In the present work we perform an econometric analysis of the Tribal art market. To this aim, we use a unique and original database that includes information on Tribal art market auctions worldwide from 1998 to 2011. In Literature, art prices are modelled through the hedonic regression model, a classic fixed-effect model.
The main drawback of the hedonic approach is the large number of parameters, since, in general, art data include many categorical variables. In this work, we propose a multilevel
model for the analysis of Tribal art prices that takes into account the influence of time on artwork prices. In fact, it is natural to assume that time exerts an influence over the price dynamics in various ways. Nevertheless, since the set of
objects change at every auction date, we do not have repeated measurements
of the same items over time. Hence, the dataset does not constitute a proper
panel; rather, it has a two-level
structure in that items, level-1 units, are grouped in time points, level-2
units. The main theoretical contribution is the extension of classical
multilevel models to cope with the case described above. In particular,
we introduce a model with time dependent random effects at the second
level. We propose a novel specification of the model, derive the maximum likelihood
estimators and implement them through the E-M algorithm. We test the finite sample properties of the estimators and the validity of the own-written R-code by means of a simulation study. Finally, we show that the new model improves considerably the fit of the Tribal art data with respect to both the hedonic regression model and the classic multilevel model.
| Identifer | oai:union.ndltd.org:unibo.it/oai:amsdottorato.cib.unibo.it:4301 |
| Date | 03 February 2012 |
| Creators | Modugno, Lucia <1983> |
| Contributors | Rosa, Rodolfo |
| Publisher | Alma Mater Studiorum - Università di Bologna |
| Source Sets | Università di Bologna |
| Language | English |
| Detected Language | English |
| Type | Doctoral Thesis, PeerReviewed |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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