A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market

International Real Estate Review

International Real Estate Review ◽

10.53383/100099 ◽

2008 ◽

Vol 11 (2) ◽

pp. 105-125

Author(s):

Changha Jin ◽

◽

Terry V. Grissom ◽

Keyword(s):

Real Estate ◽

Moving Average ◽

Price Adjustments ◽

Regional Markets ◽

Cyclical Component ◽

Auto Regressive ◽

Arima Modeling ◽

Hp Filter ◽

Real Estate Prices ◽

Residential Market

This paper applies the Hodrck-Prescott (HP) filter to forecast short-term residential real estate prices under cyclical movements. We separate the trend component from the cyclical component. We show that each regional residential market reacts not only to previous price movements, but also that these regional markets react to previous shocks under Auto Regressive Integrated Moving Average (ARIMA) modeling. Using the S&P Case-Shiller Home Price Index, we compare our forecast to index values from the Chicago Mercantile Exchange (CME) Housing Futures and Options. Our study identifies possible systematic errors from the different price adjustments reflecting current market situations.

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Estimating Bargaining Power in Real Estate Pricing Models: Conceptual and Empirical Issues

Journal of Risk and Financial Management ◽

10.3390/jrfm13050105 ◽

2020 ◽

Vol 13 (5) ◽

pp. 105

Author(s):

Steven B. Caudill ◽

Franklin G. Mixon

Keyword(s):

Real Estate ◽

Bargaining Power ◽

Regression Models ◽

Hedonic Regression ◽

Omitted Variables ◽

Pricing Models ◽

The Real Estate ◽

Real Estate Prices ◽

Relative Bargaining Power ◽

Real Estate Economics

The relative bargaining power of the buyer and seller is a key feature of real estate pricing models. Classic real estate studies have sought to address bargaining effects in hedonic regression models. Prior research proposes a procedure to estimate bargaining effects in hedonic regression models that depends critically on a substitution to eliminate omitted variables bias. This study shows that the proposed solution that is often cited in the real estate economics literature does not solve the omitted variables problem given that both models are merely different parameterizations of the same model, and thus produces biased estimates of bargaining power when certain property characteristics are omitted. A classic hedonic regression model of real estate prices using Corsican apartment data supports our contention, even when the assumption of bargaining power symmetry is relaxed.

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