A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market
AbstractThis paper applies the spatiotemporal hedonic approach to analysis of office transaction prices in the Paris property market (i.e. central Paris and its inner suburbs). The analysis focuses primarily on the market’s two main business districts (the CBD and the La Defense District). We find that spatial and temporal dependence effects are strongly present in these submarkets. Additionally, we propose a hybrid method for incorporating a temporal regime into the spatiotemporal autoregressive model proposed by Pace, Barry, Clapp and Rodriguez (1998). Regime switching around 1997 (i.e. in the presence of temporal heterogeneity) substantially affects the significance of spatial and temporal dependences. Finally, we build a new price index that incorporates both spatiotemporal dependences and temporal heterogeneity. This index differs strongly from the usual hedonic price index
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Bibliographic InfoPaper provided by ESSEC Research Center, ESSEC Business School in its series ESSEC Working Papers with number DR 08008.
Length: 41 pages
Date of creation: Apr 2008
Date of revision:
Hedonic Prices; Paris Office Property Market; Spatiotemporal Autoregressive Price Index; Temporal Heterogeneity;
Other versions of this item:
- Ingrid Nappi-Choulet Pr. & Tristan-Pierre Maury, 2009. "A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(2), pages 305-340.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- D40 - Microeconomics - - Market Structure and Pricing - - - General
- R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-13 (All new papers)
- NEP-GEO-2008-06-13 (Economic Geography)
- NEP-URE-2008-06-13 (Urban & Real Estate Economics)
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