03396ntm a22005417i 4500 000303175 CZ-PrVSE 20160205205557.0 m d cr n|||||||||| 160205s2016 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Krčál, Adam ISIS:79232 dis Analýza regionálních cen nemovitostí ve Spojených státech pomocí vysokodimenzionálního VAR modelu eng High-dimensional VAR analysis of regional house prices in United States / Adam Krčál 2016 ?? s. : digital, PDF soubor Vedoucí práce: Ondřej Čížek Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2016 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2016 In this thesis the heterogeneity of regional real estate prices in United States is investigated. A high dimensional VAR model with additional exogenous predictors, originally introduced by \cite{fan11}, is adopted. In this framework, the common factor in regional house prices dynamics is explained by exogenous predictors and the spatial dependencies are captured by lagged house prices in other regions. For the purpose of estimation and variable selection under high-dimensional setting the concept of Penalized Least Squares (PLS) with different penalty functions (e.g. LASSO penalty) is studied in detail and implemented. Moreover, clustering methods are employed to identify subsets of statistical regions with similar house prices dynamics. It is demonstrated that these clusters are well geographically defined and contribute to a better interpretation of the VAR model. Next, we make use of the LASSO variable selection property in order to construct the impulse response functions and to simulate the prices behavior when a shock occurs. And last but not least, one-period-ahead forecasts from VAR model are compared to those from the Diffusion Index Factor Model by \cite{stock02}, a commonly used model for forecasts. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas VAR model regional house prices penalized least squares impulse response analysis LASSO hierarchical clustering Čížek, Ondřej ISIS:2357 ths Zouhar, Jan, 1982- vse2009539908 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://isis.vse.cz/zp/55203/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/55203 Hlavní práce https://isis.vse.cz/zp/55203/posudek/vedouci Hodnocení vedoucího https://isis.vse.cz/zp/55203/posudek/oponent/45479 Oponentura https://isis.vse.cz/zp/55203/priloha/12668 Přiloha k práci https://isis.vse.cz/zp/55203/podrobnosti dc:identifier NEPOSILAT VSKP vse55203 160205 55203