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Roflnadal

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发表于 2011-7-11 15:29 | 只看该作者
uncorrected = smoothed artificially or by following a process/formula resulting in smooth data

corrected = UN-Smoothed , resolving for insufficient range or dispersion , correcting returns


Note the contrariness of the wording , smoothed = uncorrected, unsmoothed = corrected

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bkballa

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发表于 2011-7-11 15:29 | 只看该作者
Because the NCREIF index is not based on real transaction but on (mostly) owner's estimate on a quarterly basis, they suffer (at least) two problems

- Not based on real-time data
- Autocorrelated: R(t) = alpha + beta*R(t-1)

To fix them, there are several methods to correct for them

- Use more frequent market-based/transaction-based data using econometric modelling (like the MIT- CRE index)

or

- First order autoregressive process to remove the autocorrelation:
r corrected(t) =r(t)/(1-beta) - beta/(1-beta)*r(t-1)

Those methods are complex and based on statistical modelling, thus are NOT 'the same' as the original 'unsmoothed' NCREIF longer. Their stddev is much higher. The expected mean is also (slightly) different from the unsmoothed mean.

Don't think you need to know/understand more than this for the exam.

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