A Generalized Method of Moments estimator for a spatial model with Moving Average errors, with application to real estate prices
نویسنده
چکیده
This paper proposes a new GMM estimator for spatial regression models with moving average errors. Monte Carlo results are given indicating that the GMM estimates are close to expectation and robust to non-normality, and the Bootstrap method is suggested as a way of testing the significance of the moving average parameter. The estimator is applied in a model of English real estate prices, in which the concepts of displaced demand and displaced supply are introduced to derive the spatial lag of prices, and the moving average error process represents spatially autocorrelated unmodelled variables.
منابع مشابه
Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models
This paper considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space, the generalized method of moments estimator of the MA(1) model has classical (root-T and asymptotic normal) properties when the moving average root is in...
متن کاملAnalysis the Effects of Tax in the Real Estate and Housing Sector and Estimating its Potential Capacity in Iran with Emphasizing on Strategies and Challenges
In designing the tax system in the housing and real estate sector, increasing the efficiency and optimal allocation of resources in the urban area, redistribution of income and wealth, reducing the incentive for speculation and increasing tax revenues of national and local governments should be considered. Accordingly, with the expansion of tax bases and reduction of exemptions, it is possible ...
متن کاملWavelet Threshold Estimator of Semiparametric Regression Function with Correlated Errors
Wavelet analysis is one of the useful techniques in mathematics which is used much in statistics science recently. In this paper, in addition to introduce the wavelet transformation, the wavelet threshold estimation of semiparametric regression model with correlated errors with having Gaussian distribution is determined and the convergence ratio of estimator computed. To evaluate the wavelet th...
متن کاملForecasting Gold Price Changes: Application of an Equipped Artificial Neural Network
The forecast of fluctuations and prices is the major concern in financial markets. Thus, developing an accurate and robust forecasting decision model is critically favorable to the investors. As gold has shown a special capability to smooth inflation fluctuations, governors use gold as a price controlling lever. Thus, more information about future gold price trends will help to make the firm de...
متن کاملAnalysis the Impact of Tax on Transfer of Real Estate and Housing on the Reduction of Housing Market Volatility in Urban Areas of Iran
Land and urban housing have been affected by speculative demands due to heterogeneity, immobility and profitability, and have led to an increase of land and housing prices. The government, with the aim of controlling the housing market volatility, can play an important role in preventing the diversion of capital from the real sector to the housing sector and its multiple shocks. In this researc...
متن کامل