Applied Quantitative Analysis for Real Estate

Cover
Half Title
Title Page
Copyright Page
Contents
List of figures
List of tables
Preface
Acknowledgements
1 Introduction
	1.1 Motivation and rationale for this book
	1.2 Broad themes covered in the book
	1.3 Book online resource
2 Real estate data
	2.1 Introduction
	2.2 Segments of the real estate market
	2.3 User/occupier market data
	2.4 Investment market
	2.5 Indirect investment – property funds
	2.6 Final remarks
3 Data, common manipulations and descriptive statistics in analysis
	3.1 Introduction
	3.2 Data representations
	3.3 Data structures
	3.4 Mathematical symbols, operations and rules
	3.5 Indices/indexes
	3.6 Applications: preparing data for analysing investment performance
	3.7 Descriptive statistics
	3.8 Applications: analysing investment performance
	3.9 Concluding remarks
4 Random variables, correlation, estimation and hypothesis testing
	4.1 Introduction
	4.2 Random variables and probability distributions
	4.3 The normal and standard normal probability distributions
	4.4 Measures of association: covariance and correlation
	4.5 Samples and sampling distributions
	4.6 Estimation
	4.7 Hypothesis testing
	4.8 Concluding remarks
5 Simple regression analysis
	5.1 Introduction
	5.2 Regression versus correlation – the difference
	5.3 Population regression function (PRF): key concepts
	5.4 The sample regression function (SRF): key concepts
	5.5 The ordinary least squares estimator (OLSE)
	5.6 Sampling variability of OLS estimators
	5.7 Significance of regression coefficients
	5.8 Analysis of variance (ANOVA)
	5.9 Overall performance of the model – goodness of fit
	5.10 Assumptions of the classical linear regression model (CLRM)
	5.11 The issue of bias and efficiency – properties of CLRM
	5.12 A simple regression model of US commercial prices
	5.13 Forecasting
	5.14 Concluding remarks
6 Multiple regression
	6.1 Introduction
	6.2 Multiple regression model: an overview
	6.3 Coefficient interpretation in multiple regression
	6.4 Coefficient of determination: the adjusted R-squared
	6.5 The F-test of multiple restrictions in the model
	6.6 Model specification – dynamics and lags in the real estate market
	6.7 Attributes of a good model
	6.8 Example: building a multiple regression model for Hong Kong office rents
	6.9 Using the F-test to test for restrictions
	6.10 Omitted variables
	6.11 Standardised coefficients
	6.12 Concluding remarks
	Appendix 6A: F distributions
7 Regression diagnostics
	7.1 Introduction
	7.2 E(ui) = 0
	7.3 Homoscedastic errors
	7.4 Uncorrelated error terms: E(ui,uj) = 0
	7.5 Regressors not correlated with disturbances: E(ui,xi) = 0
	7.6 Inappropriate functional form (non-linearities)
	7.7 Residuals are normally distributed: ui ~ N(0, σ2)
	7.8 Multicollinearity
	7.9 Structural breaks and parameter stability
	7.10 Concluding remarks
8 Stationarity
	8.1 Introduction
	8.2 Stationarity
	8.3 Random walks
	8.4 Implications of non-stationarity
	8.5 Inducing stationarity
	8.6 Unit root and stationarity tests
	8.7 Practical considerations in real estate analysis
	8.8 Concluding remarks
9 Forecast evaluation
	9.1 Introduction
	9.2 Objectives in real estate forecasting
	9.3 Forecast approaches
	9.4 Sources of error in real estate forecasting
	9.5 Forecast evaluation tests
	9.6 Application of forecast evaluation tests – ex post forecasts
	9.7 Dynamic ex ante forecasts and further testing – US property prices
	9.8 Directional forecast evaluation
	9.9 Qualitative forecasts and real estate forecasting in practice
	9.10 Concluding remarks
10 ARMA models
	10.1 Introduction
	10.2 AR and MA processes
	10.3 ARMA specification
	10.4 Example
	10.5 Concluding remarks
11 Vector autoregressions
	11.1 Introduction
	11.2 VAR specification
	11.3 Specifying a VAR: an application to City of London office market
	11.4 VAR diagnostics
	11.5 Impulse response functions – City of London office market VAR
	11.6 Variance decompositions
	11.7 Granger causality tests
	11.8 VAR forecasting – London office market
	11.9 VAR advantages and limitations
	11.10 Concluding remarks
12 Epilogue
Appendix A: statistical tables
References
Index