贝氏多层次模型在台湾不动产市场估价之应用以-中华民国住宅学会.PDF

住宅學報　第二十一卷第一期　中華民國一百零一年六月　學術論著　第 頁─ 頁 1 18 JOURNAL　OF　HOUSING　STUDIES,　VOLUME　21　NO.　 1,　JUNE　2012 學術論著 貝氏多層次模型在台灣不動產市場估價之應用 ─以台北市住宅建物為例 An Application of Bayesian Inference in the Real Estate Market – A Case Study of Taipei Collective Housing 林祖嘉* 馬毓駿** Chu-Chia Lin*, Yu-Chun Ma** 摘　要 在房地產價格估計的領域當中 ，特徵方程式是最常被應用來估計建物價格的工具之一 ，然 因特徵估價法是建構在線性迴歸的基礎之上 ，對於建物特徵與建物價格關係的描述過於簡化 ， 同時實務上存在諸多無法量化的因素 ，致使模型容易產生異質變異的現象 ，而現有的非參數模 型有時過於複雜 ，且使用上的限制亦多 。針對上述問題 ，本文嘗試採用多層次貝式模型來彌補 線性模型的缺陷 ，有別於多數研究將區位視為建物特徵之一的假設 ，本文由區位不同造成異質 變異的角度切入 ，重新呈現建物特徵與建物價格的非單調性關係 。實證結果指出多數的建物特 徵對建物價格的影響 ，多因區位而產生變化 ，且時呈不同方向 ，同時在異質變異現象獲得舒緩 後 ，建物價格估價的精確度亦獲得顯著提升 。 關鍵詞：特徵方程式、貝氏分析、馬可夫鏈蒙地卡羅法 ABSTRACT How to estimate housing prices precisely has always been an important issue in the real estate market. Most studies adopt parametric or non-parametric methods to deal with problems such as heteroskedasticity or non-monotonic phenomena which come from less influential attributes or from characteristics which can not easily be realized. Researchers have attempted to adopt certain methods such as non-parametric methods to recover from these failures but they still do not work well. This paper therefore tries to re-examine the issue of heteroskedasticity in the housing price model. By using data for collective housing-type buildings in Taipei, this study employs the Hierarchical Bayesian model to bridge the relationship between attributes and housing prices. By means of a random effect device, the location effect gives rise to a non-monotonic effect on regressors that affect housing prices. Besides, capturing the heteroskedasticity effects results in the Bayesian model providing a better estimation than OLS. K