nach oben

The Annals of Regional Science

Erschienen in:

08.12.2016 | Original Paper

A continuous spatio-temporal model for house prices in the USA

verfasst von: Márcio Poletti Laurini

Erschienen in: The Annals of Regional Science | Ausgabe 1/2017

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

We revisit the studies on the evolution of house prices in the USA using a spatio-temporal model estimated using a Bayesian method. This method introduces a new specification of an error correction model with random effects measured continuously in space. This model allows observing the deviations from the co-integration relationship in each analyzed location and a clearer interpretation of the house price dynamics between 1975 and 2011 for 381 metropolitan areas in the USA. The results indicate the presence of a housing price cycle, consistent with the patterns observed in the analyzed period.

Vorheriger Artikel Migration behavior of students and graduates under prevailing regional dualism: the case of South Korea

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 390 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Maschinenbau + Werkstoffe

Jetzt Wissensvorsprung sichern!

Jetzt informieren

This dataset is available in http://onlinelibrary.wiley.com/doi/10.1002/jae.2372/suppinfo, and additional details on the database construction can be found in Baltagi and Li (2014).

Abramowiz M, Stegun IA (1964) Handbook of mathematical functions. National Bureau of Standards, Washington

Arbia G (2006) Spatial econometrics—statistical foundations and applications to regional convergence. Springer, Berlin

Bailey N, Holly S, Pesaran MH (2016) A two-stage approach to spatio-temporal analysis with strong and weak cross-sectional dependence. J Appl Econom 31:249–280CrossRef

Baltagi BH, Li J (2014) Further evidence on the spatio-temporal model of house prices in the United States. J Appl Econom 29:515–522CrossRef

Besag J, York J, Mollie A (1991) Bayesian image restoration, with two applications in spatial statistics. Ann Inst Stat Math 43(1):1–20CrossRef

Bivand RS, Pebesma E, Gomes-Rubio V (2013) Applied spatial data analysis with R. Springer, New YorkCrossRef

Blangiardo M, Cameletti M (2015) Spatial and spatio-temporal models with R-INLA. Wiley, New York

Brenner SC, Scott R (2007) The mathematical theory of finite element methods. Springer, New York

Cameletti M, Lindgren F, Simpson D, Rue H (2013) Spatio-temporal modeling of particulate matter concentration through the spde approach. AStA Adv Stat Anal 97:109–131CrossRef

Chudik A, Pesaran MH, Tosetti E (2011) Weak and strong cross-section dependence and estimation of large panels. Econom J 14(1):C45–C90. doi:10.1111/j.1368-423X.2010.00330.x CrossRef

Cressie N (1993) Statistics for spatial data. Wiley, New York

Cressie N, Wikle CK (2011) Statistics for spatio-temporal data. Wiley, Hoboken

Hamilton JD (1994) Time series analysis. Princeton University Press, Princeton

Holly S, Pesaran MH, Yamagata T (2010) A spatio-temporal model of house prices in the USA. J Econom 158:160–173CrossRef

Laurini MP, Hotta LK (2014) Forecasting the term structure of interest rates using integrated nested Laplace approximations. J Forecast 33:214–230CrossRef

Lindgren F, Rue H (2015) Bayesian spatial modelling with R-INLA. J Stat Softw 63(19):1–25CrossRef

Lindgren F, Rue H, Lindstrom J (2011) An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach. J R Stat Soc Ser B 73(4):423–498CrossRef

Pesaran MH (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74(4):967–1001CrossRef

Rozanov JA (1977) Markov random fields and stochastic partial differential equations. Math URSS Sb 32:515–534CrossRef

Rue H, Held L (2005) Gaussian Markov random fields: theory and applications. Chapman & Hall—CRC, London

Rue H, Martino S, Chopin N (2009) Approximated Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion). J R Stat Soc Ser B 71:319–392CrossRef

Shiller R (2000) Irrational exuberance. Princeton University Press, Princeton

Shiller R (2007) Historic turning points in real estate. Cowles Foundation discussion paper 1610

Shiller R (2008) Understanding recent trends in house prices and homeownership. In: Jackson Hole conference series (2008), Federal Reserve Board of Kansas City, pp 85–123

Simpson D, Lindgren F, Rue H (2012) Think continuous: Markovian Gaussian models in spatial statistics. Spat Stat 1:16–29CrossRef

UCBGDGP (2009) Metropolitan and micropolitan statistical areas of the United States and Puerto Rico. U.S. Census Bureau Geography Division Geographic Products

Wall MM (2004) A close look at the spatial structure implied by the CAR and SAR models. J Stat Plan Inference 121:311–324CrossRef

Whittle P (1954) On stationary processes on the plane. Biometrika 41(7):434–449CrossRef

Titel: A continuous spatio-temporal model for house prices in the USA
verfasst von: Márcio Poletti Laurini
Publikationsdatum: 08.12.2016
Verlag: Springer Berlin Heidelberg
Erschienen in: The Annals of Regional Science / Ausgabe 1/2017
Print ISSN: 0570-1864
Elektronische ISSN: 1432-0592
DOI: https://doi.org/10.1007/s00168-016-0801-6

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Technik"

Weitere Artikel der Ausgabe 1/2017

Migration behavior of students and graduates under prevailing regional dualism: the case of South Korea

Spatial spillovers in public expenditure on a municipal level in Spain

A generic marginal value function for natural areas

The transformation of the Prato industrial district: an organisational ecology analysis of the co-evolution of Italian and Chinese firms

A hierarchical SLX model application to violent crime in Mexico

Contagious corruption, informal employment, and income: evidence from Brazilian municipalities