| The Journal of Real Estate Finance and Economics | |
| Volume 12, Issue 2, Article 5 (Abstract) | |
| Title: | Serial Correlation and Seasonality in the Real Estate Market |
| Author: | Chiong-long Kuo |
| Abstract: | In this paper, a two-step two-sample method and a Bayesian method are proposed to estimate the serial correlation and the seasonality of the price behavior of the residential housing market. The Bayesian method is found superior to 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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