A state space model for Berlin house prices

Arbeitspapier

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized that this approach has no sound theoretical background. We have developed a model that partly circumvents this criticism. Based on an approximation for the present value, our model delivers a state space form for the determination of house prices. Thus, we can incorporate in an economically meaningful way other economic variables like the inflation rate, mortgage rates and returns of other assets. Under some restrictive conditions, our model reduces to the standard hedonic approach. We use the EM algorithm with a final scoring step to estimate our model with monthly data of single-family house sales from the four South-West districts of Berlin for the years 1982:7 to 1999:12.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 373 Discussion Paper ; No. 2001,58

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Index Numbers and Aggregation; Leading indicators ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Present value ; Hedonics ; Kalman Filter ; EM Algorithm ; Model Selection ; Cross-Validation Criterion

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schulz, Rainer ; Werwatz, Axel
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (wo): Berlin
• (wann): 2001

Weitere Informationen

• Handle: http://hdl.handle.net/10419/62700
• URN: urn:nbn:de:kobv:11-10050148
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