Hedonic Models Incorporating ESG Factors for Time Series of Average Annual Home Prices
Using data from 2000 through 2022, we analyze the predictive capability of the annual numbers of new home constructions and four available environmental, social, and governance factors on the average annual price of homes sold in eight major U.S. cities. We contrast the predictive capability of a P-spline generalized additive model (GAM) against a strictly linear version of the commonly used generalized linear model (GLM). As the data for the annual price and predictor variables constitute non-stationary time series, to avoid spurious correlations in the analysis we transform each time series appropriately to produce stationary series for use in the GAM and GLM models. While arithmetic returns or first differences are adequate transformations for the predictor variables, for the average price response variable we utilize the series of innovations obtained from AR(q)-ARCH(1) fits. Based on the GAM results, we find that the influence of ESG factors varies markedly by city, reflecting geographic diversity. Notably, the presence of air conditioning emerges as a strong factor. Despite limitations on the length of available time series, this study represents a pivotal step toward integrating ESG considerations into predictive real estate models.
Code (0)
등록된 구현이 없습니다.
Tasks
DiversityTime SeriesMethods 이 논문이 사용한 방법론
Similar Papers 제목 키워드 기반
Maximizing Utilitarian and Egalitarian Welfare of Fractional Hedonic Games on Tree-like Graphs
Fractional hedonic games are coalition formation games where a player's utility is determined by the average value they assign to the members of their coalition. These games are a variation of graph hedonic games, which …
Hedonic Models of Real Estate Prices: GAM and Environmental Factors
We consider the use of P-spline generalized additive hedonic models for real estate prices in large U.S. cities, contrasting their predictive efficiency against linear and polynomial based generalized linear models. Usin…
Entropy methods for identifying hedonic models
This paper contributes to the literature on hedonic models in two ways. First, it makes use of Queyranne's reformulation of a hedonic model in the discrete case as a network flow problem in order to provide a proof of ex…
A Simulator for Hedonic Games
Hedonic games are meant to model how coalitions of people form and break apart in the real world. However, it is difficult to run simulations when everything must be done by hand on paper. We present an online software t…
Strategyproof Mechanisms for Additively Separable Hedonic Games and Fractional Hedonic Games
Additively separable hedonic games and fractional hedonic games have received considerable attention. They are coalition forming games of selfish agents based on their mutual preferences. Most of the work in the literatu…