Examining the Information Content of Residuals from Hedonic and Spatial Models Using Trees and Forests

《Examining the Information Content of Residuals from Hedonic and Spatial Models Using Trees and Forests》

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作者单位: LREC Endowed Chair of Real Estate Department of FinanceE.J. Ourso College of Business Administration Louisiana State University Baton RougeBaton RougeUSA;Department of Insurance, Legal Studies and Real EstateUniversity of Georgia AthensAthensUSA

摘要: Machine learning algorithms such as neural nets, support vector machines, and tree-based techniques (classification and regression trees) have shown great success in dealing with a number of complex problems (Hastie et al. 2009). However, real estate data exhibit both temporal dependence and high levels of spatial dependence (Pace et al., International Journal of Forecasting16(2), 229–246, 2000; LeSage and Pace 2009) that may make it harder to use with off-the-shelf machine learning procedures. We examine tree-based techniques (CART, boosting, and bagging) and compare these to spatiotemporal methods. We find that bagging works well and can give lower ex-sample residuals than global spatiotemporal methods, but do not perform better than local spatiotemporal methods.