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Past price ‘memory’ in the housing market: testing the performance of different spatio-temporal specifications

Jean Dubé, Diègo Legros and Sotirios Thanos

Spatial Economic Analysis, 2018, vol. 13, issue 1, 118-138

Abstract: Recent methodological developments provide a way to incorporate the temporal dimension when accounting for spatial effects in hedonic pricing. Weight matrices should decompose the spatial effects into two distinct components: bidirectional contemporaneous spatial connections; and unidirectional spatio-temporal effects from past transactions. Our iterative estimation approach explicitly analyses the role of time in price determination. The results show that both spatio-temporal components should be included in model specification; past transaction information stops contributing to price determination after eight months; and limited temporal friction is exhibited within this period. These findings highlight the decidedly non-linear temporal patterns of such information effects.

Date: 2018
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DOI: 10.1080/17421772.2018.1395063

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Handle: RePEc:taf:specan:v:13:y:2018:i:1:p:118-138