A spatio-temporal model of housing prices based on individual sales transactions over time |
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Authors: | Tony E Smith Peggy Wu |
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Institution: | (1) Department of Electrical and Systems Engineering, University of Pennsylvania, Philadelphia, PA 19104, USA;(2) Department of Policy and Information Services, The Reinvestment Fund, Philadelphia, PA 19106, USA |
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Abstract: | A spatio-temporal model of housing price trends is developed that focuses on individual housing sales over time. The model
allows for both the spatio-temporal lag effects of previous sales in the vicinity of each housing sale, and for general autocorrelation
effects over time. A key feature of this model is the recognition of the unequal spacing between individual housing sales
over time. Hence the residuals are modeled as a first-order autoregressive process with unequally spaced events. The maximum-likelihood
estimation of this model is developed in detail, and tested in terms of simulations based on selected data. In addition, the
model is applied to a small data set in the Philadelphia area. |
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Keywords: | |
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