# RECORD 617738a89ff272112e6f8804b981aa1981f5a232 # TITLE: Semi-Parametric Interpolations of Residential Location Values: Using Housing Price Data to Generate Balanced Panels # YEAR: 2014.0 VENUE: nan DOI: 10.20955/wp.2014.050 # AUTHORS: Jeffrey P. Cohen; Cletus C. Coughlin; J. Clapp # PAGES: 51 CANDIDATE TABLE PAGES (1-based): [41, 42, 44] # ABSTRACT: We estimate location values for single family houses by local polynomial regressions (LPR), a semi-parametric procedure, using a standard housing price and characteristics dataset. As a logical extension of the LPR method, we interpolate land values for every property in every year and validate the accuracy of the interpolated estimates with an out-of-sample forecasting approach using Denver sales during 2003 through 2010. We also compare the LPR and OLS models out-of-sample and determine that the LPR model is more efficient at predicting location values. In a balanced panel application, we use GMM estimation to examine how the location value estimates are affected by airport infrastructure investments. ===== PAGE 1 (score 2, numeric-paren 0, table-words 0, var-words 2) ===== Semi-Parametric Interpolations of Residential Location Values: Using Housing Price Data to Generate Balanced Panels ECONOMIC RESEARCH FEDERAL RESERVE BANK OF ST. LOUIS WORKING PAPER SERIES Authors John M. Clapp, Jeffrey P. Cohen, and Cletus C. Coughlin Working Paper Number 2014-050A Creation Date December 2014 Citable Link https://doi.org/10.20955/wp.2014.050 Suggested Citation Clapp, J.M., Cohen, J.P., Coughlin, C.C., 2014; Semi-Parametric Interpolations of Residential Location Values: Using Housing Price Data to Generate Balanced Panels, Federal Reserve Bank of St. Louis Working Paper 2014-050. URL https://doi.org/10.20955/wp.2014.050 Federal Reserve Bank of St. Louis, Research Division, P.O. Box 442, St. Louis, MO 63166 The views expressed in this paper are those of the author(s) and do not necessarily reflect the views of the Federal Reserve System, the Board of Governors, or the regional Federal Reserve Banks. Federal Reserve Bank of St. Louis Working Papers are preliminary materials circulated to stimulate discussion and critical comment. ===== PAGE 41 (score 25, numeric-paren 0, table-words 2, var-words 11) ===== 39 Table 1: Descriptive Statistics, Denver Single Family Home Sales, 2003-2010 Variable Mean Std. Dev. Variance Minimum Maximum Sale Price (Log) 12.4315 0.5486 0.3010 6.9078 15.4249 Yr2003 0.1393 0.3463 0.1199 0 1 Yr2004 0.1530 0.3600 0.1296 0 1 Yr2005 0.1528 0.3598 0.1295 0 1 Yr2006 0.1384 0.3453 0.1192 0 1 Yr2007 0.1232 0.3286 0.1080 0 1 Yr2008 0.1112 0.3144 0.0989 0 1 Yr2009 0.0955 0.2940 0.0864 0 1 Yr2010 0.0865 0.2811 0.0790 0 1 No of Bedrooms 3.1587 0.8403 0.7061 1 13 No of Full Baths 2.2924 0.8853 0.7838 1 12 No of Half Baths 0.3259 0.4938 0.2439 0 5 No of Fireplaces 0.7669 0.7313 0.5348 0 10 Garage Dummy 0.9103 0.2858 0.0817 0 1 Basement Dummy 0.8031 0.3977 0.1581 0 1 Stories Dummy 0.4839 0.4997 0.2497 0 1 Adams County Dummy 0.1900 0.3923 0.1539 0 1 Denver County Dummy 0.2268 0.4188 0.1754 0 1 Douglas County Dummy 0.1782 0.3827 0.1465 0 1 Arapahoe County Dummy 0.2114 0.4083 0.1667 0 1 Jefferson County Dummy 0.1935 0.3951 0.1561 0 1 Longitude -104.9384 0.1441 0.0208 -105.4648 -103.765 Latitude 39.6936 0.1440 0.0207 39.1305 40.242 Longitude Squared 11012.0871 30.2435 914.6665 10767.1109 11122.82 Latitude Squared 1575.6048 11.4253 130.5373 1531.1990 1619.42 Lat*Lon -4165.3879 16.7768 281.4625 -4206.4213 -4098.49 Age 34.0694 27.3488 747.9552 0 145 Age Squared 1908.6075 2870.4277 8238049 0 21025 Land Square Feet (Log) 9.0213 0.6916 0.4765 6.2146 18.1084 Observations = 326,744 ===== PAGE 42 (score 36, numeric-paren 0, table-words 7, var-words 10) ===== Table 2: Hedonic Regressions, Denver SFR Home Sales, 2003-2010 Variable Coeff. T-Value P-Value Robinson’s Method Coeff. T-Value P-Value Constant -4233.666469 -13.527658 0.00 Yr2003 0.056438 21.222047 