A time series analysis of U.K. construction and real estate indices

Belaire-Franch, J. and Opong, K.K. (2013) A time series analysis of U.K. construction and real estate indices. Journal of Real Estate Finance and Economics, 46(3), pp. 516-542. (doi: 10.1007/s11146-011-9327-y)




This study assess the nonlinear behavior of U.K. Construction and Real Estate indices. Standard unit root tests show that both time series are I(1) processes. However, the empirical results show that the returns series for both indices deviate from the null hypothesis of white noise. Moreover, we have found evidence of nonlinearity but strong evidence against chaos for the returns series. Further tests show that the source of nonlinearity is rather different. Hence, the Construction index returns series displays weak nonlinear forecastability, typical of nonlinear deterministic processes, whereas the Real Estate index could be characterized as a stationary process about a nonlinear deterministic trend.

Item Type:Articles
Glasgow Author(s) Enlighten ID:Opong, Professor Kwaku
Authors: Belaire-Franch, J., and Opong, K.K.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of Real Estate Finance and Economics
ISSN (Online):1573-045X
Published Online:16 July 2011
Copyright Holders:Copyright © 2013 Springer Science+Business Media
First Published:First published in Journal of Real Estate Finance and Economics 46(3):516-542
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher

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