Advanced

Duration on the Housing Market: A Nonparametric Approach

Petrova, Yana LU (2015) NEKP01 20151
Department of Economics
Abstract
This study examines the relationship between the time-on-the-market and the price of apartments on the housing market in Moscow. It is based on a data set including over 10 000 property objects during the time period January 2012 - October 2014. Only secondary proper-ty is considered. The problem of right-censoring is present in the sample, which means that it is not possible to use the duration data without preliminary adjustment. A nonparamet¬ric approach is employed to estimate the duration for the observations which are censored. First, an estimation of the hazard rate function is obtained. Second, based on the hazard rate the values of censored durations are restored with the help of simulation techniques. The duration data adjusted... (More)
This study examines the relationship between the time-on-the-market and the price of apartments on the housing market in Moscow. It is based on a data set including over 10 000 property objects during the time period January 2012 - October 2014. Only secondary proper-ty is considered. The problem of right-censoring is present in the sample, which means that it is not possible to use the duration data without preliminary adjustment. A nonparamet¬ric approach is employed to estimate the duration for the observations which are censored. First, an estimation of the hazard rate function is obtained. Second, based on the hazard rate the values of censored durations are restored with the help of simulation techniques. The duration data adjusted for censoring is used to examine if the market duration depends on the housing price and type of the seller. The duration data shows to exhibit a positive duration depen-dence. For the Moscow property market, a positive relationship between price and time-on-the-market is found. On average it takes longer time to sell the property with the help of real estate agents than without it. (Less)
Please use this url to cite or link to this publication:
author
Petrova, Yana LU
supervisor
organization
course
NEKP01 20151
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Housing Market, Duration, Censoring, Nonparametric approach, Statistical simulations, Bootstrap, Kaplan-Meier estimator
language
English
id
5463482
date added to LUP
2015-06-30 10:23:03
date last changed
2015-06-30 10:23:03
@misc{5463482,
  abstract     = {This study examines the relationship between the time-on-the-market and the price of apartments on the housing market in Moscow. It is based on a data set including over 10 000 property objects during the time period January 2012 - October 2014. Only secondary proper-ty is considered. The problem of right-censoring is present in the sample, which means that it is not possible to use the duration data without preliminary adjustment. A nonparamet¬ric approach is employed to estimate the duration for the observations which are censored. First, an estimation of the hazard rate function is obtained. Second, based on the hazard rate the values of censored durations are restored with the help of simulation techniques. The duration data adjusted for censoring is used to examine if the market duration depends on the housing price and type of the seller. The duration data shows to exhibit a positive duration depen-dence. For the Moscow property market, a positive relationship between price and time-on-the-market is found. On average it takes longer time to sell the property with the help of real estate agents than without it.},
  author       = {Petrova, Yana},
  keyword      = {Housing Market,Duration,Censoring,Nonparametric approach,Statistical simulations,Bootstrap,Kaplan-Meier estimator},
  language     = {eng},
  note         = {Student Paper},
  title        = {Duration on the Housing Market: A Nonparametric Approach},
  year         = {2015},
}