Boom Index Construction of Real Estate Based on State- Space Model

摘要

Boom Index can reveal the periodicity fluctuation trends and degree of the real estate market, so as to achieve the purpose of early warning. This article begins with the construction of indicators system of real estate from two aspects: external factors and internal factors. Then this article screened the 15 indicators through time-difference correlation analysis, and then checked that if there were significant difference between the same category indicators through the use of Wald-wolfowitz Runs Test. Finally, this article used state-space model to compose SWI boom index, and its movement is in line with the actual cycle of real estate market. At the same time it was compared with CI, the two indexes have a higher correlation. This illustrates the use of state-space model is effective.