Dimension Reduction and Model Averaging for Estimation of Artists’ Age-Valuation Profiles

18 Pages Posted: 15 Nov 2009

See all articles by John W. Galbraith

John W. Galbraith

McGill University - Department of Economics; Center for Interuniversity Research and Analysis on Organization (CIRANO)

Douglas J. Hodgson

University of Quebec at Montreal (UQAM) - Department of Economics

Date Written: September 1, 2009

Abstract

In hedonic regression models of the valuation of works of art, the age at which an artist produces a particular work, or an indicator variable for periods in his or her artistic career, is often found to have highly significant predictive value. Most existing results are based on regressions that pool large groups of painters. Although it is of interest to estimate such regressions for individual artists, the sample sizes are often inadequate for a model that would also include the large number of other relevant variables. We address this problem of inadequate degrees of freedom in individual artist regressions by using two statistical methods (model averaging and dimension reduction) to incorporate information from a potentially large number of predictor variables, allowing us to work with relatively small samples. We find that individual age-valuation profiles can differ substantially from general pooled profiles, suggesting that methods that are more responsive to the unique features of individual artists may provide better predictions of art valuations at auction.

Keywords: Dimension reduction, factor-augmented model, model averaging

Suggested Citation

Galbraith, John W. and Hodgson, Douglas J., Dimension Reduction and Model Averaging for Estimation of Artists’ Age-Valuation Profiles (September 1, 2009). CIRANO - Scientific Publications 209s-41. Available at SSRN: https://ssrn.com/abstract=1505420 or http://dx.doi.org/10.2139/ssrn.1505420

John W. Galbraith (Contact Author)

McGill University - Department of Economics ( email )

1001 Sherbrooke St. W
Montreal, Quebec H3A 1G5
Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO) ( email )

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

Douglas J. Hodgson

University of Quebec at Montreal (UQAM) - Department of Economics ( email )

P.O. Box 8888, Downtown Station
Montreal, Quebec H3C 3P8
Canada

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