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A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market
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This article applies the spatiotemporal hedonic approach to the analysis of office transaction prices in the Paris property market (i.e., central Paris and its inner suburbs). The analysis focuses primarily on the market's two main business districts (the Central Business District and the La D'efense District). We find that spatial and temporal dependence effects are strongly present in these submarkets. Additionally, we propose a hybrid method for incorporating a temporal regime switch into the spatiotemporal autoregressive model. The regime switching around 1997 (i.e., in the presence of temporal heterogeneity) substantially affects the significance of spatial and temporal dependences. Finally, we build a new price index that incorporates both spatiotemporal dependences and temporal heterogeneity. This index differs strongly from the usual hedonic price index.
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