具有先验信息的房地产价格计量经济学模型。混合估计

IF 0.6 Q4 BUSINESS, FINANCE Real Estate Management and Valuation Pub Date : 2022-09-01 DOI:10.2478/remav-2022-0021
M. Doszyń
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引用次数: 1

摘要

摘要本文的目的是利用样本和先验信息来估计计量经济模型。对什切青住宅开发用地的价格进行了建模(价格水平为2018年确定)。仅根据样本数据对房地产价格进行建模会产生许多问题。来自当地房地产市场的交易数据库通常包含少量观察结果。性质经常相似,这导致性质特征的可变性低,从而导致参数估计的效率低。在这种情况下,无法从样本数据中估计某些特征的影响。为了解决这个问题,本文提出了考虑先验信息的计量经济模型。例如,该信息可以是专家提出的特性特征权重的形式。先验信息将以施加在模型参数上的随机限制的形式表示。在仿真实验中,将混合估计模型的预测能力与两种模型进行了比较:OLS模型和只有先验信息的模型。结果表明,混合估计结果在形式化标准和预测能力方面是优越的。
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Econometric Models of Real Estate Prices with Prior Information. Mixed Estimation
Abstract The purpose of this paper is to estimate econometric models with sample and prior information. Prices of land property for residential development in Szczecin are modeled (the price level was determined for 2018). Modeling property prices only based on sample data generates numerous problems. Transaction databases from local real estate markets often contain a small number of observations. Properties are frequently similar, which results in low variability of property characteristics, and thus – low efficiency of parameter estimators. In such a situation, the impact of some features cannot be estimated from the sample data. As a solution to this problem, the paper proposes econometric models that consider prior information. This information can be, for example, in the form of property feature weights proposed by experts. The prior information will be expressed in the form of stochastic restrictions imposed on the model parameters. In the simulation experiment, the predictive power of mixed estimation models is compared with two kind of models: OLS models and model with only prior information. It turned out that mixed estimation results are superior with regard to formal criteria and predictive abilities.
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来源期刊
Real Estate Management and Valuation
Real Estate Management and Valuation Economics, Econometrics and Finance-Finance
CiteScore
1.50
自引率
25.00%
发文量
24
审稿时长
23 weeks
期刊介绍: Real Estate Management and Valuation (REMV) is a journal that publishes new theoretical and practical insights that improve our understanding in the field of real estate valuation, analysis and property management. The aim of the Polish Real Estate Scientific Society (Towarzystwo Naukowe Nieruchomości) is developing and disseminating knowledge about land management and the methods, techniques and principles of real estate valuation and the popularization of scientific achievements in this field, as well as their practical applications in the activities of economic entities.
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