A Spatio-Temporal Autoregressive Model for Multi-Unit Residential Market Analysis
By splitting the spatial effects into building and neighborhood effects, this paper develops a two order spatio-temporal autoregressive model to deal with both the spatio-temporal autocorrelations and the heteroscedasticity problem arising from the nature of multi-unit residential real estate data. The empirical results based on 54,282 condominium transactions in Singapore between 1990 and 1999 show that in the multi-unit residential market, a two order spatio-temporal autoregressive model incorporates more spatial information into the model, thus outperforming the models originally developed in the market for single-family homes. This implies that the specification of a spatio-temporal model should consider the physical market structure as it affects the spatial process. It is found that the Bayesian estimation method can produce more robust coefficients by efficiently detecting and correcting heteroscedasticity, indicating that the Bayesian estimation method is more suitable for estimating a real estate hedonic model than the conventional OLS estimation. It is also found that there is a trade off between the heteroscedastic robustness and the incorporation of spatial information into the model estimation. The model is then used to construct building-specific price indices. The results show that the price indices for different condominiums and the buildings within a condominium do behave differently, especially when compared with the aggregate market indices. Copyright Springer Science + Business Media, Inc. 2005
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Hwang, Min & Quigley, John M., 2002.
"Price Discovery in Time and Space: The Course of Condominium Prices in Singapore,"
Department of Economics, Working Paper Series
qt7ph788mn, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Hwang, Min & Quigley, John M., 2002. "Price Discovery in Time and Space: The Course of Condominium Prices in Singapore," Department of Economics, Working Paper Series qt260185hr, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Min Hwang & John M. Quigley, 2003. "Price Discovery in Time and Space: The Course of Condominium Prices in Singapore," Macroeconomics 0303011, EconWPA.
- Hwang, Min & Quigley, John M., 2007. "Price Discovery in Time and Space: The Course of Condominium Prices in Singapore," Berkeley Program on Housing and Urban Policy, Working Paper Series qt1wn5v55d, Berkeley Program on Housing and Urban Policy.
- Clapp, John M & Rodriguez, Mauricio, 1999. "Erratum: Spatiotemporal Autoregressive Models of Neighborhood Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 19(1), pages 85, July.
- Dubin, Robin A, 1988. "Estimation of Regression Coefficients in the Presence of Spatially Autocorrelated Error Terms," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 466-74, August.
- R. Kelley Pace & James P. LeSage, 2004.
"Spatial Statistics and Real Estate,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 29(2), pages 147-148, 09.
- 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 125-37, March.
- Karl E. Case & Robert J. Shiller, 1988. "The Efficiency of the Market for Single-Family Homes," NBER Working Papers 2506, National Bureau of Economic Research, Inc.
- R. Kelley Pace & Otis W. Gilley, 1998. "Generalizing the OLS and Grid Estimators," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(2), pages 331-347.
- Basu, Sabyasachi & Thibodeau, Thomas G, 1998. "Analysis of Spatial Autocorrelation in House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 61-85, July.
- Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S19-40, Suppl. De.
- Pace, R Kelley, et al, 1998. "Spatiotemporal Autoregressive Models of Neighborhood Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 15-33, July.
- Deo Bardhan, Ashok & Datta, Rajarshi & Edelstein, Robert H. & Sau Kim, Lum, 2003. "A tale of two sectors: Upward mobility and the private housing market in Singapore," Journal of Housing Economics, Elsevier, vol. 12(2), pages 83-105, June.
- McMillen, Daniel P., 1996. "One Hundred Fifty Years of Land Values in Chicago: A Nonparametric Approach," Journal of Urban Economics, Elsevier, vol. 40(1), pages 100-124, July.
- Pace, R. Kelley & Barry, Ronald & Gilley, Otis W. & Sirmans, C. F., 2000. "A method for spatial-temporal forecasting with an application to real estate prices," International Journal of Forecasting, Elsevier, vol. 16(2), pages 229-246.
- Kevin Gillen & Thomas Thibodeau & Susan Wachter, .
"Anistropic Autocorrelation in House Prices,"
Zell/Lurie Center Working Papers
383, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
- Alan E. Gelfand & Mark D. Ecker & John R. Knight & C. F. Sirmans, 2004. "The Dynamics of Location in Home Price," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 149-166, 09.
- 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.
When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:31:y:2005:i:2:p:155-187. 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 (Christopher F. Baum)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.