This study draws on machine learning as a means to causal inference for econometric investigation. We utilize the concept of transfer entropy to examine the relationship between the US National Association of Home Builders Index and the S&P CoreLogic Case-Shiller 20 City Composite Home Price...

Examining US data, this study uses techniques of cointegration analysis to test whether real estate investment trusts (REITs) are a useful hedge against inflation. Johansen tests seem to indicate that REITs are cointegrated with the general price level. This is true for a broad REIT index as...