Smoothing, Nonsynchronous Appraisal and Cross‐Sectional Aggregation in Real Estate Price Indices
研究了私人股权回报指数（如房地产指数）中的三个计量经济学问题：平滑、非同步评估和横截面聚合。发现基于评估的指数回报遵循ARFIMA过程，并实证检验了英国IPD指数和美国NCREIF指数的平滑程度与非同步评估特征。
In this article three econometric issues related to private‐equity return indices, such as real estate indices, are explored (smoothing, nonsynchronous appraisal and cross‐sectional aggregation). Under certain assumptions, it is found that index returns based on appraisals follow an ARFIMA(1, d , 1) (autoregressive fractionally integrated moving average) process, where the long memory parameter ( d ) explains the level of smoothing and the AR and MA parameters represent the level of persistence in marketwide fundamentals and the nonsynchronous appraisal, respectively. The empirical results show that: (1) the level of smoothing in appraisal‐based real estate indices is far less than assumed in many academic studies (2) there is weak evidence of nonsynchronous appraisal in the UK, IPD (Investment Property Databank) index and (3) marketwide fundamentals are highly persistent for the IPD index returns. On the other hand, there is no evidence of nonsynchronous appraisal or a persistent common factor in the U.S. NCREIF (National Council of Real Estate Investment Fiduciaries) index.