| The Journal of Real Estate Finance and Economics | |
| Volume 17, Issue 1, Article 2 (Abstract) | |
| Title: | Spatio-Temporal Autoregressive Models of Neighborhood Effects |
| Author: | R. Kelley Pace, Ronald Barry, John M. Clapp and Mauricio Rodriguez |
| Abstract: | Using 70,822 observations on housing prices during 1969-91 from Fairfax County Virginia, this manuscript demonstrates the substantial benefits obtained by modeling the spatial as well as the temporal dependence of the data. Specifically, the spatio-temporal autogregression with 12 variables reduced median absolute error by 37.35% relative to an indicator-based model with 26 variables. One-step ahead forecasts also document the improved performance of the proposed spatio-temporal model. In addition, the manuscript illustrates techniques for rapidly computing the estimates and shows how to compute indices for any location. |
| Keywords: | STAR, STARIMA, space-time, local price indices |