Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/73476 
Year of Publication: 
2010
Series/Report no.: 
Working Papers in Economics and Statistics No. 2010-19
Publisher: 
University of Innsbruck, Department of Public Finance, Innsbruck
Abstract: 
This paper analyzes house price data belonging to three hierarchical levels of spatial units. House selling prices with associated individual attributes (the elementary level-1) are grouped within municipalities (level-2), which form districts (level-3), which are themselves nested in counties (level-4). Additionally to individual attributes, explanatory covariates with possibly nonlinear effects are available on two of these spatial resolutions. We apply a multilevel version of structured additive regression (STAR) models to regress house prices on individual attributes and locational neighborhood characteristics in a four level hierarchical model. In multilevel STAR models the regression coefficients of a particular nonlinear term may themselves obey a regression model with structured additive predictor. The framework thus allows to incorporate nonlinear covariate effects and time trends, smooth spatial effects and complex interactions at every level of the hierarchy of the multilevel model. Moreover we are able to decompose the spatial heterogeneity effect and investigate its magnitude at different spatial resolutions allowing for improved predictive quality even in the case of unobserved spatial units. Statistical inference is fully Bayesian and based on highly efficient Markov chain Monte Carlo simulation techniques that take advantage of the hierarchical structure in the data.
Subjects: 
Bayesian hierarchical models
hedonic pricing models
multilevel models
MCMC
P-splines
JEL: 
C01
C11
C14
Document Type: 
Working Paper

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