Time on the Market and Probability of Sale Using a Generalized Geometric Hazard Model

Steven B Caudill, Bogosavljevic Ksenija (), Johnson Ken H. () and Franklin Mixon
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Bogosavljevic Ksenija: Department of Finance, Florida Atlantic University, Boca Raton 33431, FL, USA
Johnson Ken H.: Department of Finance, Florida Atlantic University, Boca Raton 33431, FL, USA

Journal of Econometric Methods, 2022, vol. 11, issue 1, 1-16

Abstract: This study makes two main contributions to the applied econometrics literature. First, it shows how the all-important marginal effects for time on the market and probability of sale can be obtained from any hazard model. Second, it extends the generalization of the geometric due to Gómez-Déniz, E. 2010. “Another Generalization of the Geometric Distribution.” Test 19: 399–415 to include covariates for use in the estimation of time on the market and probability of sale regressions in real estate, thus creating an entirely new hazard model based on probability of sale rather than time on the market. For the generalized geometric we develop expressions for the marginal effects (with approximate standard errors) for both the probability of sale and time on the market. This formulation allows the impact of changes in independent variables on both the probability of sale and time on the market to be determined from a single regression model. For comparison, we also obtain these two sets of marginal effects for the popular Weibull hazard model. The geometric, generalized geometric, and Weibull hazard models, along with two sets of marginal effects for each, are estimated using data on condominium listings in a metropolitan area in Florida.

Keywords: discrete-time hazard model; generalized geometric distribution; Weibull distribution; time on market; probability of sale; real estate economics (search for similar items in EconPapers)
JEL-codes: C18 C25 D83 L85 R30 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1515/jem-2020-0017

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