Past price “memory” in the housing market: testing the performance of different spatio-temporal specifications.

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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: i) bidirectional contemporaneous spatial connections; ii) 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 8 months; limited temporal friction is exhibited within this period. These findings highlight the decidedly non-linear temporal patterns of such information effects.

Bibliographical metadata

Original languageEnglish
Pages (from-to)118-138
JournalSpatial Economic Analysis
Volume13
Issue number1
Early online date21 Nov 2017
DOIs
Publication statusPublished - 2018

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