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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.55,Issue4,P.511-532

语言

英文

关键字

Commercial real estate; Residential real estate; Property price indices; Thin markets; Bayesian inference; Kalman filter; State space models; THIN MARKETS; CONSTRUCTION; REGRESSION; SINGAPORE; WINBUGS; TIME

作者单位

[Francke, Marc K.] Amsterdam Business Sch, Plantage Muidergracht 12, NL-1081 TV Amsterdam, Netherlands. [Francke, Marc K.] Ortec Finance, Naritaweg 51, NL-1043 BP Amsterdam, Netherlands. [van de Minne, Alex] MIT, Ctr Real Estate, 105 Massachusetts Ave, Cambridge, MA 02139 USA. Francke, MK (reprint author), Amsterdam Business Sch, Plantage Muidergracht 12, NL-1081 TV Amsterdam, Netherlands.; Francke, MK (reprint author), Ortec Finance, Naritaweg 51, NL-1043 BP Amsterdam, Netherlands. E-Mail: m.k.francke@uva.nl; avdminne@mit.edu

摘要

This paper concerns the estimation of granular property price indices in commercial real estate and residential markets. We specify and apply a repeat sales model with multiple stochastic log price trends having a hierarchical additive structure: One common log price trend and cluster specific log price trends in deviation from the common trend. Moreover, we assume that the error terms potentially have a heavy tailed (t) distribution to effectively deal with outliers. We apply the hierarchical repeat sales model on commercial properties in the Philadelphia/Baltimore region and on residential properties in a small part of Amsterdam. The results show that the hierarchical repeat sales model provides reliable indices on a very detailed level based on a small number of observations. The estimated degrees of freedom for the t-distribution is small, largely rejecting the commonly made assumption of normality of the error term.