1# RECORD 617738a89ff272112e6f8804b981aa1981f5a2322# TITLE: Semi-Parametric Interpolations of Residential Location Values: Using Housing Price Data to Generate Balanced Panels3# YEAR: 2014.0 VENUE: nan DOI: 10.20955/wp.2014.0504# AUTHORS: Jeffrey P. Cohen; Cletus C. Coughlin; J. Clapp5# PAGES: 51 CANDIDATE TABLE PAGES (1-based): [41, 42, 44]6# 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.789===== PAGE 1 (score 2, numeric-paren 0, table-words 0, var-words 2) =====1011Semi-Parametric Interpolations of Residential Location Values:12Using Housing Price Data to Generate Balanced Panels13ECONOMIC RESEARCH14FEDERAL RESERVE BANK OF ST. LOUIS15WORKING PAPER SERIES16Authors17John M. Clapp, Jeffrey P. Cohen, and Cletus C. Coughlin18Working Paper Number192014-050A20Creation Date21December 201422Citable Link23https://doi.org/10.20955/wp.2014.05024Suggested Citation25Clapp, J.M., Cohen, J.P., Coughlin, C.C., 2014; Semi-Parametric Interpolations of26Residential Location Values: Using Housing Price Data to Generate Balanced27Panels, Federal Reserve Bank of St. Louis Working Paper 2014-050. URL28https://doi.org/10.20955/wp.2014.05029Federal Reserve Bank of St. Louis, Research Division, P.O. Box 442, St. Louis, MO 6316630The views expressed in this paper are those of the author(s) and do not necessarily reflect the views of the Federal Reserve31System, the Board of Governors, or the regional Federal Reserve Banks. Federal Reserve Bank of St. Louis Working Papers32are preliminary materials circulated to stimulate discussion and critical comment.333435===== PAGE 41 (score 25, numeric-paren 0, table-words 2, var-words 11) =====363739 38 39Table 1: Descriptive Statistics, Denver Single Family Home Sales, 2003-2010 40 41Variable 42Mean 43Std. Dev. 44Variance 45Minimum 46Maximum 47 48Sale Price (Log) 4912.4315 500.5486 510.3010 526.9078 5315.4249 54 55Yr2003 560.1393 570.3463 580.1199 590 601 61 62Yr2004 630.1530 640.3600 650.1296 660 671 68 69Yr2005 700.1528 710.3598 720.1295 730 741 75 76Yr2006 770.1384 780.3453 790.1192 800 811 82 83Yr2007 840.1232 850.3286 860.1080 870 881 89 90Yr2008 910.1112 920.3144 930.0989 940 951 96 97Yr2009 980.0955 990.2940 1000.0864 1010 1021 103 104Yr2010 1050.0865 1060.2811 1070.0790 1080 1091 110 111No of Bedrooms 1123.1587 1130.8403 1140.7061 1151 11613 117 118No of Full Baths 1192.2924 1200.8853 1210.7838 1221 12312 124 125No of Half Baths 1260.3259 1270.4938 1280.2439 1290 1305 131 132No of Fireplaces 1330.7669 1340.7313 1350.5348 1360 13710 138 139Garage Dummy 1400.9103 1410.2858 1420.0817 1430 1441 145 146Basement Dummy 1470.8031 1480.3977 1490.1581 1500 1511 152 153Stories Dummy 1540.4839 1550.4997 1560.2497 1570 1581 159 160Adams County Dummy 1610.1900 1620.3923 1630.1539 1640 1651 166 167Denver County Dummy 1680.2268 1690.4188 1700.1754 1710 1721 173 174Douglas County Dummy 1750.1782 1760.3827 1770.1465 1780 1791 180 181Arapahoe County Dummy 1820.2114 1830.4083 1840.1667 1850 1861 187 188Jefferson County Dummy 1890.1935 1900.3951 1910.1561 1920 1931 194 195Longitude 196-104.9384 1970.1441 1980.0208 199-105.4648 200-103.765 201 202Latitude 