A spatial semiparametric M-quantile regression for hedonic price modelling

This paper proposes an M-quantile regression approach to address the heterogeneity of the housing market in a modern European city. We show how M-quantile modelling is a rich and flexible tool for empirical market price data analysis, allowing us to obtain a robust estimation of the hedonic price fu...

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Bibliographic Details
Published in:Advances in statistical analysis : AStA : a journal of the German Statistical Society 2024-03, Vol.108 (1), p.159-183
Main Authors: Schirripa Spagnolo, Francesco, Borgoni, Riccardo, Carcagnì, Antonella, Michelangeli, Alessandra, Salvati, Nicola
Format: Article
Language:English
Subjects:
Data analysis
Econometrics
Economics
Empirical analysis
Finance
Heterogeneity
Housing
Insurance
Management
Mathematics and Statistics
Modelling
Nonlinearity
Original Paper
Probability Theory and Stochastic Processes
Quantiles
Statistics
Statistics for Business
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Summary:This paper proposes an M-quantile regression approach to address the heterogeneity of the housing market in a modern European city. We show how M-quantile modelling is a rich and flexible tool for empirical market price data analysis, allowing us to obtain a robust estimation of the hedonic price function whilst accounting for different sources of heterogeneity in market prices. The suggested methodology can generally be used to analyse nonlinear interactions between prices and predictors. In particular, we develop a spatial semiparametric M-quantile model to capture both the potential nonlinear effects of the cultural environment on pricing and spatial trends. In both cases, nonlinearity is introduced into the model using appropriate bases functions. We show how the implicit price associated with the variable that measures cultural amenities can be determined in this semiparametric framework. Our findings show that the effect of several housing attributes and urban amenities differs significantly across the response distribution, suggesting that buyers of lower-priced properties behave differently than buyers of higher-priced properties.
ISSN:1863-8171
1863-818X
DOI:10.1007/s10182-023-00476-w