Serial correlation and seasonality in the real estate market

  • Chiong-Long Kuo
Article

DOI: 10.1007/BF00132264

Cite this article as:
Kuo, CL. J Real Estate Finan Econ (1996) 12: 139. doi:10.1007/BF00132264

Abstract

In this article, a two-step, two-sample method and a Bayesian method are proposed to estimate the serial correlation and the seasonally of the price behavior of the residential housing market. The Bayesian method is found to be superior to the alternative two-step methods. The empirical results based on the Bayesian approach support the rejection of the random-walk hypothesis in the real estate market. Seasonality is not significant; however, there is still a clear indication that the returns associated with seasonal dummies are strongest in the second quarter, with the first quarter following closely.

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Copyright information

© Kluwer Academic Publishers 1996

Authors and Affiliations

  • Chiong-Long Kuo
    • 1
  1. 1.Office of Government Services, Price Waterhouse LLPArlingtonUSA

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