A Test of Omitted Macroeconomic Variables in Marketing Time of Residential Housing

房屋去化速度模型中是否遺漏總體經濟變數的檢驗方法

紀志毅(Woody Chih-Yi Chi) ； 盧秋玲(Chiu-Ling Lu) ； 余士迪(Shih-Ti Yu)

《證券市場發展季刊》 17卷1期 (2005/04) Pp. 105-126

https://doi.org/10.6529/RSFM.2005.17(1).4

摘要

本文提出能檢驗房屋去化速度模型中，是否遺漏總體經濟變數的方法。先前的研究多以所用資料的時間長短，當做是否要考慮總體經濟變數的依據；而當資料的時間「夠長」時，這些研究便加入研究者認為「合理」的總經變數。相對的，我們的檢驗法符合計量經濟學理論，透過簡單的時間函數，能明確判斷房屋去化速度模型中是否已有足夠的總體經濟變數，以及是否需要添加變數。我們並以台北市的房屋交易資料，作為檢驗的例子。此外，本檢驗法還能與RESET搭配使用。

關鍵字

房屋去化速度 ； 時間持續模型 ； 遺漏變數

並列摘要

We propose a new approach to testing whether there are omitted macroeconomic variables in the duration models analyzing what affects marketing time of residential housing. Unlike previous approaches, which use the length of the data sets as the criterion for whether to consider macroeconomic effects and select ＂reasonable＂ macroeconomic variables when the data sets are ＂long,＂ our method provides clear criteria for whether there are enough macroeconomic variables and whether there is a need to add variables in the models. It also serves as a complementary tool to RESET.

並列關鍵字

Time on the Market ； Duration Model ； Omitted Variables

參考文獻

Asabere, P. K.,F. E. Huffman,S. Mehdian(1993).Mispricing and Optimal Time on the Market.The Journal of Real Estate Research.8(1),149-156.

Godfrey, L. G.,C. D. Orme(1994).The Sensitivity of Some General Checks to Omitted Variables in the Linear Model.International Economic Review.35,489-506.

Haurin, D.(1988).The Duration of Marketing Time of Residential Housing.AREUEA Journal.16,396-410.

Kalra, R.,K. C. Chan(1994).Censored Sample Bias, Macroeconomic Factors, and Time on Market of Residential Housing.The Journal of Real Estate Research.9(2),253-252.

Leung, S. F.,S. Yu(2000).How Effective Are the RESET Tests for Omitted Variables.Communications in Statistics-Theory and Methods.29(4),879-902.