0.00 Yr2004 0.085489 32.724294 0.00 Yr2005 0.121738 46.576639 0.00 Yr2006 0.111406 41.845352 0.00 Yr2007 0.065053 23.879809 0.00 Yr2008 -0.051856 -18.623067 0.00 Yr2009 -0.041102 -14.261565 0.00 No of Bedrooms 0.014671 15.866329 0.00 0.017519 19.144798 0.00 No of Full Baths 0.164688 152.781209 0.00 0.146963 136.717485 0.00 No of Half Baths 0.151836 91.099069 0.00 0.132745 79.822351 0.00 No of Fireplaces 0.170455 161.099640 0.00 0.145072 137.001850 0.00 Garage Dummy 0.170616 71.760975 0.00 0.170824 72.495021 0.00 Basement Dummy 0.138199 80.941398 0.00 0.128803 75.681740 0.00 Stories Dummy 0.014131 8.167266 0.00 0.026279 15.247442 0.00 Adams County Dummy 0.003398 1.021937 .307 -0.04711 -10.518532 0.00 Denver County Dummy 0.183828 61.887987 0.00 0.069461 18.394318 0.00 Douglas County Dummy 0.016086 3.821778 0.00 -0.27454 -38.868442 0.00 Arapahoe County Dummy -0.021698 -6.430422 0.00 -0.20686 -43.457920 0.00 Longitude -107.719767 -21.667117 0.00 Latitude -72.155186 -15.752523 0.00 Longitude Squared -0.799777 -37.149268 0.00 Latitude Squared -1.115896 -32.965914 0.00 Lat*Lon -1.529108 -41.419968 0.00 Age -0.014724 -160.94147 0.00 -0.01629 -164.96856 0.00 Age Squared 0.000122 156.981420 0.00 0.000126 151.223767 0.00 Land Sq Feet (Log) 0.183304 159.507617 0.00 .235341 196.404030 0.00 Valid cases: 326744 Dependent variable: Sales Price (Log) Missing cases: 0 Deletion method: None Total SS: 98336.134 Degrees of freedom: 326717 R-squared: 0.591 Rbar-squared: 0.591 Residual SS: 40228.422 Std error of est: 0.351 F(24,178706): 18150.942 Probability of F: 0 ===== PAGE 43 (score 7, numeric-paren 0, table-words 1, var-words 5) ===== 41 Table 3: Airport Infrastructure Capital Stocks, Denver International Airport, 2003-2010 (constant (2003) millions of dollars, net of depreciation) 2003 2004 2005 2006 2007 2008 2009 2010 Airfield 759.3 735.2 710.6 695.0 678.8 664.0 675.6 670.2 Terminal 592.1 581.4 570.7 591.8 596.6 601.3 590.9 589.1 Parking 88.9 88.4 87.3 96.5 131.2 136.0 139.6 138.9 Road, Rail & Transit 104.4 107.1 111.9 112.3 110.4 113.0 111.7 114.3 Other 385.2 379.1 367.8 358.9 348.3 350.6 345.1 349.6 Total 1929.8 1891.3 1848.4 1854.4 1865.3 1865.0 1863.0 1862.1 ===== PAGE 44 (score 18, numeric-paren 0, table-words 6, var-words 3) ===== 42 Table 4: GMM Estimation of One-year Change of Land Value on Airport Infrastructure Capital Stocks (normalized by distance to the airport), Denver International Airport Note: land values are in real terms Dependent Variable: One-year change Land_Level Method: Panel Generalized Method of Moments Sample: 2005 2010 IF LAT>39.8439 AND LONG<-104.6733 Periods included: 6 Cross-sections included: 53742 Total panel (balanced) observations: 322452 2SLS instrument weighting matrix Instrument specification: Constant, One-year change_AIRFIELD(-1) One-year change_TERMINAL(-1) One-year change PARKING(-1) One-year change RD_RL_TRN(-1) One-year change OTHER(-1) Constant added to instrument list Variable Coefficient Std. Error t-Statistic Prob. Constant -2603.124 1.906908 -1365.102 0.0000 One-year change_AIRFIELD 0.000285 7.02E-06 40.59259 0.0000 One-year change_TERMINAL 0.000339 2.94E-06 115.1157 0.0000 One-year change_PARKING 0.000235 5.08E-06 46.18320 0.0000 One-year change_RD_RL_TRN 0.002581 3.71E-05 69.61141 0.0000 One-year change_OTHER -0.000302 3.86E-06 -78.24314 0.0000 Effects Specification Period fixed (dummy variables) R-squared 0.979117 Mean dependent var -2321.416 Adjusted R-squared 0.979116 S.D. dependent var 1722.607 S.E. of regression 248.9371 Sum squared resid 2.00E+10 Durbin-Watson stat 0.716351 J-statistic 1.74E-18 Instrument rank 11 ===== PAGE 45 (score 4, numeric-paren 0, table-words 2, var-words 0) ===== 43 Figure 1 – Single Family Home Sale Prices, Denver Source: Denver Home Price Index is from Federal Reserve Economic Data (FRED); Time dummy coefficient estimates are obtained from regressions in Table 3, normalizing 2010 (the omitted year) to equal 100.