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| Stationarity and Co-Integration in
Systems with Three National Real Estate Indices Author: F.C. Neil Myer, Mukesh K. Chaudhry, and James R. Webb Start Page: 369 Abstract: This study examines
the stochastic properties of the commercial real estate wealth indices for three countries
(the U.S., Canada, and the U.K.) and for several property types (aggregate, office,
retail, and industrial). Each of the indices is tested for a unit root and all series are
found to be nonstationary. Furthermore, all indices also indicate the presence of both
drift and trend. The results are strongest when the indices are tested in real estate and
exchange rate-adjusted form. Application of Johansen's model indicates that the system for
the three countries shows evidence of co-integration for the aggregate, retail, office,
and industrial properties. Again, the evidence is the strongest when the indices are
tested in real and exchange rate-adjusted form. Hence, it is conceivable that inflationary
expectations may be the factor that provides the common linkage between commercial real
estate across national boundaries. |
