The error structure of time series cross‐section hedonic models with sporadic event timing and serial correlation

Gregory S. Amacher and Daniel Hellerstein

Journal of Applied Econometrics, 1999, vol. 14, issue 3, 233-252

Abstract: When estimating hedonic models of housing prices, the use of time series cross‐section repeat sales data can provide improvements in estimator efficiency and correct for unobserved characteristics. However, in cases where serial correlation is present, the irregular timing of sales should also be considered. In this paper we develop a model that uses information on the timing of events to account for the sporadic occurrence of events. The model presumes that the serial correlation process can be decomposed into a time‐independent (event‐wise) component and a time‐dependent (time‐wise) component. Empirical tests cannot reject the presence of sporadic correlation patterns, while simulations show that the failure to account for sporadic correlation leads to significant losses in efficiency, and that the losses from ignoring sporadic correlation when it exists are larger than losses when sporadic correlation is falsely assumed. Copyright © 1999 John Wiley & Sons, Ltd.

Date: 1999
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https://doi.org/10.1002/(SICI)1099-1255(199905/06)14:33.0.CO;2-A

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Journal Article: The Error Structure of Time Series Cross-Section Hedonic Models with Sporadic Event Timing and Serial Correlation (1999)
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