The Role of Spatial and Temporal Structure for Residential Rent Predictions

Item Type Monograph (Working Paper)

This paper examines the predictive power of five linear hedonic pricing models for the residential market with varying complexity in their spatial and temporal structure. In contrast to similar studies, we extend the out-of-sample forecast evaluation to one-day-ahead predictions with a rolling estimation window, which is a reasonable setting for many practical applications. We can show that in-sample fit and cross-validation prediction accuracy improve significantly when we account for spatial heterogeneity. In particular, for one-day-ahead forecasts, the spatiotemporal autoregressive (STAR) model demonstrates its superiority compared to model specifications with alternating spatial and temporal heterogeneity and dependence structures. In addition, sub-market fixed-effects, constructed on the basis of statistical TREE methods, further improve the results of predefined local rental markets.

Authors Füss, Roland & Koller, Jan
Language English
Keywords Classification and Regression Tree (CART) Technique, Forecast Evaluation, Hedonic Pricing Model, Rental Prices, Spatiotemporal Autoregressive (STAR) Model
Subjects business studies
HSG Classification contribution to scientific community
Refereed No
Date 2015
Publisher SoF - HSG
Place of Publication St. Gallen
Series Name School of Finance Working Paper Series
Number 2015/23
Depositing User Prof. Dr. Roland Füss
Date Deposited 19 Nov 2015 14:34
Last Modified 18 Jun 2021 00:23


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Füss, Roland & Koller, Jan: The Role of Spatial and Temporal Structure for Residential Rent Predictions. School of Finance Working Paper Series, 2015, 2015/23.

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