A Spatial and Temporal Autoregressive Local Estimation for the Paris Housing Market
This original study examines the potential of a spatiotemporal autoregressive Local (LSTAR) approach in modelling transaction prices for the housing market in inner Paris. We use a data set from the Paris Region notary office (“Chambre des notaires d’Île-de-France”) which consists of approximately 250,000 transactions units between the first quarter of 1990 and the end of 2005. We use the exact X -- Y coordinates and transaction date to spatially and temporally sort each transaction. We first choose to use the spatiotemporal autoregressive (STAR) approach proposed by Pace, Barry, Clapp and Rodriguez (1998). This method incorporates a spatiotemporal filtering process into the conventional hedonic function and attempts to correct for spatial and temporal correlative effects. We find significant estimates of spatial dependence effects. Moreover, using an original methodology, we find evidence of a strong presence of both spatial and temporal heterogeneity in the model. It suggests that spatial and temporal drifts in households socio-economic profiles and local housing market structure effects are certainly major determinants of the price level for the Paris Housing Market.
|Date of creation:||Jul 2009|
|Contact details of provider:|| Postal: ESSEC Research Center, BP 105, 95021 Cergy, France|
Web page: http://www.essec.edu/
More information through EDIRC
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.:
- Ingrid Nappi-Choulet Pr. & Tristan-Pierre Maury, 2009.
"A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 37(2), pages 305-340.
- Nappi-Choulet, Ingrid & Maury, Tristan-Pierre, 2008. "A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market," ESSEC Working Papers DR 08008, ESSEC Research Center, ESSEC Business School.
- 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 1-85, July.
- Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
- 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.
- A S Fotheringham & M E Charlton & C Brunsdon, 1998. "Geographically Weighted Regression: A Natural Evolution of the Expansion Method for Spatial Data Analysis," Environment and Planning A, , vol. 30(11), pages 1905-1927, November.
- 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.
- Kelley Pace, R. & Barry, Ronald, 1997. "Sparse spatial autoregressions," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 291-297, May.
- 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.
- Bourassa, Steven C. & Hoesli, Martin & Peng, Vincent S., 2003. "Do housing submarkets really matter?," Journal of Housing Economics, Elsevier, vol. 12(1), pages 12-28, March.
- 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.
- 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.
- 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 203-222, Jan.-Marc.
- 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. Full references (including those not matched with items on IDEAS)