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A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market

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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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
Date of revision:
Handle: RePEc:ebg:essewp:dr-08008
Contact details of provider: Postal: ESSEC Research Center, BP 105, 95021 Cergy, France
Web page: http://www.essec.edu/
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  1. 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.
  2. 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.
  3. Steven C. BOURASSA & Martin HOESLI & Vincent S. PENG, 2002. "Do Housing Submarkets Really Matter?," FAME Research Paper Series rp58, International Center for Financial Asset Management and Engineering.
  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.
  5. 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.
  6. John Doiron & James D. Shilling & C.F. Sirmans, 1992. "Do Market Rents Reflect the Value of Special Building Features? The Case of Office Atriums," Journal of Real Estate Research, American Real Estate Society, vol. 7(2), pages 147-156.
  7. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
  8. Peter F. Colwell & Henry J. Munneke & Joseph W. Trefzger, 1998. "Chicago's Office Market: Price Indices, Location and Time," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(1), pages 83-106.
  9. Steven Bourassa & Eva Cantoni & Martin Hoesli, 2007. "Spatial Dependence, Housing Submarkets, and House Price Prediction," The Journal of Real Estate Finance and Economics, Springer, vol. 35(2), pages 143-160, August.
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