Censored Quantile Regressions and the Determinants of Real Estate Liquidity
32 Pages Posted: 10 Feb 2018
Date Written: January 31, 2018
In this paper we analyze the liquidity (time on market) of rental dwellings and its determinants for different liquidity quantiles in the largest seven German cities. The determinants are estimated using censored quantile regressions in order to investigate the impact on very liquid to very illiquid dwellings. We use micro data to examine the time on market for about 400,000 observations from the first quarter of 2013 to the second quarter of 2017. Hedonic and socioeconomic characteristics as well as spatial gravity variables and various fixed effects are used as exogenous determinants. For almost all regression coefficients we find consistent signs across all quantiles of the time on market distribution, i.e. the proportional hazard assumption, underlying the Cox model, is not violated. However, we find substantial differences in the magnitude of the regression coefficients over the liquidity quantiles. This is the first paper, to the best of our knowledge, to apply censored quantile regressions to the liquidity analysis on the real estate market.
Keywords: Real Estate Liquidity, Duration Analysis, Time on Market, Censored Quantile Regressions, Cox-Hazard, German Housing
JEL Classification: C24, C14, R21, D41
Suggested Citation: Suggested Citation