Forecasting Models of Retail Rents
Environment and Planning A, Vol. 32, No. 10, pp. 1825-1839, 2000
Posted: 5 Dec 2004
This study models retail rents in the UK using a vector autoregressive and time series models. Two retail rent series are used, compiled by LaSalle Investment Management and CB Hillier Parker, and the emphasis is on forecasting. The results suggest that the use of the vector autoregression and time series models in this study can pick up important features of the data that are useful for forecasting purposes. The relative forecasting performance of the models appears to be subject to the length of the forecast time horizon. The results also show that the variables which were appropriate for inclusion in the vector autoregression systems differ between the two rents series, suggesting that the structure of optimal models for predicting retail rents could be specific to the rent index used. Ex ante forecasts from our time series suggest that both LaSalle Investment Management and CB Hillier Parker real retail rents will exhibit an annual growth rate above their long-term mean.
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