Goodness-of-fit problem for errors in nonparametric regression: Distribution free approach

This paper discusses asymptotically distribution free tests for the classical goodness-of-fit hypothesis of an error distribution in nonparametric regression models. These tests are based on the same martingale transform of the residual empirical process as used in the one sample location model. This transformation eliminates extra randomization due to covariates but not due the errors, which is intrinsically present in the estimators of the regression function. Thus, tests based on the transformed process have, generally, better power. The results of this paper are applicable as soon as asymptotic uniform linearity of nonparametric residual empirical process is available. In particular they are applicable under the conditions stipulated in recent papers of Akritas and Van Keilegom and M\"uller, Schick and Wefelmeyer.Comment: Published in at http://dx.doi.org/10.1214/08-AOS680 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

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Analysing UK real estate market forecast disagreement

Given the significance of forecasting in real estate investment decisions, this paper investigates forecast uncertainty and disagreement in real estate market forecasts. Using the Investment Property Forum (IPF) quarterly survey amongst UK independent real estate forecasters, these real estate forecasts are compared with actual real estate performance to assess a number of real estate forecasting issues in the UK over 1999-2004, including real estate forecast error, bias and consensus. The results suggest that real estate forecasts are biased, less volatile compared to market returns and inefficient in that forecast errors tend to persist. The strongest finding is that real estate forecasters display the characteristics associated with a consensus indicating herding

Sector and regional factors in real estate returns

This paper presents a simple method to measure the effect of sector and regional factors in real estate returns, and thus provides a quantitative framework for analysing the relative impact of these two diversification categories to real estate portfolio selection. Using data on Retail, Office and Industrial properties spread across 326 real estate locations in the UK, over the period 1981 to 1995, the results show that the performance of real estate is largely sector-driven. A result in line with previous work. Which implies that the sector composition of the real estate fund should be the first level of analysis in constructing and managing the real estate portfolio. As a consequence real estate fund managers need to pay more attention to the sector allocation of their portfolios than the regional spread

Washington's Estate Tax: Revenue for Higher Education and Early Learning

Washington has had an inheritance or estate tax since 1901. The United States has had an estate tax in place since 1916. Initiative 920, which would have repealed Washington's estate tax in November 2006, was resoundingly defeated by the people, 62% to 38%. Our estate tax raises over $100 million annually, on average

Real estate market activity in Slovenia in 2000-2006

This paper examines a particular aspect of Slovenian real estate market that is still developing -real estate market activity. Only two decades ago, Slovenia still had a socialist, planned economy, so there is a lack of tradition in the fields of both the real estate market and analysis of that market. The former only started to develop with the transition to the market-oriented economy in the beginning of the 1990s. Significant progress was observed in the second half of the 1990s, due to the favourable economic development of the country. In our research, we focused on the real estate market development in the 2000-2006 period, which was marked by major changes in legislation and other institutional backgrounds, directly or indirectly referring to the field of real estate and real property. The development of the real estate market in Slovenia was examined for a given period on the basis of the available market data, which have been acquired from the Tax Administration of the Republic of Slovenia; the real estate market activity development is analysed by statistical regions and types of real estate. The results show general developments in the Slovenian real estate market for the given period and, in particular, the influence of institutional and legal factors on real estate market activity

Risk and return of open-end real estate funds : the German case

Open-end real estate funds (so called “Offene Immobilienfonds”) play a major role in the German market for securitised real estate investments. Such funds are pools of money from many investors, which are invested in real estate by special investment management companies. This study seeks to identify the risk and return profile of this investment vehicle (before and after income taxes), to compare them with those of other major asset classes, and to provide implications for their appropriate role in a mixed-asset portfolio. Addition-ally, an overview of the institutional architecture and role of German open-end real estate funds is given. Empirical evidence suggests that the financial characteristics of open-end real estate funds are in many respects similar to those reported for direct real estate invest-ments. Accordingly, German open-end real estate funds qualify for medium and long-term investment horizons, rather than for shorter holding periods