Bayesian Estimation of a Spatial Time Series Model with an Application to Real Estate Modelling

Trinh, Dung T. and Rambaldi, Alicia N. (2013). Bayesian Estimation of a Spatial Time Series Model with an Application to Real Estate Modelling. In: Econometric Society Australasian Meeting 2013 (ESAM 2013). Australasian Meeting of the Econometric Society, Sydney, NSW Australia, (). 9 - 12 July 2013.

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Name Description MIMEType Size Downloads
Author Trinh, Dung T.
Rambaldi, Alicia N.
Title of paper Bayesian Estimation of a Spatial Time Series Model with an Application to Real Estate Modelling
Conference name Australasian Meeting of the Econometric Society
Conference location Sydney, NSW Australia
Conference dates 9 - 12 July 2013
Proceedings title Econometric Society Australasian Meeting 2013 (ESAM 2013)
Place of Publication Australia
Publisher The Econometric Society Australasian Meetings
Publication Year 2013
Year available 2013
Sub-type Fully published paper
Open Access Status
Total pages 24
Collection year 2013
Language eng
Formatted Abstract/Summary
The paper proposes a Bayesian algorithm to estimate a state-space model with a spatial covariance structure.  
The algorithm is a Markov Chain Monte Carlo (MCMC), specifically, a Metropolis within Gibbs sampling method. The application is based on the state-space representation of a time-varying parameter spatial hedonic model of the sale price of residential property. The data used for the study are 9315 single sales transactions of residential property for 233 months, 1991:5 to 2010:9 for a town in the state of Queensland, Australia.
Keyword State Space
Spatial errors
Property prices
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status UQ
Additional Notes Paper 39

Document type: Conference Paper
Collection: School of Economics Publications
 
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Created: Fri, 12 Dec 2014, 11:05:26 EST by Alys Hohnen on behalf of School of Economics