论文标题
对房价变化的顺序监控
Sequential Monitoring of Changes in Housing Prices
论文作者
论文摘要
我们提出了一个连续监测计划，以在房地产市场中找到结构性突破。房地产价格的变化是通过线性和自回归条款的组合来建模的。监视方案基于检测器和适当选择的边界功能。如果检测器越过边界函数，则检测到结构断裂。我们为稳定性零假设和变化点替代方面的停止时间提供了渐近学。蒙特卡洛模拟用于在几种条件下显示我们方法的大小和力量。我们研究波士顿，洛杉矶和美国国家一级的房地产市场。我们发现市场上的结构性突破，然后将数据分为固定的细分市场。观察到自回旋参数正在增加，但保持在1以下。
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector and a suitably chosen boundary function. If the detector crosses the boundary function, a structural break is detected. We provide the asymptotics for the procedure under the stability null hypothesis and the stopping time under the change point alternative. Monte Carlo simulation is used to show the size and the power of our method under several conditions. We study the real estate markets in Boston, Los Angeles and at the national U.S. level. We find structural breaks in the markets, and we segment the data into stationary segments. It is observed that the autoregressive parameter is increasing but stays below 1.
