IDEAS home Printed from
   My bibliography  Save this article

Spatiotemporal Autoregressive Models of Neighborhood Effects


  • Pace, R Kelley
  • Barry, Ronald
  • Clapp, John M.
  • Rodriquez, Mauricio


Using 70,822 observations on housing prices from 1969 to 1991 from Fairfax County Virginia, this article demonstrates the substantial benefits obtained by modeling the spatial as well as the temporal dependence of the data. Specifically, the spatiotemporal autoregression with twelve variables reduced median absolute error by 37.35 percent relative to an indicator-based model with twenty-six variables. One-step ahead forecasts also document the improved performance of the proposed spatiotemporal model. In addition, the article illustrates techniques for rapidly computing the estimates and shows how to compute indices for any location. Copyright 1998 by Kluwer Academic Publishers

Suggested Citation

  • Pace, R Kelley & Barry, Ronald & Clapp, John M. & Rodriquez, Mauricio, 1998. "Spatiotemporal Autoregressive Models of Neighborhood Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 15-33, July.
  • Handle: RePEc:kap:jrefec:v:17:y:1998:i:1:p:15-33

    Download full text from publisher

    File URL:
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. Iacoviello, Matteo & Ortalo-Magne, Francois, 2003. "Hedging Housing Risk in London," The Journal of Real Estate Finance and Economics, Springer, vol. 27(2), pages 191-209, September.
    2. Goetzmann, William Nelson, 1993. "The Single Family Home in the Investment Portfolio," The Journal of Real Estate Finance and Economics, Springer, vol. 6(3), pages 201-222, May.
    3. Baesel, Jerome B. & Biger, Nahum, 1980. "The Allocation of Risk: Some Implications of Fixed versus Index-Linked Mortgages," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(02), pages 457-468, June.
    4. Joao Cocco, 2000. "Hedging House Price Risk With Incomplete Markets," Computing in Economics and Finance 2000 317, Society for Computational Economics.
    5. John Y. Campbell, 2006. "Household Finance," Journal of Finance, American Finance Association, vol. 61(4), pages 1553-1604, August.
    6. Steven C. Bourassa & Donald R. Haurin & Jessica L. Haurin & Martin Hoesli & Jian Sun, 2009. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(2), pages 259-278.
    7. Englund, Peter & Hwang, Min & Quigley, John M, 2002. "Hedging Housing Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 167-200, Jan.-Marc.
    8. Marjorie Flavin & Takashi Yamashita, 2002. "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, American Economic Association, vol. 92(1), pages 345-362, March.
    9. Shiller, Robert J & Weiss, Allan N, 1999. "Home Equity Insurance," The Journal of Real Estate Finance and Economics, Springer, vol. 19(1), pages 21-47, July.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:17:y:1998:i:1:p:15-33. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.