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Past price ‘memory’ in the housing market: testing the performance of different spatio-temporal specifications |
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| Authors: | Jean Dubé Diègo Legros Sotirios Thanos |
| Institution: | 1. école supérieure d’aménagement du territoire et de développement régional (éSAD), Université Laval, Quebec City, QC, Canada;2. diego.legros@u-bourgogne.fr Laboratoire d’économie de Dijon, Université de Bourgogne, Dijon, France.;3. sotirios.thanos@manchester.ac.uk School of Environment, Education &4. Development, University of Manchester, Manchester, UK. |
| 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. |
| Keywords: | hedonic pricing spatial econometrics spatial-weight matrix spatio-temporal housing market spatio-temporal autoregressive (STAR) spatial autoregressive (SAR) |