A varying coefficient approach to estimating hedonic housing price functions and their quantiles

doi:10.1080/02664763.2016.1238053

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	A varying coefficient approach to estimating hedonic housing price functions and their quantiles
	Wan, Alan T. K.1; Xie, Shangyu 2; Zhou, Yong3,4
	2017
发表期刊	JOURNAL OF APPLIED STATISTICS
ISSN	0266-4763
卷号	44 期号:11 页码:1979-1999
摘要	The varying coefficient (VC) model introduced by Hastie and Tibshirani [26] is arguably one of the most remarkable recent developments in nonparametric regression theory. The VC model is an extension of the ordinary regression model where the coefficients are allowed to vary as smooth functions of an effect modifier possibly different from the regressors. The VC model reduces the modelling bias with its unique structure while also avoiding the curse of dimensionality' problem. While the VC model has been applied widely in a variety of disciplines, its application in economics has been minimal. The central goal of this paper is to apply VC modelling to the estimation of a hedonic house price function using data from Hong Kong, one of the world's most buoyant real estate markets. We demonstrate the advantages of the VC approach over traditional parametric and semi-parametric regressions in the face of a large number of regressors. We further combine VC modelling with quantile regression to examine the heterogeneity of the marginal effects of attributes across the distribution of housing prices.
关键词	Hedonic price function heterogeneity housing kernel estimation quantile regression varying-coefficient
DOI	10.1080/02664763.2016.1238053
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000404347600006
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/25905
专题	应用数学研究所
通讯作者	Wan, Alan T. K.
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Univ Int Business & Econ, Sch Banking & Finance, Beijing, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Wan, Alan T. K.,Xie, Shangyu,Zhou, Yong. A varying coefficient approach to estimating hedonic housing price functions and their quantiles[J]. JOURNAL OF APPLIED STATISTICS,2017,44(11):1979-1999.
APA	Wan, Alan T. K.,Xie, Shangyu,&Zhou, Yong.(2017).A varying coefficient approach to estimating hedonic housing price functions and their quantiles.JOURNAL OF APPLIED STATISTICS,44(11),1979-1999.
MLA	Wan, Alan T. K.,et al."A varying coefficient approach to estimating hedonic housing price functions and their quantiles".JOURNAL OF APPLIED STATISTICS 44.11(2017):1979-1999.