A State Space Model for Berlin House Prices: Estimation and Economic Interpretation

Journal of Real Estate Finance and Economics

Volumn 28, Issue 1, 2004, Pages 37-57

  Schulz, Rainer ^a   Werwatz, Axel ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b DIW BERLIN   (Germany)

Author keywords

Cross validation criterion; EM algorithm; Hedonics; Present value

Indexed keywords

EID: 0347756805     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1026373523075     Document Type: Article

References (35)

1. Berger, T., P. Englund, P. H. Hendershott, and B. Turner. (2000). "The Capitalization of Interest Subsidies: Evidence from Sweden," Journal of Money, Credit, and Banking 32, 199-217.
2. Bruce, D., and D. Holtz-Eakin. (1999). "Fundamental Tax Reform and Residential Housing," Journal of Housing Economics 8, 249-271.
3. Bunke, O., B. Droge, and J. Polzehl. (1999). "Model Selection, Transformations and Variance Estimation in Nonlinear Regression," Statistics 33, 197-240.
4. Campbell, J. Y., A. W. Lo, and A. C. MacKinlay, 1997. The Econometrics of Financial Markets. Princeton, New Jersey: Princeton University Press.
5. Case, B., and J. M. Quigley. (1991). "The Dynamics of Real Estate Prices," Review of Economics and Statistics 73, 50-58.
6. Case, K. E., J. M. Quigley, and R. J. Shiller. (2001). "Comparing Wealth Effects: The Stock Market Versus The Housing Market," Working Paper W8606, National Bureau of Economic Research.
7. Chinloy, P., M. Cho, and I. F. Megbolugbe. (1997). "Appraisals, Transaction Incentives, and Smoothing," Journal of Real Estate Finance and Economics 14, 89-111.
8. Cockrane, J. H. (2001). Asset Pricing. Princeton, New Jersey: Princeton University Press.
9. Dempster, A. P., N. M. Laird, and D. B. Rubin. (1977). "Maximum Likelihood from Incomplete Data via the EM Algorithm," Journal of the Royal Statistical Society-Series B 39, 1-38.
10. Dombrow, J., J. Knight, and C. Sirmans. (1997). "Aggregation Bias in Repeat-Sales Indices," Journal of Real Estate Finance and Economics 14, 75-88.
11. Durbin, J., and S. J. Koopman. (2001). Time Series Analysis by State Space Methods, Oxford Statistical Science Series 24. Oxford: Oxford University Press.
12. Engle, R. F., D. M. Lilien, and M. Watson. (1985). "A DYMIMIC Model of Housing Price Determination," Journal of Econometrics 28, 307-326.
13. Engle, R. F., and M. W. Watson. (1981). "A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates," Journal of the American Statistical Association 76, 774-781.
14. Englund, P., and Y. M. Ioannides. (1997). "House Price Dynamics: An International Empirical Perspective," Journal of Housing Economics 6, 119-136.
15. Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press.
16. Hendershott, P. H., and M. White. (2000). "The Rise and Fall of Housing's Favored Investment Status," Journal of Housing Research 11, 257-275.
17. Hill, R. C., J. Knight, and C. Sirmans. (1997). "Estimating Capital Asset Price Indexes," Review of Economics and Statistics 79, 226-233.
18. Homburg, S. (1994). "Staatseingriffe auf dem Wohnungsmarkt und Marktunvollkommenheiten. Miete versus Selbstnutzung". In Expertenkommission Wohnungspolitik (ed.), Wohnungspolitik auf dem Prüfstand. Materialband zum Gutachten im Auftrag der Bundesregierung. Bonn.
19. Ling, D. C., and A. Naranjo. (1997). "Economic Risk Factors and Commercial Real Estate Returns," Journal of Real Estate Finance and Economics 15, 283-307.
20. Miles, D. (1994). Housing, Financial Markets and the Wider Economy, Series in Financial Economics and Quantitative Analysis. New York: John Wiley & Sons.
21. Nautz, D., and J. Wolters. (1996). "Die Entwicklung langfristiger Kredit-zinssätze: Eine empirische Analyse," Kredit und Kapital 29, 481-510.
22. Palmquist, R. B. (1980). "Alternative Techniques for Developing Real Estate Price Indexes," Review of Economics and Statistics 62, 442-448.
23. Poterba, J. M. (1984). "Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach," Quarterly Journal of Economics 99, 729-752.
24. Poterba, J. M. (1991). "House Price Dynamics: The Role of Tax Policy and Demography," Brookings Papers on Economic Activity 1991(2), 143-203.
25. Ring Deutscher Makler. (1989-1999). "RDM Preisspiegel," Ring Deutscher Makler Bundesverband e. V., Hamburg. various issues, www.rdm.de.
26. Rosen, S. (1974). "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition," Journal of Political Economy 82, 34-55.
27. Schulz, R., and A. Werwatz. (2001). "A State Space Model for Berlin House Prices," Discussion Paper 58, SFB 373 Humboldt-Universität zu Berlin.
28. Schwann, G. M. (1998). "A Real Estate Price Index for Thin Markets," Journal of Real Estate Finance and Economics 16, 269-287.
29. Senatsverwaltung für Stadtentwicklung und Investitionsbank Berlin. (2002). Der Berliner Wohnungsmarkt. Entwicklungen und Strukturen 1991-2000. Berlin: Regioverlag.
30. Shiller, R. J. (1993a). Macro Markets. Creating Institutions for Managing Society's Largest Economic Risks. Oxford: Clarendon Press.
31. Shiller, R. J. (1993b). "Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures," Journal of Finance 48, 911-931.
32. Shumway, R. H., and D. S. Stoffer. (1982). "An Approach to Time Series Smoothing and Forecasting Using the EM Algorithm," Journal of Time Series Analysis 3, 253-264.
33. Shumway, R. H., and D. S. Stoffer. (2000). Time Series Analysis and Its Applications. Berlin: Springer-Verlag.
34. Watson, M. W., and R. F. Engle. (1983). "Alternative Algorithms for the Estimation of Dynamic Factor, MIMIC and Varying Coefficient Regression Models," Journal of Econometrics 23, 385-400.
35. Wu, L. S.-Y., J. S. Pai, and J. R. M. Hosking. (1996). "An Algorithm for Estimating Parameters of State-Space Models," Statistics & Probability Letters 28, 99-106.