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A dymimic model of housing price determination


  • Engle, Robert F.
  • Lilien, David M.
  • Watson, Mark


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Suggested Citation

  • Engle, Robert F. & Lilien, David M. & Watson, Mark, 1985. "A dymimic model of housing price determination," Journal of Econometrics, Elsevier, vol. 28(3), pages 307-326, June.
  • Handle: RePEc:eee:econom:v:28:y:1985:i:3:p:307-326

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    References listed on IDEAS

    1. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    2. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
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    Cited by:

    1. Richards, Timothy J. & Gao, Xiaoming & Patterson, Paul M., 1999. "Advertising And Retail Promotion Of Washington Apples: A Structural Latent Variable Approach To Promotion Evaluation," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(01), April.
    2. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-137, March.
    3. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    4. Schulz, Rainer & Werwatz, Axel, 2001. "A state space model for Berlin house prices," SFB 373 Discussion Papers 2001,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 165-185, June.
    6. Karlinger, Liliane, 2009. "The Underground Economy in the Late 1990s: Evading Taxes, or Evading Competition?," World Development, Elsevier, vol. 37(10), pages 1600-1611, October.
    7. Victor Ginsburgh & Jianping Mei & Michael Moses, 2006. "On the computation of art indices in art," ULB Institutional Repository 2013/7290, ULB -- Universite Libre de Bruxelles.
    8. Krelle, Wilhelm, 1997. "How to deal with unobservable variables in economics," Discussion Paper Serie B 414, University of Bonn, Germany.
    9. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2015. "Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy," Working Papers 222015, Hong Kong Institute for Monetary Research.
    10. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, Elsevier.
    11. Yusep Suparman & Henk Folmer & Johan Oud, 2014. "Hedonic price models with omitted variables and measurement errors: a constrained autoregression–structural equation modeling approach with application to urban Indonesia," Journal of Geographical Systems, Springer, vol. 16(1), pages 49-70, January.

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