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A Spatial Hedonic Model with Time-Varying Parameters: A New Method Using Flexible Least Squares

  • Kuethe, Todd H.
  • Foster, Kenneth A.
  • Florax, Raymond J.G.M.

The following paper outlines a new econometric model designed to capture both the temporal and spatial dynamics of housing prices. The paper combines existing spatial econometric techniques with a model that allows parameters to evolve over time. In addition, we provide an empirical application to the price effects of confined animal feeding operations to a data set of residential real estate in Tippecanoe County, Indiana from 1993 through 2006.

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File URL: http://purl.umn.edu/6306
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Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida with number 6306.

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Date of creation: 2008
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Handle: RePEc:ags:aaea08:6306
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  1. Jeffrey P. Cohen & Cletus C. Coughlin, 2006. "Spatial hedonic models of airport noise, proximity, and housing prices," Working Papers 2006-026, Federal Reserve Bank of St. Louis.
  2. Thomas G. Thibodeau, 2003. "Marking Single-Family Property Values to Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(1), pages 1-22, 03.
  3. Tesfatsion, Leigh S. & Veitch, J., 1990. "U.S. Money Demand Instability: A Flexible Least Squares Approach," Staff General Research Papers 11193, Iowa State University, Department of Economics.
  4. Won Kim, Chong & Phipps, Tim T. & Anselin, Luc, 2003. "Measuring the benefits of air quality improvement: a spatial hedonic approach," Journal of Environmental Economics and Management, Elsevier, vol. 45(1), pages 24-39, January.
  5. Espey, Molly & Fakhruddin, Fahmida & Gering, Lawrence R. & Lin, Huiyan, 2007. "Living on the Edge: Residential Property Values in the Urban-Rural Interface," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 39(03), December.
  6. Robert Armstrong & Daniel Rodríguez, 2006. "An Evaluation of the Accessibility Benefits of Commuter Rail in Eastern Massachusetts using Spatial Hedonic Price Functions," Transportation, Springer, vol. 33(1), pages 21-43, 01.
  7. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "An Organizing Principle for Dynamic Estimation," Staff General Research Papers 11194, Iowa State University, Department of Economics.
  8. Anselin, Luc, 2002. "Under the hood : Issues in the specification and interpretation of spatial regression models," Agricultural Economics, Blackwell, vol. 27(3), pages 247-267, November.
  9. Baltagi, Badi H. & Heun Song, Seuck & Cheol Jung, Byoung & Koh, Won, 2007. "Testing for serial correlation, spatial autocorrelation and random effects using panel data," Journal of Econometrics, Elsevier, vol. 140(1), pages 5-51, September.
  10. Kalaba, Robert E. & Tesfatsion, Leigh S., 1989. "Sequential Nonlinear Estimation With Nonaugmented Priors," Staff General Research Papers 11197, Iowa State University, Department of Economics.
  11. Giovanni Montana & Kostas Triantafyllopoulos & Theodoros Tsagaris, 2007. "Flexible least squares for temporal data mining and statistical arbitrage," Papers 0709.3884, arXiv.org.
  12. Gelfand, Alan E, et al, 1998. "Spatio-Temporal Modeling of Residential Sales Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 312-21, July.
  13. David Brasington & D. Haurin, . "Educational Outcomes and House Values: A Test of the Value-Added Approach," Departmental Working Papers 2003-05, Department of Economics, Louisiana State University.
  14. Dorfman, Jeffrey H. & Foster, Kenneth A., 1991. "Estimating Productivity Changes With Flexible Coeficients," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(02), December.
  15. Kalaba, Robert E. & Tesfatsion, Leigh S., 1988. "The Flexible Least Squares Approach to Time-Varying Linear Regression," Staff General Research Papers 11198, Iowa State University, Department of Economics.
  16. Robert W. Paterson & Kevin J. Boyle, 2002. "Out of Sight, Out of Mind? Using GIS to Incorporate Visibility in Hedonic Property Value Models," Land Economics, University of Wisconsin Press, vol. 78(3), pages 417-425.
  17. Tucci, Marco P., 1990. "A note on flexible least squares," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 175-182, February.
  18. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers 11190, Iowa State University, Department of Economics.
  19. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-23, March.
  20. Boxall, Peter C. & Chan, Wing H. & McMillan, Melville L., 2005. "The impact of oil and natural gas facilities on rural residential property values: a spatial hedonic analysis," Resource and Energy Economics, Elsevier, vol. 27(3), pages 248-269, October.
  21. 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.
  22. David Brasington & D. Hite, . "Demand for Environmental Quality: A Spatial Hedonic Analysis," Departmental Working Papers 2003-02, Department of Economics, Louisiana State University.
  23. Kelvin J. Lancaster, 1966. "A New Approach to Consumer Theory," Journal of Political Economy, University of Chicago Press, vol. 74, pages 132.
  24. Anselin, Luc, 2002. "Under the hood Issues in the specification and interpretation of spatial regression models," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 27(3), November.
  25. Florax, Raymond & Folmer, Henk, 1992. "Specification and estimation of spatial linear regression models : Monte Carlo evaluation of pre-test estimators," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 405-432, September.
  26. Halvorsen, Robert & Palmquist, Raymond, 1980. "The Interpretation of Dummy Variables in Semilogarithmic Equations," American Economic Review, American Economic Association, vol. 70(3), pages 474-75, June.
  27. 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.
  28. 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.
  29. Darla K Munroe, 2007. "Exploring the determinants of spatial pattern in residential land markets: amenities and disamenities in Charlotte, NC, USA," Environment and Planning B: Planning and Design, Pion Ltd, London, vol. 34(2), pages 336-354, March.
  30. Lutkepohl, Helmut & Herwartz, Helmut, 1996. "Specification of varying coefficient time series models via generalized flexible least squares," Journal of Econometrics, Elsevier, vol. 70(1), pages 261-290, January.
  31. Rosen, Sherwin, 1974. "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition," Journal of Political Economy, University of Chicago Press, vol. 82(1), pages 34-55, Jan.-Feb..
  32. Poray, Michael C. & Foster, Kenneth A. & Dorfman, Jeffrey H., 2000. "Measuring An Almost Ideal Demand System With Generalized Flexible Least Squares," 2000 Annual meeting, July 30-August 2, Tampa, FL 21796, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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