Dubé, J., Legros, D., Thanos, S., «Past Price ‘Memory’ in the housing market: testing the performance of different spatio-temporal specifications», Spatial Economic Analysis. 13(1): 118-138, 2018.
Territoire et économie
Past Price ‘Memory’ in the housing market: testing the performance of different spatio-temporal specifications
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.