Serial Correlation and Seasonality in the Real Estate Market

Chiong-Long Kuo

The Journal of Real Estate Finance and Economics, 1996, vol. 12, issue 2, 139-62

Abstract: In this article 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 to be superior to the 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. Copyright 1996 by Kluwer Academic Publishers

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:12:y:1996:i:2:p:139-62

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