An econometric model for forecasting private construction investment in Hong Kong

References

• Aashuer , D.A. 1987 . Is government spending stimulative? , Chicago : Staff Memorandum, Federal Reserve Bank of Chicago .
   Google Scholar
• Aashuer , D.A. 1989 . Is public investment productive? . Journal of Monetary Economics , 23 : 177 – 200 .
   Web of Science ®Google Scholar
• Agénor , P. , Nabli , M.K. and Youseft , T.M. 2007 . “ Public infrastructure and private investment in the Middle East and North Africa ” . In Breaking the Barriers to Higher Economic Growth: Better Governance and Deeper Reforms in the Middle East and North Africa , Edited by: Nabli , M.K. 399 – 422 . Washington, DC : The World Bank .
   Google Scholar
• Akintoye , A. and Skitmore , M. 1994 . Models of UK private sector quarterly construction demand . Construction Management and Economics , 12 (1) : 3 – 13 .
   Google Scholar
• Al‐Abdulrazag , B.A. 2003 . The determinants of private construction investment in Jordan: an empirical study (1972–1996) . Damascus University Journal , 19 : 15 – 35 .
   Google Scholar
• Anderson , R.G. , Hoffman , D.L. and Rasche , R.H. 2002 . A vector error‐correction forecasting model of the US economy . Journal of Macroeconomics , 24 (4) : 569 – 98 .
   Web of Science ®Google Scholar
• Ball , M. 1988 . Rebuilding Construction: Economic Change and the British Construction Industry , London : Routledge .
   Google Scholar
• Bowerman , B.L. and O’Connell , R.T. 1993 . Forecasting and Time Series: An Applied Approach , Belmont, CA : Duxbury Press .
   Google Scholar
• Briscoe , G. 1988 . The Economics of the Construction Industry , London : Mitchell .
   Google Scholar
• Brissimis , S.N. and Vlassopoulos , T. 2009 . The interaction between mortgage financing and housing prices in Greece . Journal of Real Estate Finance and Economics , 39 (2) : 146 – 64 .
   Web of Science ®Google Scholar
• Brüggemann , R. 2006 . Sources of German unemployment: a structural vector error correction analysis . Empirical Economics , 31 (2) : 409 – 31 .
   Web of Science ®Google Scholar
• Chan , J.K.W. , Tam , C.M. and Cheung , R. 2005 . Monitoring financial health of contractors at the aftermath of the Asian economic turmoil: a case study in Hong Kong . Construction Management and Economics , 23 (5) : 451 – 8 .
   Google Scholar
• Cutler , J. 2005 . The relationship between consumption, income and wealth in Hong Kong . Pacific Economics Review , 10 (2) : 217 – 41 .
   Web of Science ®Google Scholar
• Dickey , D.A. and Fuller , W.A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of American Statistical Association , 74 (366) : 427 – 31 .
   Web of Science ®Google Scholar
• DiPasquale , D. and Wheaton , W.C. 1996 . Urban Economics and Real Estate Markets , Englewood Cliffs, NJ : Prentice Hall .
   Google Scholar
• Doan , T. , Litterman , R.B. and Sims , C.A. 1984 . Forecasting and conditional projection using realistic prior distributions . Econometric Reviews , 3 : 1 – 144 .
   Google Scholar
• Enders , W. 1995 . Applied Econometric Time Series , New York : John Wiley & Sons .
   Google Scholar
• Engle , R.F. and Granger , C.W.J. 1987 . Co‐integration and error correction: representation, estimation and testing . Econometrica , 55 (2) : 251 – 76 .
   Web of Science ®Google Scholar
• Erenburg , S.J. 1993 . The real effects of public investment on private investment . Applied Economics , 25 (6) : 831 – 37 .
   Web of Science ®Google Scholar
• Fullerton , T.M. Jr. , Laaksonen , M.M. and West , C.T. 2001 . Regional multi‐family housing start forecast accuracy . International Journal of Forecasting , 17 (2) : 171 – 80 .
   Web of Science ®Google Scholar
• Goh , B.H. and Teo , H.P. 2000 . Forecasting construction industry demand, price and productivity in Singapore: the Box‐Jenkins approach . Construction Management and Economics , 18 (5) : 607 – 18 .
   Google Scholar
• Granger , C.W. and Newbold , P. 1974 . Spurious regressions in econometrics . Journal of Econometrics , 2 (2) : 111 – 20 .
   Google Scholar
• Greer , G.E. and Kolbe , P.T. 2003 . Investment Analysis for Real Estate Decisions , Chicago : Dearborn Financial Publishing .
   Google Scholar
• Gujarati , D.N. 1995 . Basic Econometrics , New York : McGraw‐Hill .
   Google Scholar
• Harris , R.I.D. 1995 . Using Cointegration Analysis in Econometric Modelling , London : Prentice Hall/Harvester Wheatsheaf .
   Google Scholar
• Hillebrandt , P.M. 1988 . Analysis of the British Construction Industry , London : Macmillan Press .
   Google Scholar
• Hillebrandt , P.M. 2000 . Economic Theory and the Construction Industry , Basingstoke : Macmillan Press .
