Dealing with Unobserved Heterogeneity in Hedonic Price Models

@article{Francke2018DealingWU,
  title={Dealing with Unobserved Heterogeneity in Hedonic Price Models},
  author={Marc K. Francke and Alex van de Minne},
  journal={ERN: Analytical Models (Topic)},
  year={2018}
}
This paper deals with unobserved heterogeneity in hedonic price models, arising from missing property and locational characteristics. In specific, commercial real estate is very heterogeneous, and data on detailed property characteristics are often lacking. We show that adding mutually independent property random effects to a hedonic price model results in more precise out-of-sample price predictions, both for commercial multifamily housing in Los Angeles and owner-occupied single family… 
3 Citations

A New Dynamic House-Price Index

Using a newly available panel data set containing property-specific, time-varying hedonic characteristics and sales prices, we develop a new dynamic house-price model that is suitable for

Does Investor Size Matter? Evidence from Commercial Real Estate Transactions

Employing an efficient Bayesian estimation procedure, Integrated Nested Laplace Approximation (INLA), we find evidence of Investor Size Premium. Controlling for investor skill, financing constraints,

Information Asymmetries, Financial Constraints and Institutional Investment: Evidence from the Real Estate Market

In this paper we analyze the underlying economic mechanisms that might be driving the observed patterns in commercial real estate prices, as an interplay between buyer and seller characteristics (in

References

SHOWING 1-10 OF 44 REFERENCES

Estimating time, age and vintage effects in housing prices

Transaction‐Based Office Price Indexes: A Spatiotemporal Modeling Approach

This study examines the potential of a two-order spatiotemporal autoregressive model with a Bayesian heteroskedasticity robust procedure in modeling strata-titled Singapore office unit transaction

A Simple Hybrid Model for Estimating Real Estate Price Indexes

Abstract The accurate measurement of housing and real estate prices is of real theoretical importance and is crucial to understanding the operation of the housing market. Two basic techniques -

The Dynamics of Real Estate Prices

Several studies of housing price trends recommend combining statistical analysis to repeat sales of residential properties. Recently, price indices derived from these techniques have formed the basis

The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price Indices

This paper concerns the estimation of granular property price indices in commercial real estate and residential markets. We specify and apply a repeat sales model with multiple stochastic log price

A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market

This article applies the spatiotemporal hedonic approach to the analysis of office transaction prices in the Paris property market (i.e., central Paris and its inner suburbs). The analysis focuses

Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values*

This paper develops a model of price formation in the housing market which accounts for the non-random selection of those dwellings sold on the market from the stock of existing houses. The model we

Spatial Hedonic Models

In this chapter, we focus on some econometric aspects related to a sub-set of hedonic house price models, which we refer to as spatial hedonic models. In these, the locational aspects of the

Hedonic Regressions and the Decomposition of a House Price Index into Land and Structure Components

The paper uses hedonic regression techniques in order to decompose the price of a house into land and structure components using readily available real estate sales data for a small Dutch city. To

Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition

  • S. Rosen
  • Economics
    Journal of Political Economy
  • 1974
A class of differentiated products is completely described by a vector of objectively measured characteristics. Observed product prices and the specific amounts of characteristics associated with