A comparison of alternative rental forecasting models: empirical tests on the London office market

Simon Stevenson and Oliver McGarth

Journal of Property Research, 2003, vol. 20, issue 3, 235-260

Abstract: The study examines four alternative rental forecasting models in the context of the London office market. The forecasting ability of an ARIMA model, a Bayesian Vector Autoregression approach, an OLS based single equation model and a simultaneous equation model are compared and contrasted. The models are estimated using the CB Hillier Parker London Office index over the period 1977- 1996, with out-of-sample testing undertaken on the following three years of data. Diagnostic testing is also conducted on the alternative models. The findings reveal that the Bayesian VAR model produces the best forecasts, while the ARIMA model fails to pick up on the large uptake in rental values during the testing period.

Date: 2003
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Working Paper: A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market (2000)
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DOI: 10.1080/0959991032000162338

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