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Dealing With Unobserved Heterogeneity In Hedonic Price Models
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Book Synopsis Dealing with Unobserved Heterogeneity in Hedonic Price Models by : Marc Francke
Download or read book Dealing with Unobserved Heterogeneity in Hedonic Price Models written by Marc Francke and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper deals with unobserved heterogeneity in hedonic price models, arising from missing property and locational characteristics. In specific, commercial real estate is very heterogeneous, and data on detailed property characteristics are often lacking. We show that adding mutually independent property random effects to a hedonic price model results in more precise out-of-sample price predictions, both for commercial multifamily housing in Los Angeles and owner-occupied single family housing in Heemstede, the Netherlands. The standard hedonic price model does not take advantage of the fact that some properties sell more than once. We subsequently show that adding spatial random effects leads to an additional increase in prediction accuracy. The increase is highest for properties without prior sales.
Book Synopsis Advances in Nonmarket Valuation Econometrics by : Jin Woo Yoo
Download or read book Advances in Nonmarket Valuation Econometrics written by Jin Woo Yoo and published by . This book was released on 2011 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Online Appendix for Controlling Unobserved Heterogeneity in Repeat Sales Models by : John M. Clapp
Download or read book Online Appendix for Controlling Unobserved Heterogeneity in Repeat Sales Models written by John M. Clapp and published by . This book was released on 2019 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the Online Appendix for: Controlling Unobserved Heterogeneity in Repeat Sales Models: Application to Anchoring to Purchase PriceStocks, art, automobiles, housing, corporate bonds and other assets are often studied in a repeat sales framework in order to control unobserved heterogeneity. But unobserved variables that influence both first and second sales remain a troubling source of omitted heterogeneity for a large group of two-stage repeat sales models. We develop a simulation algorithm to correct omitted variable bias. Our algorithm is based on a function of the variance of the unobserved as a proportion of a measurable value: the total variance of unobserved plus random noise associated with the first sale. We illustrate our model with an application to seller anchoring to the price paid for a house. Our simulation results suggest that premiums on expected losses are reduced by about 50% compared to conventional models, as expected if our algorithm reduces unobserved heterogeneity. We use property tax assessed value data to control endogeneity and to validate our simulation algorithm. Our algorithm can be estimated with standard hedonic data and it is relevant to many two-stage studies, including boundary effects models, studies of credit spreads in bond markets and firm acquisitions.
Book Synopsis Additive Hedonic Regression Models with Spatial Scaling Factors by : Wolfgang A. Brunauer
Download or read book Additive Hedonic Regression Models with Spatial Scaling Factors written by Wolfgang A. Brunauer and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is motivated by two common challenges in hedonic price modeling: nonlinear price functions, which require flexible modeling approaches, and the inherent spatial heterogeneity in real estate markets. We apply additive mixed regression models (AMM) to estimate hedonic price equations for rents in Vienna. Non-linear effects of continuous covariates as well as a smooth time trend are modeled non-parametrically through P-splines. Unobserved district-specific heterogeneity is modeled in two ways: First, by location specific intercepts with the postal code serving as a location variable. Second, in order to permit spatial variation in the nonlinear price gradients, we introduce multiplicative scaling factors for nonlinear covariates. This allows highly nonlinear implicit price functions to vary within a regularized framework, accounting for district-specific spatial heterogeneity, which leads to a considerable improvement of model quality and predictive power. Our findings provide insight into the spatially heterogeneous structure of price gradients in Vienna, showing substantial spatial variation. Accounting for spatial heterogeneity in a very general way, this approach permits higher accuracy in prediction and allows for location-specific nonlinear rent index construction.
Book Synopsis Stress Testing Structural Models of Unobserved Heterogeneity by : Aaron L. Bodoh-Creed
Download or read book Stress Testing Structural Models of Unobserved Heterogeneity written by Aaron L. Bodoh-Creed and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide a suite of tools for empirical market design, including optimal nonlinear pricing in intensive-margin consumer demand, as well as a broad class of related adverse-selection models. Despite significant data limitations, we are able to derive informative bounds on demand under counterfactual price changes. These bounds arise because empirically plausible DGPs must respect the Law of Demand and the observed shift(s) in aggregate demand resulting from a known exogenous price change(s). These bounds facilitate robust policy prescriptions using rich, internal data sources similar to those available in many real-world applications. Our partial identification approach enables viable nonlinear pricing design while achieving robustness against worst-case deviations from baseline model assumptions. As a side benefit, our identification results also provide useful, novel insights into optimal experimental design for pricing RCTs.
Book Synopsis Consistency of Hedonic Price Indexes with Unobserved Characteristics by : Iqbal A. Syed
Download or read book Consistency of Hedonic Price Indexes with Unobserved Characteristics written by Iqbal A. Syed and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedonic regressions are prone to omitted variable bias. The estimation of price relatives for new and disappearing goods using hedonic imputation methods involves taking ratios of hedonic models. This may lead to a situation where the omitted variable bias in each of the hedonic regressions offset each other. This study finds that the single imputation hedonic method estimates inconsistent price relatives, while the double imputation method may produce consistent price relatives depending on the behavior of unobserved characteristics in the comparison periods. The study outlines a methodology to test whether double imputation price relatives are consistent. The results of this study have implications with regard to the construction of quality adjusted indexes.
