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A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market

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Author Info
Nappi-Choulet, Ingrid () (ESSEC Business School)
Maury, Tristan-Pierre () (ESSEC Business School)

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Abstract

This 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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Publisher Info
Paper provided by ESSEC Research Center, ESSEC Business School in its series ESSEC Working Papers with number DR 08008.

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Length: 41 pages
Date of creation: Apr 2008
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Handle: RePEc:ebg:essewp:dr-08008

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Related research
Keywords: Hedonic Prices; Paris Office Property Market; Spatiotemporal Autoregressive Price Index; Temporal Heterogeneity;

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Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
D40 - Microeconomics - - Market Structure and Pricing - - - General
R33 - Urban, Rural, and Regional Economics - - Production Analysis and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Can, Ayse & Megbolugbe, Isaac, 1997. "Spatial Dependence and House Price Index Construction," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 203-22, Jan.-Marc. [Downloadable!] (restricted)
  2. Bourassa, Steven C. & Hoesli, Martin & Peng, Vincent S., 2003. "Do housing submarkets really matter?," Journal of Housing Economics, Elsevier, vol. 12(1), pages 12-28, March. [Downloadable!] (restricted)
  3. Bourassa, Steven C. & Hamelink, Foort & Hoesli, Martin & MacGregor, Bryan D., 1999. "Defining Housing Submarkets," Journal of Housing Economics, Elsevier, vol. 8(2), pages 160-183, June. [Downloadable!] (restricted)
  4. Clapp, John M. & Wang, Yazhen, 2006. "Defining neighborhood boundaries: Are census tracts obsolete?," Journal of Urban Economics, Elsevier, vol. 59(2), pages 259-284, March. [Downloadable!] (restricted)
  5. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
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  6. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
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