6533b870fe1ef96bd12cfc96
RESEARCH PRODUCT
Past price “memory” in the housing market: testing the performance of different spatio-temporal specifications.
Sotirios ThanosJean DubéDiègo Legrossubject
EstimationSpatial weight matirx050208 financeSTARComputer science05 social sciencesGeography Planning and DevelopmentHedonic pricingHousing marketHedonic PricingSpecification0502 economics and businessEarth and Planetary Sciences (miscellaneous)EconometricsSpatial econometricsSpatio-temporal050207 economicsStatistics Probability and UncertaintyDimension (data warehouse)Spatial econometricsGeneral Economics Econometrics and FinanceDatabase transactionSARdescription
ABSTRACTRecent methodological developments provide a way to incorporate the temporal dimension when accounting for spatial effects in hedonic pricing. Weight matrices should decompose the spatial effects into two distinct components: bidirectional contemporaneous spatial connections; and unidirectional spatio-temporal effects from past transactions. Our iterative estimation approach explicitly analyses the role of time in price determination. The results show that both spatio-temporal components should be included in model specification; past transaction information stops contributing to price determination after eight months; and limited temporal friction is exhibited within this period. These findings highlight the decidedly non-linear temporal patterns of such information effects.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2017-11-21 |