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

Posted: 20 Feb 2013

See all articles by Jorge Belaire-Franch

Jorge Belaire-Franch

University of Valencia

Kwaku K. Opong

University of Glasgow - Adam Smith Business School

Date Written: 2013

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 return series displays weak nonlinear forecastability, typical of nonlinear determinisitic processes, whereas the real estate index could be characterized as a stationary process about a nonlinear deterministic trend.

Keywords: nonlinearity, heteroskedasticity, random walk, Chaos, nonlinear predictability

JEL Classification: G12, G14, G15, R30

Suggested Citation

Belaire-Franch, Jorge and Opong, Kwaku K., A Time Series Analysis of U.K. Construction and Real Estate Indices (2013). Journal of Real Estate Finance and Economics, Vol. 46, No. 3, 2013, Available at SSRN: https://ssrn.com/abstract=2220819

Jorge Belaire-Franch (Contact Author)

University of Valencia ( email )

Avda. de los Naranjos s/n
Valencia, Valencia E-46022
Spain

Kwaku K. Opong

University of Glasgow - Adam Smith Business School ( email )

University Avenue
Gilbert Scott Building
Glasgow, Scotland G12 8QQ
United Kingdom

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