The Anisotropic Spatiotemporal Estimation of Housing Prices

Jin Zhao ()

The Journal of Real Estate Finance and Economics, 2015, vol. 50, issue 4, 484-516

Abstract: This paper develops a method to identify three-dimensional anisotropic spatiotemporal autocorrelation with an application to real estate markets. A large literature modeling spatiotemporal autocorrelation in house prices assumes that the spatiotemporal dependence structure is isotropic: a function of only distances between observations, and therefore the direction effect is dismissed. If the importance of direction is dismissed or understated, an estimation result would be biased and therefore less precise unless the distribution of observations is in rare case of being directional homogeneous. This paper thus proposes a local anisotropic spatiotemporal approach to improve estimation performance. The methodology is illustrated by using data on single-family house transactions in the San Francisco Bay Area. The empirical results suggest that the proposed three-dimensional anisotropic modeling technique can reduce both in-sample estimation and out-of-sample forecast errors. Copyright Springer Science+Business Media New York 2015

Keywords: Spatiotemporal regression; Hedonic price model; Anisotropic spatiotemporal correlation; Housing market (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11146-014-9478-8

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