Errors in Variables, Links between Variables and Recovery of Volatility Information in Appraisal‐Based Real Estate Return Indexes
提出一种多变量方法，通过分析变量误差及房地产收益与其他经济活动的关联，从评估型指数中恢复真实市场波动率，并应用于英国房地产指数，发现真实波动率约为评估指数的1.5-1.9倍。
The present article proposes a multivariate approach to unsmoothing appraisal‐based real estate return indexes to recover the true market volatility information in real estate returns. It scrutinizes the role played by errors in variables, in conjunction with an analysis of other economic activities relevant to real estate returns, to exploit the functional relationship and the mechanism of interactions between real estate returns and these economic activities. Appraisal smoothing can therefore be detected and corrected properly and efficiently, without presuming a weakly efficient real estate market. The approach is then applied to U.K. real estate indexes as empirical examples. The results suggest a reasonable volatility in U.K. real estate investment that is close to reality. It is found that the volatility of the true market return on real estate is 1.5404–1.9282 times that of the return on the appraisal‐based indexes, in contrast to figures of 2.4862–5.8720 produced by the fully unsmoothing procedure.