Unsmoothing Real Estate Returns: A Regime‐Switching Approach
提出基于机制转换阈值自回归模型的反平滑技术，用于处理评估型房地产收益数据，发现传统线性方法会低估真实波动，并引入股权收益和GDP增长作为机制指标，优于其他变量。
We propose newly developed unsmoothing techniques for appraisal‐based real estate returns based on a regime‐switching threshold autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive techniques are misspecified and underestimate true variance. Two exogenous variables, equity returns and gross domestic product growth, outperform other variables as regime indicators and appear to capture risks of downturns in real estate. We extend the model to the smoothing equation, allowing for switching behavior by appraisers, using two new techniques: the TAR‐AR and TAR‐TAR approaches. The “co‐switching” specification opens up a new frontier of empirical research. We estimate the TAR‐TAR using FT returns as the regime indicator, and we find results that outperform conventional smoothing models and have plausible economic explanations.