The paper examines whether a univariate data generating process can be identified which explains the data by having residuals that are independent and identically distributed, as verified by the BDS test. The stationary first differenced natural log quarterly house price index is regressed,...

The Treasury's report "Institutional Investment in the United Kingdom: A Review" (the Myners Review) suggested in 2001 that various sectors of the UK equity market may be suitable for active investment management, tacitly assuming that some sectors are efficient whilst others are not. The...