Book Synopsis Cost-Benefit Analysis and the Environment Further Developments and Policy Use by : OECD
Download or read book Cost-Benefit Analysis and the Environment Further Developments and Policy Use written by OECD and published by OECD Publishing. This book was released on 2018-06-25 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores recent developments in environmental cost-benefit analysis (CBA). This is defined as the application of CBA to projects or policies that have the deliberate aim of environmental improvement or are actions that affect, in some way, the natural environment as an indirect consequence
Book Synopsis Handbook of Environmental Economics by : Karl-Goran Maler
Download or read book Handbook of Environmental Economics written by Karl-Goran Maler and published by Elsevier. This book was released on 2005-12-09 with total page 647 pages. Available in PDF, EPUB and Kindle. Book excerpt: Much applied environmental economics is concerned with the valuation of changes in environmental quality. Obtaining reliable valuation estimates requires attention to theoretical and econometric issues that are often quite subtle. Volume 2 of the Handbook of Environmental Economics presents both the theory and the practice of environmental valuation. It synthesizes the vast literature that has accumulated since the publication of the Handbook of Natural Resource and Energy Economics two decades ago. It includes chapters on individual valuation methods written by researchers responsible for fundamental advances in those methods. It also includes cross-cutting chapters that deal with aspects of welfare theory, uncertainty, experimental methods, and public health that are pertinent to valuation. Throughout the volume, attention is paid to research and policy issues that arise not only in high-income countries, where most of the theory and econometrics that underlie applied valuation methods have been developed, but also in poorer parts of the world. The volume provides a state-of-the-art reference for scholars and practitioners alike.
Book Synopsis Heterogeneity and Persistence in Returns to Wealth by : Andreas Fagereng
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Book Synopsis Palgrave Handbook of Econometrics by : Terence C. Mills
Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.
Book Synopsis Econometric Models For Industrial Organization by : Matthew Shum
Download or read book Econometric Models For Industrial Organization written by Matthew Shum and published by World Scientific. This book was released on 2016-12-14 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.
Book Synopsis Single Market Nonparametric Identification of Multi-Attribute Hedonic Equilibrium Models by : Victor Chernozhukov
Download or read book Single Market Nonparametric Identification of Multi-Attribute Hedonic Equilibrium Models written by Victor Chernozhukov and published by . This book was released on 2015 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives conditions under which preferences and technology are nonparametrically identified in hedonic equilibrium models, where products are differentiated along more than one dimension and agents are characterized by several dimensions of unobserved heterogeneity. With products differentiated along a quality index and agents characterized by scalar unobserved heterogeneity, single crossing conditions on preferences and technology provide identifying restrictions. We develop similar shape restrictions in the multi-attribute case and we provide identification results from the observation of a single market. We thereby extend identification results in Matzkin (2003) and Heckman, Matzkin, and Nesheim (2010) to accommodate multiple dimensions of unobserved heterogeneity.
Book Synopsis Sensitivity of price elasticity of demand to aggregation, unobserved heterogeneity, price trends, and price endogeneity: Evidence from U.S. Data by :
Download or read book Sensitivity of price elasticity of demand to aggregation, unobserved heterogeneity, price trends, and price endogeneity: Evidence from U.S. Data written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Theory-based Approach to Hedonic Price Regressions with Time-varyng Unobserved Product Attributes by :
Download or read book A Theory-based Approach to Hedonic Price Regressions with Time-varyng Unobserved Product Attributes written by and published by . This book was released on 2010 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Journal of Political Economy by :
Download or read book The Journal of Political Economy written by and published by . This book was released on 2007 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Single Market Nonparametric Identification of Multi-attribute Hedonic Equilibrium Models by : Victor Chernozhukov
Download or read book Single Market Nonparametric Identification of Multi-attribute Hedonic Equilibrium Models written by Victor Chernozhukov and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives conditions under which preferences and technology are nonparametrically identified in hedonic equilibrium models, where products are differentiated along more than one dimension and agents are characterized by several dimensions of unobserved heterogeneity. With products differentiated along a quality index and agents characterized by scalar unobserved heterogeneity, single crossing conditions on preferences and technology provide identifying restrictions. We develop similar shape restrictions in the multi-attribute case. These shape restrictions, which are based on optimal transport theory and generalized convexity, allow us to identify preferences for goods differentiated along multiple dimensions, from the observation of a single market. We thereby extend identification results in Matzkin (2003) and Heckman, Matzkin, and Nesheim (2010) to accommodate multiple dimensions of unobserved heterogeneity. One of our results is a proof of absolute continuity of the distribution of endogenously traded qualities, which is of independent interest.
Book Synopsis Econometric Analysis of Cross Section and Panel Data, second edition by : Jeffrey M. Wooldridge
Download or read book Econometric Analysis of Cross Section and Panel Data, second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
