,,,,, Box cox (Z λ -1)/λ, Z λ = (2) [4] KHALAFALLAH [5] { lnz Box cox, BOX COX 1976 [9] y(λ)~n(xβ, σ 2 I n ),, -2% ~2%, L(λ, β,σ 2 y,x)=, ex

HTML
DOWNLOAD

Μέγεθος: px

Εμφάνιση ξεκινά από τη σελίδα:

Download ",,,,, Box cox (Z λ -1)/λ, Z λ = (2) [4] KHALAFALLAH [5] { lnz Box cox, BOX COX 1976 [9] y(λ)~n(xβ, σ 2 I n ),, -2% ~2%, L(λ, β,σ 2 y,x)=, ex"

Βαρνάβας Μαρής
8 χρόνια πριν
Προβολές:

1 ChineseJournalofManagement Vol.9No.7 Jul.2012 Hedonic BP ( ) :,, , ;, Box cox, BP,, -5.78%~ 2.08% ; , BP 5.74 : ; ;BP :C93;F293.3 :A : X(2012) HedonicHousingPriceModelViaBPNeuralNetwork SIJiwen HAN Yingying LUO Xi (HuazhongUniversityofScienceandTechnology,Wuhan,China) Abstract:Inthispaper,hedonicpricingmodelisusedtoassessthehousingpricein Washington, USA.Forthepricing model,inthispaper,thecrimevariablesaroundthehouseareincluded.the modelisbuiltbyhedonicpricingmethodthroughusingtraditionalolsmethodandneuralnetworkto simulateandwithdatamodifiedbybox coxtransformation.theresultshowsthechangeincriminal ratemakesthehousingpricechange,andasthedistanceofcrimetothehousingandthetypesof crimeschanges,thehousepricechangesfrom 5.78%to2.08%.InJulyof2007andthewhole2008, theinfluencesofcrimeonhousingpricearediferent.italsoshowsthatneuralnetworkismoreaccu ratethanthetraditionalolsmethodwith5.74% higherdegreeofapproximation,andshowsbeter features. Keywords:housingprice;hedonicpricingmodel;BPneuralnetwork 1,, 2007,,, SUE [1] YUSUF [2],, CLAPP [3],,, : : ( ); ( ) 1007

2 ,,,,, Box cox (Z λ -1)/λ, Z λ = (2) [4] KHALAFALLAH [5] { lnz Box cox, BOX COX 1976 [9] y(λ)~n(xβ, σ 2 I n ),, -2% ~2%, L(λ, β,σ 2 y,x)=, ex p { - 1 2σ 2[ y(λ)-xβ ] [y(λ)-xβ ] } J(λ,y),(3) (2πσ 2 ) n 2,, λ 0, 1 ; λ=0, 2 λ -1, λ 1/2, λ 1,, λ,, Box cox,,,, 2.3 BP BP, Box cox, [6],, BP BP :1, ;2,, Kolmogorov [7,8],, ;3, P = F(N1,N2, ), (1),N 1,N 2, ;, P,, 2~ Box cox,, BP, [10], ;4, Kol Box cox, mogorov :, λ n2 = 槡 (n1 +m+1)+a, a =1~10, (4),,n 2 ;n 1 ; [11] λ m BP BP Box cox,, 1008

3 Hedonic BP ,, ; , 1, , : (log), (log) , , 1 500~ , 500~ ; 2, (log) , (1)N 1,N 2,, , [12] 3 Box cox Box cox, 500 Box,500~1000 cox, 3, 3 Box cox, , ~ ~ (log) 3.3 (log) ~ ~ (/1000) (log) ,, 1, : (/1000) ,,,,,,, BP , , 2, 1e-5, :1 100, tansig purelin,, 1 2 ;2 4, 1, 1009

4 BP BP BP , e-5, 0 2, [-0.5, ], BP BP , 12, 1e-5, 0 4, [-0.3, 0.4],BP BP BP Box cox, 2008, lnp =α0 +α1n1 +α2lnn2 + +α2lnnn, (5),,,N 1,N 2,,N n ,α0,α1,α2,,αn, ( ) 1%, BP 1010 [14] : 6,, -5.78% ~2.80% ,

5 Hedonic BP : (log) : ( ) P (2008 ) (Log) P ~ ~ (/1000) (log) BP ,BP , BP :, 95%,BP 7, BP, Box cox, , ,, ,BP,,,,,,, [1]SUE E D W,WONG W.ThePoliticalEconomyof, 9 Housing Prices: Hedonic Pricing with Regression Discontinuity[J].Journalof Housing Economics, 9 4 BP, BP, :,,, 1 1, 1011

