This paper proposes a methodology for using machine learning regression models to create price indices. In our study we developed six commercial real estate price indeces for the city of New York from year 2000 to 2019. The regression models used in this study are eXtreme Gradient Boosting Tree...

State space models with nonstationary processes and fixed regression effects require a state vector with diffuse initial conditions. Different likelihood functions can be adopted for the estimation of parameters in time series models with diffuse initial conditions. In this paper we consider...

In this paper we combine a random effects model with different machine learning algorithms via an iterative process when predicting commercial real estate asset values. Using both random effects and machine learning allows us to combine the strengths of both approaches. The random effects will...

In this paper we combine a random effects model with different machine learning algorithms via an iterative process when predicting commercial real estate asset values. Using both random effects and machine learning allows us to combine the strengths of both approaches. The random effects will...