   Google Scholar
• Hjelm , G. and Johansson , M.W. 2005 . A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models . Journal of Macroeconomics , 27 (4) : 691 – 703 .
   Web of Science ®Google Scholar
• Ho , L.S. 2000 . A case study of economic ecology: the Hong Kong Economy’s plunge into a deep recession in 1998 , Hong Kong : The Hong Kong Institute of Economics and Business Strategy, The University of Hong Kong . HIEBS Working Paper No. 1012
   Google Scholar
• Hodgins , C.D. and Tanner , J.E. 1973 . Forecasting non‐residential building construction . Canadian Journal of Economics , 6 (1) : 79 – 89 .
   Web of Science ®Google Scholar
• Hong Kong Monetary Authority . 1999 . Real Interest Rate in Hong Kong, Quarterly Bulletin, August , Hong Kong : Hong Kong Monetary Authority .
   Google Scholar
• Hong Kong SAR Government . 1998 . Home for Hong Kong People into the 21st Century—A White Paper on Long Term Housing Strategy in Hong Kong , Hong Kong : Hong Kong SAR Government . February
   Google Scholar
• Ive , G.J. and Gruneberg , S.L. 2000 . The Economics of the Modern Construction Sector , Basingstoke : Macmillan Press .
   Google Scholar
• Jennings , W. 2009 . The public thermostat, political responsiveness and error‐correction: border control and asylum in Britain, 1994–2007 . British Journal of Political Science , 39 (4) : 847 – 70 .
   Web of Science ®Google Scholar
• Johansen , S. 1995 . Likelihood‐Based Inference in Cointegrated Vector Autoregressive Model , Oxford : Oxford University Press .
   Google Scholar
• Johansen , S. and Juselius , K. 1990 . Maximum likelihood estimation and inference on cointegration—with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 (2) : 169 – 210 .
   Web of Science ®Google Scholar
• Johansen , S. and Juselius , K. 1992 . Testing structural hypothesis in a multivariate cointegration analysis of PPP and the UIP for UK . Journal of Econometrics , 53 (1–3) : 169 – 209 .
   Web of Science ®Google Scholar
• Killingsworth , R.A. Jr. 1990 . Preliminary investigation into formulating a demand forecasting model for industrial construction . Cost Engineering , 32 (8) : 11 – 15 .
   Google Scholar
• Lam , N.M.K. 2000 . Government intervention in the economy: a comparative analysis of Singapore and Hong Kong . Public Administration and Development , 20 : 397 – 421 .
   Web of Science ®Google Scholar
• Litterman , R.B. 1986 . Forecasting with Bayesian vector autoregressions—five years of experience . Journal of Business & Economics Statistics , 4 : 25 – 38 .
   Web of Science ®Google Scholar
• Lütkepohl , H. 1993 . Introduction to Multiple Time Series Analysis, , 2nd edn , Berlin : Springer‐Verlag .
   Google Scholar
• Lütkepohl , H. 2004a . “ Univariate time series analysis ” . In Applied Time Series Econometrics , Edited by: Lütkepohl , H. and Krätzig , M. 8 – 85 . Cambridge : Cambridge University Press .
   Google Scholar
• Lütkepohl , H. 2004b . “ Vector autoregressive and vector error correction models ” . In Applied Time Series Econometrics , Edited by: Lütkepohl , H. and Krätzig , M. 86 – 158 . Cambridge : Cambridge University Press .
   Google Scholar
• MacKinnon , J.G. 1991 . “ Critical values for cointegration tests ” . In Long‐run Economic Relationships: Readings in Cointegration , Edited by: Engle , R.F. and Granger , C.W.J. 267 – 76 . Oxford : Oxford University Press .
   Google Scholar
• Maddala , G.S. and Kim , I. 1998 . Unit Roots, Cointegration, and Structural Change , Cambridge : Cambridge University Press .
   Google Scholar
• Masih , R. 1995 . Modelling the dynamic interactions among crime, deterrence and social‐economic variables: evidence from a vector error‐correction model . Mathematics and Computers in Simulation , 39 (3–4) : 411 – 16 .
   Web of Science ®Google Scholar
• Mayasami , R.C. and Koh , T.S. 2000 . A vector error correction model of the Singapore stock market . International Review of Economics and Finance , 9 (1) : 79 – 96 .
   Google Scholar
• McCaffer , R. , McCaffrey , M.J. and Thorpe , A. 1983 . The disparity between construction cost and tender price movements . Construction Papers , 2 (2) : 17 – 27 .
   Google Scholar
• Narayan , P.K. 2004 . Do public investments crowd out private investments? Fresh evidence from Fiji . Journal of Policy Modeling , 26 (6) : 747 – 53 .
   Web of Science ®Google Scholar
• National Economic Development Office . 1975 . The Public Client and the Construction Industry , London : Building and Civil Engineering Economic Development Committee, National Economic Development Office .
   Google Scholar
• Ng , S.T. , Cheung , S.O. , Skitmore , M. and Wong , T.C.Y. 2004 . An integrated regression analysis and time series model for construction tender price forecasting . Construction Management and Economics , 22 : 483 – 93 .