6 ,19(2):133~144. [2]YUSUF A A,RESOSUDARMO B P.DoesClean Air Materin DevelopingCountries Megacities A HedonicPriceAnalysisoftheJakarta Housing Mar ket,indonesia[j].ecologicaleconomics,2009,68 (5):1398~1407. [3]CLAPPJ M,SALAVEI K.HedonicPricing with RedevelopmentOptions:A New Approachto Esti mating Depreciation Efects[J].Journalof Urban Economics,2010,67(3):362~377. [4]MEDEIROS M C,MCALEER M,SLOTTJE D,et al.analternativeapproachtoestimatingdemand: NeuralNetworkRegressionwithConditionalVolatili tyfor High Frequency AirPassenger Arrivals[J]. JournalofEconometrics,2008,147(2):372~383. [5]KHALAFALLAH A.NeuralNetworkBased Model forpredictinghousingmarketperformance[j]. :,2008,13(s1):325~328. [6]DORSEYRE,HU H,MAYER WJ,etal.Hedonic VersusRepeat saleshousingpriceindexesformeas uringthe Recent Boom bust Cycle[J].Journalof HousingEconomics,2010,19(2):75~93. [7]LANCASTER KJ.A New ApproachtoConsumer 1977,45(1):1~22. [9]POIRIERDJ.TheUseoftheBox coxtransforma tioninlimiteddependentvariablemodels[j].jour naloftheamericanstatisticalassociation,1978,73 (362):284~287. [10],. BP [J]. :,2003,33(4):79~84. [11].MATLAB [M]. :,2009. [12]TROY A,GROVEJ M.Property Values,Parks, andcrime:a Hedonic AnalysisinBaltimore,MD [J].LandscapeandUrbanPlanning,2008,87(3): 233~245. [13],,.Box cox [J]., 2009,29(2):240~243. [14]REDFEARN C L.HowInformative Are Average Efects HedonicRegressionand AmenityCapitali zationincomplexurban Housing Markets[J].Re gionalscienceandurbaneconomics,2009,39(3): 297~306. ( ) Theory[J].JournalofPoliticalEconomy,1966,74 (2):132~157. [8]GRILICHESZ.EstimatingtheReturnstoSchooling: Some Econometric Problems [J]. Econometrica, : (1959~),, ( ) E mail:sijiwen@ mail.hust.edu.cn ( 993 ) [8]GOORBERGH R WJ,GENEST C,WERKER BJ M.Bivariate Option Pricing Using DynamicCopula [1]DORNJ.ModelingofCFXOs Seling Protectionon Models[J].Insurance:MathematicsandEconomics, ForexTriggerSwaps [R].Paris:PRISM Research 2005,37(1):101~114. Center,2008. [9]HULLJ, WHITE A.The General Hul! White [2]JAIMUNGALS,LIANGJ,XU M Y.ReportonPri Modeland Supercalibration[J].Financial Analysts cing Colateralized Foreign Exchange Obligation Journal,2001,57(6):34~43. [C]//China CandaQuantitativeFinanceProblemSol [10]YU F.DefaultCorrelationinaReduced Form Mod ving Workshop,Weihai,2008. el[j].journalofinvestment Management,2005,3 [3]RAPUCH G,RONCALLIT.TechnicalNote:De (4):33~42. pendenceandtwo AssetOptionsPricing[J].Journal [11]GIESECKEK,GOLDBERG L R, DING X. A ofcomputationalfinance,2004,7(4):26~52. Top downapproachto Multi namecredit[j].op [4]LIP,CHEN H S,DENG X T,etal.Ondefault erationsresearch,2009,23(2):161~179. CorrelationandPricingofColateralizedDebtObliga [12]TSEYK,TSUIKC.A MultivariateGeneralizedAu tionbycopulafunctions,international[j].journal toregressiveconditionalheteroscedasticity Modelwith of Information Technology & Decision Making, Time VaryingCorelations[J].JournalofBusinessand 2006,26(3):483~493. EconomicStatistics,2002,20(3):351~362. [5]LIDX.On DefaultCorrelation:A CopulaFunction ( ) Approach [J].JournalofFixedIncome,2001,17(9): 43~54. [6]PATTON A. Modeling Time Varying Exchange RateDependenceUsingtheConditionalCopula[R]. WP:UCSD,2001. [7]DUANJC.TheGARCH OptionPricingModel[J]. MathematicalFinance,1995,5(2):13~ : (1972~),, ( ) E mail:liping124@ buaa.edu.cn

Σχετικά έγγραφα

ΧΩΡΙΚΑ ΟΙΚΟΝΟΜΕΤΡΙΚΑ ΥΠΟΔΕΙΓΜΑΤΑ ΣΤΗΝ ΕΚΤΙΜΗΣΗ ΤΩΝ ΤΙΜΩΝ ΤΩΝ ΑΚΙΝΗΤΩΝ SPATIAL ECONOMETRIC MODELS FOR VALUATION OF THE PROPERTY PRICES

1 ο Συνέδριο Χωρικής Ανάλυσης: Πρακτικά, Αθήνα, 013, Σ. Καλογήρου (Επ.) ISBN: 978-960-86818-6-6 ΧΩΡΙΚΑ ΟΙΚΟΝΟΜΕΤΡΙΚΑ ΥΠΟΔΕΙΓΜΑΤΑ ΣΤΗΝ ΕΚΤΙΜΗΣΗ ΤΩΝ ΤΙΜΩΝ ΤΩΝ ΑΚΙΝΗΤΩΝ Μαριάνθη Στάμου 1*, Άγγελος Μιμής και