20339.6936 2040.1440 2050.0207 20639.1305 20740.242 208 209Longitude Squared 21011012.0871 21130.2435 212914.6665 21310767.1109 21411122.82 215 216Latitude Squared 2171575.6048 21811.4253 219130.5373 2201531.1990 2211619.42 222 223Lat*Lon 224-4165.3879 22516.7768 226281.4625 227-4206.4213 228-4098.49 229 230Age 23134.0694 23227.3488 233747.9552 2340 235145 236 237Age Squared 2381908.6075 2392870.4277 2408238049 2410 24221025 243 244Land Square Feet (Log) 2459.0213 2460.6916 2470.4765 2486.2146 24918.1084 250 251 252Observations = 326,744 253 254 255256257===== PAGE 42 (score 36, numeric-paren 0, table-words 7, var-words 10) =====258259Table 2: Hedonic Regressions, Denver SFR Home Sales, 2003-2010 260 261Variable 262Coeff. 263T-Value 264P-Value 265Robinson’s Method 266Coeff. 267T-Value 268P-Value 269Constant 270-4233.666469 271-13.527658 2720.00 273 274 275 276Yr2003 2770.056438 27821.222047 2790.00 280 281 282 283Yr2004 2840.085489 28532.724294 2860.00 287 288 289 290Yr2005 2910.121738 29246.576639 2930.00 294 295 296 297Yr2006 2980.111406 29941.845352 3000.00 301 302 303 304Yr2007 3050.065053 30623.879809 3070.00 308 309 310 311Yr2008 312-0.051856 313-18.623067 3140.00 315 316 317 318Yr2009 319-0.041102 320-14.261565 3210.00 322 323 324 325No of Bedrooms 3260.014671 32715.866329 3280.00 3290.017519 33019.144798 3310.00 332No of Full Baths 3330.164688 334152.781209 3350.00 3360.146963 337136.717485 3380.00 339No of Half Baths 3400.151836 34191.099069 3420.00 3430.132745 34479.822351 3450.00 346No of Fireplaces 3470.170455 348161.099640 3490.00 3500.145072 351137.001850 3520.00 353Garage Dummy 3540.170616 35571.760975 3560.00 3570.170824 35872.495021 3590.00 360Basement Dummy 3610.138199 36280.941398 3630.00 3640.128803 36575.681740 3660.00 367Stories Dummy 3680.014131 3698.167266 3700.00 3710.026279 37215.247442 3730.00 374Adams County Dummy 3750.003398 3761.021937 377.307 378-0.04711 379-10.518532 3800.00 381Denver County Dummy 3820.183828 38361.887987 3840.00 3850.069461 38618.394318 3870.00 388Douglas County Dummy 3890.016086 3903.821778 3910.00 392-0.27454 393-38.868442 3940.00 395Arapahoe County Dummy 396-0.021698 397-6.430422 3980.00 399-0.20686 400-43.457920 4010.00 402Longitude 403-107.719767 404-21.667117 4050.00 406 407 408 409Latitude 410-72.155186 411-15.752523 4120.00 413 414 415 416Longitude Squared 417-0.799777 418-37.149268 4190.00 420 421 422 423Latitude Squared 424-1.115896 425-32.965914 4260.00 427 428 429 430Lat*Lon 431-1.529108 432-41.419968 4330.00 434 435 436 437Age 438-0.014724 439-160.94147 4400.00 441-0.01629 442-164.96856 4430.00 444Age Squared 4450.000122 446156.981420 4470.00 4480.000126 449151.223767 4500.00 451Land Sq Feet (Log) 4520.183304 453159.507617 4540.00 455.235341 456196.404030 4570.00 458 459Valid cases: 460326744 461 462Dependent variable: 463Sales Price (Log) 464Missing cases: 4650 466 467Deletion method: 468None 469Total SS: 47098336.134 471 472Degrees of freedom: 473326717 474R-squared: 4750.591 476 477Rbar-squared: 4780.591 479Residual SS: 48040228.422 481 482Std error of est: 4830.351 484F(24,178706): 48518150.942 