach, Journal of Property Research 14(2), 85- 97.
95. Ljung, G. M., and Box, G. E. P. (1978) On ameasure of lack of fit in time series models, Biometrika 65(2), 297-303.
96. Lütkepohl, H. (1991) Introduction to Multiple Time Series Analysis, Berlin, Springer-Verlag.
97. MacKinnon, J., Haug, A. A., and Michelis, L. (1999) Numerical distribution functions of likelihood ratio tests for cointegration, Journal of Applied Econometrics 14(5), 563-77.
98. Makridakis, S., Wheelwright, S., and Hyndman, R. (1998) Forecasting Methods and Applications, 3rd edn., NewYork, JohnWiley.
99. Matysiak, G., and Tsolacos, S. (2003) Identifying short-term leading indicators for real estate rental performance, Journal of Property Investment and Finance 21(3), 212-32.
100. McCue, T. E., and Kling, J. L. (1994) Real estate returns and themacroeconomy: some empirical evidence from real estate investment trust data, 1972-1991, Journal of Real Estate Research 9(3), 277-87.
101. McCue, T. E., and Kling, J. L. (2002) A cross-sectional study of office yields in the UK, paper presented at the 18th American Real Estate Society conference, Naples, FL, 10-13 April.
102. McGough, T., Tsolacos, S., and Olkkonen, O. (2000) The predictability of office property returns in Helsinki, Journal of Property Valuation and Investment 18(6), 565-85.
103. McNees, S. K. (1986) Forecasting accuracy of alternative techniques: a comparison of US macroeconomic forecasts, Journal of Business and Economic Statistics 4(1), 5-15.
104. Mincer, J., and Zarnowitz, V. (1969) The evaluation of economic forecasts, in Mincer, J. (ed.) Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, New York, Columbia University Press, 1-46.
105. Nakamura, A., and Nakamura, M. (1981) A comparison of the labor force behavior of married women in the United States and Canada, with special attention to the impact of income taxes, Econometrica 49(2), 451-89.
106. Newey, W. K., and West, K. D. (1987) A simple positive-definite heteroskedasticity and autocorrelation-consistent covariance matrix, Econometrica 55(3), 703-8.
107. Osterwald-Lenum, M. (1992) A note with quantiles of the asymptotic distribution of the ML cointegration rank test statistics, Oxford Bulletin of Economics and Statistics 54(3), 461-72.
108. Pesaran, M. H., and Timmerman, A. (1992) A simple non-parametric test of predictive performance, Journal of Business and Economic Statistics 10(4), 461-5.
109. Phillips, P. C. B., and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika 75(2), 335-46.
110. Pindyck, R., and Rubinfeld, D. (1998) Econometric Models and Economic Forecasts, 4th edn., New York, McGraw-Hill.
111. Quandt, R. (1960) Tests of the hypothesis that a linear regression system obeys two different regimes, Journal of the American Statistical Association 55, 324-30.
112. Ramanathan, R. (1995) Introductory Econometrics with Applications, 3rd edn., FortWorth, Dryden Press.
113. Ramsey, J. B. (1969) Tests for specification errors in classical linear least-squares regression analysis, Journal of the Royal Statistical Society B 31(2), 350-71.
114. Refenes, A. -P. (1995) Neural Networks in the Capital Markets, Chichester, John Wiley.
115. RICS (1994) Understanding the Property Cycle, London, Royal Institution of Chartered Surveyors.
116. Runkle, D. E. (1987) Vector autoregressions and reality, Journal of Business and Economic Statistics 5(4), 437-42.
117. Sanders, N., and Ritzman, L. (2001) Judgemental adjustments to statistical forecasts, in Armstrong, J. (ed.) Principles of Forecasting: A Handbook for Researchers and Practitioners, Norwell, MA, Kluwer Academic, 405-16.
118. Schwarz, G. (1978) Estimating the dimension of a model, Annals of Statistics 6(2), 461-4.
119. Sims, C. A. (1972) Money, income, and causality, American Economic Review 62(4), 540-52.
120. Sims, C. A. (1980) Macroeconomics and reality, Econometrica 48(1), 1-48.
121. Sivitanidou, R., and Sivitanides, P. (1999) Office capitalization rates: real estate and capital market influences, Journal of Real Estate Finance and Economics 18(3), 297- 322.
122. Stevenson, S., and McGrath, O. (2003) A comparison of alternative rental forecasting models: empirical tests on the London office market, Journal of Property Research 20(3), 235-60.
123. Stock, J. H., and Watson, M. W. (2006) Introduction to Econometrics, 2nd edn., Upper Saddle River, NJ, Addison Wesley.
124. Theil, H. (1966) Applied Economic Forecasting, Amsterdam, North-Holland.
125. Theil, H. (1971) Principles of Econometrics, Amsterdam, North-Holland.
126. Thompson, B., and Tsolacos, S. (2000) Projections in the industrial property market using a simultaneous equation system, Journal of Real Estate Research 19(1-2), 165-88.
127. Timmermann, A. (2006) Forecast combinations, in Elliott, G., Granger, C. W. J., and Timmermann, A. (eds.) Handbook of Economic Forecasting, vol. I, Amsterdam, Elsevier, 136-96.
128. Tong, H. (1990) Nonlinear Time Series: A Dynamical Systems Approach, Oxford, Oxford University Press.
129. Tse, R. (1997) An application of the ARIMA model to real-estate prices in Hong Kong, Journal of Property Finance 8(2), 152-63.
130. Tsolacos, S. (2006) An assessment of property performance forecasts: consensus versus econometric, Journal of Property Investment and Finance 24(5), 386-99.
131. Tsolacos, S., and McGough, T. (1999) Rational expectations, uncertainty and cyclical activity in the British office market, Urban Studies 36(7), 1137-49.
132. Tuluca, S., Myer, F., and Webb, J. (2000) Dynamics of private and public real estate markets, Journal of Real Estate Finance and Economics 21(3), 279-96.
133. Vere, D., and Griffith, G. (1995) Modifying quantitative forecasts of livestock production using expert judgments, Journal of Forecasting 14(5), 453-64.
134. Watsham, T., and Parramore, K. (1997) Quantitative Methods in Finance, London, Thomson Business Press.
135. Wheaton, W., Torto, R., and Evans, P. (1997) The cyclic behaviour of the Greater London office market, Journal of Real Estate Finance and Economics 15(1), 77-92.
136. White, H. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48(4), 817-38.
137. Wilson, P., and Okunev, J. (2001) Enhancing information use to improve predictive performance in property markets, Journal of Property Investment and Finance 19(6), 472-97.
138. Wilson, P., Okunev, J., Ellis, C., and Higgins, D. (2000) Comparing univariate forecasting techniques in propertymarkets, Journal of Real Estate Portfolio Management 6(3), 283-306.
139. Wilson, P., and Zurbruegg, R. (2004) Contagion or interdependence? Evidence from co-movements in Asia-Pacific securitised real estate markets during the 1997 crisis, Journal of Property Investment and Finance 22(5), 401-13.
140. Wyatt, P. (2007) Property Valuation, Oxford, Basil Blackwell.