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A Time Series Analysis of U.K. Construction and Real Estate Indices

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  • Jorge Belaire-Franch

    ()

  • Kwaku Opong

    ()

Abstract

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. Copyright Springer Science+Business Media, LLC 2013

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File URL: http://hdl.handle.net/10.1007/s11146-011-9327-y
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 46 (2013)
Issue (Month): 3 (April)
Pages: 516-542

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Handle: RePEc:kap:jrefec:v:46:y:2013:i:3:p:516-542

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Nonlinearity; Heteroskedasticity; Random walk; Chaos; Nonlinear predictability;

References

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