486 487Probability of F: 4880 489490491===== PAGE 43 (score 7, numeric-paren 0, table-words 1, var-words 5) =====49249341 494 495Table 3: Airport Infrastructure Capital Stocks, Denver International Airport, 2003-2010 496(constant (2003) millions of dollars, net of depreciation) 497 498 499 500 501 502 503 5042003 5052004 5062005 5072006 5082007 5092008 5102009 5112010 512Airfield 513759.3 514735.2 515710.6 516695.0 517678.8 518664.0 519675.6 520670.2 521Terminal 522592.1 523581.4 524570.7 525591.8 526596.6 527601.3 528590.9 529589.1 530Parking 53188.9 53288.4 53387.3 53496.5 535131.2 536136.0 537139.6 538138.9 539Road, Rail & Transit 540104.4 541107.1 542111.9 543112.3 544110.4 545113.0 546111.7 547114.3 548Other 549385.2 550379.1 551367.8 552358.9 553348.3 554350.6 555345.1 556349.6 557Total 5581929.8 5591891.3 5601848.4 5611854.4 5621865.3 5631865.0 5641863.0 5651862.1 566567568===== PAGE 44 (score 18, numeric-paren 0, table-words 6, var-words 3) =====56957042 571 572Table 4: GMM Estimation of One-year Change of Land Value on Airport Infrastructure 573Capital Stocks (normalized by distance to the airport), Denver International Airport 574Note: land values are in real terms 575 576 577 578 579 580Dependent Variable: One-year change Land_Level 581 582Method: Panel Generalized Method of Moments 583 584 585 586 587Sample: 2005 2010 IF LAT>39.8439 AND LONG<-104.6733 588Periods included: 6 589 590 591Cross-sections included: 53742 592 593Total panel (balanced) observations: 322452 594 5952SLS instrument weighting matrix 596 597Instrument specification: Constant, One-year change_AIRFIELD(-1) 598 One-year change_TERMINAL(-1) One-year change PARKING(-1) 599One-year change RD_RL_TRN(-1) One-year change OTHER(-1) 600Constant added to instrument list 601 602 603 604 605Variable 606Coefficient 607Std. Error 608t-Statistic 609Prob. 610Constant 611-2603.124 6121.906908 613-1365.102 6140.0000 615One-year change_AIRFIELD 6160.000285 6177.02E-06 61840.59259 6190.0000 620One-year change_TERMINAL 6210.000339 6222.94E-06 623115.1157 6240.0000 625One-year change_PARKING 6260.000235 6275.08E-06 62846.18320 6290.0000 630One-year change_RD_RL_TRN 6310.002581 6323.71E-05 63369.61141 6340.0000 635One-year change_OTHER 636-0.000302 6373.86E-06 638-78.24314 6390.0000 640 641Effects Specification 642 643 644Period fixed (dummy variables) 645 646R-squared 6470.979117 648 Mean dependent var 649-2321.416 650Adjusted R-squared 6510.979116 652 S.D. dependent var 6531722.607 654S.E. of regression 655248.9371 656 Sum squared resid 6572.00E+10 658Durbin-Watson stat 6590.716351 660 J-statistic 6611.74E-18 662Instrument rank 66311 664 665 666 667 668 669 670 671 672 673 674 675 676 677 678 679680681===== PAGE 45 (score 4, numeric-paren 0, table-words 2, var-words 0) =====68268343 684 685Figure 1 – Single Family Home Sale Prices, Denver 686 687 688Source: Denver Home Price Index is from Federal Reserve Economic Data (FRED); Time 689dummy coefficient estimates are obtained from regressions in Table 3, normalizing 2010 (the 690omitted year) to equal 100. 691 692 693 694 695 696 697 698 699 700 701