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Prediction in the lognormal regression model with spatial error dependence

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  • Kato, Takafumi
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    Abstract

    In the context of the lognormal regression model with spatial error dependence, the present study examines correction of a bias in prediction. If interest lies in the predicted mean value of the dependent variable, antilogarithmic transformation of the predicted mean value of the regressand produces a bias. In order to correct such a transformation bias, we derive several alternative predictors by extending some of the predictors suggested for the lognormal regression model with spherical disturbances. Behaviors of our predictors are described in a theoretical manner, and their performances are assessed in an experimental manner. Extension of an asymptotically unbiased predictor is shown to be useful.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Housing Economics.

    Volume (Year): 21 (2012)
    Issue (Month): 1 ()
    Pages: 66-76

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    Handle: RePEc:eee:jhouse:v:21:y:2012:i:1:p:66-76

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    Web page: http://www.elsevier.com/locate/inca/622881

    Related research

    Keywords: Lognormal regression model; Spatial error dependence; Transformation bias;

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    1. James P. LeSage & R. Kelley Pace, 2004. "Models for Spatially Dependent Missing Data," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 233-254, 09.
    2. Bradford Case & John Clapp & Robin Dubin & Mauricio Rodriguez, 2004. "Modeling Spatial and Temporal House Price Patterns: A Comparison of Four Models," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 167-191, 09.
    3. Kennedy, Peter E, 1981. "Estimation with Correctly Interpreted Dummy Variables in Semilogarithmic Equations [The Interpretation of Dummy Variables in Semilogarithmic Equations]," American Economic Review, American Economic Association, vol. 71(4), pages 801, September.
    4. Pace, R Kelley & Barry, Ronald & Sirmans, C F, 1998. "Spatial Statistics and Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 5-13, July.
    5. Stephen Sheppard, 1998. "Hedonic Analysis of Housing Markets," Urban/Regional 9805001, EconWPA.
    6. Palmquist, Raymond B., 2006. "Property Value Models," Handbook of Environmental Economics, in: K. G. Mäler & J. R. Vincent (ed.), Handbook of Environmental Economics, edition 1, volume 2, chapter 16, pages 763-819 Elsevier.
    7. Robin Dubin, 2003. "Robustness of Spatial Autocorrelation Specifications: Some Monte Carlo Evidence," Journal of Regional Science, Wiley Blackwell, vol. 43(2), pages 221-248.
    8. Takafumi Kato, 2008. "Response To Comment On "A Further Exploration Into The Robustness Of Spatial Autocorrelation Specifications"," Journal of Regional Science, Wiley Blackwell, vol. 48(3), pages 651-653.
    9. Robin Dubin, 2008. "Comment On "A Further Exploration Into The Robustness Of Spatial Autocorrelation Specifications"," Journal of Regional Science, Wiley Blackwell, vol. 48(3), pages 641-649.
    10. Dubin, Robin A., 1998. "Spatial Autocorrelation: A Primer," Journal of Housing Economics, Elsevier, vol. 7(4), pages 304-327, December.
    11. A. F. Militino & M. D. Ugarte & L. García-Reinaldos, 2004. "Alternative Models for Describing Spatial Dependence among Dwelling Selling Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 193-209, 09.
    12. Halvorsen, Robert & Palmquist, Raymond, 1980. "The Interpretation of Dummy Variables in Semilogarithmic Equations," American Economic Review, American Economic Association, vol. 70(3), pages 474-75, June.
    13. Song, Yan & Knaap, Gerrit-Jan, 2003. "New urbanism and housing values: a disaggregate assessment," Journal of Urban Economics, Elsevier, vol. 54(2), pages 218-238, September.
    14. Steven Bourassa & Eva Cantoni & Martin Hoesli, 2007. "Spatial Dependence, Housing Submarkets, and House Price Prediction," The Journal of Real Estate Finance and Economics, Springer, vol. 35(2), pages 143-160, August.
    15. Luc Anselin, 2010. "Thirty years of spatial econometrics," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 3-25, 03.
    16. Takafumi Kato, 2008. "A Further Exploration Into The Robustness Of Spatial Autocorrelation Specifications," Journal of Regional Science, Wiley Blackwell, vol. 48(3), pages 615-639.
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