   Google Scholar
• Ng , S.T. , Skitmore , M. and Wong , K.F. 2008 . Genetic algorithm and linear regression for private housing demand forecast . Building and Environment , 43 (6) : 1171 – 84 .
   Web of Science ®Google Scholar
• Ng , S.T. , Fan , R.Y.C. , Wong , J.M.W. , Chan , A.P.C. , Chiang , Y.H. , Lam , P.T.I. and Kumaraswamy , M. 2009 . Coping with structural change in construction: experiences gained from advanced economies . Construction Management and Economics , 27 (2) : 165 – 80 .
   Google Scholar
• Ofori , G. 1990 . The Construction Industry: Aspects of its Economics and Management , Singapore : Singapore University Press .
   Google Scholar
• Pereira , A.M. 2001 . On the effects of public investment on private investment: what crowds in what? . Public Finance Review , 29 (1) : 3 – 25 .
   Web of Science ®Google Scholar
• Pindyck , R.S. and Rubinfeld , D.L. 1998 . Econometric Models and Economic Forecasts , Boston, MA : Irwin/McGraw‐Hill .
   Google Scholar
• Price , S. 1998 . “ Cointegration and modelling the long run ” . In Research Strategies in the Social Sciences: A Guide to New Approaches , Edited by: Scarborough , E. and Tanenbaum , E. 156 – 90 . Oxford : Oxford University Press .
   Google Scholar
• Quantitative Micro Software . 2007 . eViews 6 User’s Guide , Irvine, CA : Quantitative Micro Software, LLC .
   Google Scholar
• Raftery , J. 1991 . Principles of Building Economics , Oxford : BSP Professional Books .
   Google Scholar
• Runeson , G. 1988 . Methodology and method for price‐level forecasting . Construction Management and Economics , 6 : 45 – 55 .
   Google Scholar
• Runeson , G. and Bennett , J. 1983 . Tendering and the price level in the New Zealand building industry . Construction Papers , 2 (2) : 49 – 55 .
   Google Scholar
• Said , E.S. and Dickey , D.A. 1984 . Testing for unit roots in autoregressive‐moving average models of unknown order . Biometrika , 71 (3) : 599 – 607 .
   Web of Science ®Google Scholar
• Singer , B.S. 1967 . A systematic approach to housing market analysis . The Appraisal Journal , : 527 – 49 .
   Google Scholar
• Tan , H.B. and Baharumshah , A.Z. 1999 . Dynamic causal chain of money, output, interest rate and prices in Malaysia: evidence based on vector error‐correction modelling analysis . International Economic Journal , 13 (1) : 103 – 20 .
   Google Scholar
• Tang , J.C.S. , Karasudhi , P. and Tachopiyagoon , P. 1990 . Thai construction industry: demand and projection . Construction Management and Economics , 8 (3) : 249 – 57 .
   Google Scholar
• Tse , R.Y.C. and Ganesan , S. 1997 . Causal relationship between construction flow and GDP: evidence from Hong Kong . Construction Management and Economics , 15 (4) : 371 – 6 .
   Google Scholar
• Tse , R.Y.C. , Ho , C.W. and Ganesan , S. 1999 . Matching housing supply and demand: an empirical study of Hong Kong’s market . Construction Management and Economics , 17 (5) : 625 – 33 .
   Google Scholar
• Turin , D.A. 1969 . The Construction Industry , Vienna : United Nations Industrial Development Organization .
   Google Scholar
• Turin , D.A. 1973 . The Construction Industry: Its Economic Significance and its Role in Development , London : University College Environmental Research Group .
   Google Scholar
• Van Aarle , B. , Boss , M. and Hlouskova , J. 2000 . Forecasting the Euro exchange rate using vector correction models . Review of World Economics , 136 (2) : 232 – 58 .
   Web of Science ®Google Scholar
• Voss , G.M. 2002 . Public and private investment in the United States and Canada . Economic Modelling , 19 (4) : 641 – 64 .
   Web of Science ®Google Scholar
• Wong , J.M.W. , Chan , A.P.C. and Chiang , Y.H. 2007 . Forecasting construction manpower demand: a vector error correction model . Building and Environment , 42 (8) : 3030 – 41 .
   Web of Science ®Google Scholar
• Wong , J.M.W. , Chiang , Y.H. and Ng , S.T. 2008 . Construction and economic development: the case of Hong Kong . Construction Management and Economics , 26 (8) : 813 – 24 .
   Google Scholar
• Wong , J.M.W. and Ng , S.T. 2010 . Forecasting construction tender price index in Hong Kong using vector error‐correction model . Construction Management and Economics , 28 (12) : 1255 – 68 .
   Google Scholar
• Woodford , M. 2003 . Interest and Prices: Foundations of a Theory of Monetary Policy , Princeton, NJ : Princeton University Press .
   Google Scholar
• Yiu , C.Y. , Lu , X.H. , Leung , M.Y. and Jin , W.X. 2004 . A longitudinal analysis on the relationship between construction output and GDP in Hong Kong . Construction Management and Economics , 22 (4) : 339 – 45 .
   Google Scholar