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A Metropolitan Transaction-Based Commercial Price Index: A Time-Varying Parameter Approach

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  • Henry J. Munneke
  • Barrett A. Slade
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    Abstract

    This study examines the usefulness of time-varying parameter techniques for constructing reliable transaction-based commercial price indices for metropolitan areas. Time-varying parameter techniques allow the implicit prices of differing quality characteristics to vary intertemporally, overcoming the potential bias imposed by holding implicit prices fixed and simply interpreting time dummy variables as in a conventional hedonic approach. This paper empirically investigates three time-varying parameter methods (Chained, Laspeyres, and Paasche) and considers the potential for sample selection bias. Precision measures are constructed to examine the reliability of the respective indices. Copyright Blackwell Publishers Ltd 2001.

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    Bibliographic Info

    Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

    Volume (Year): 29 (2001)
    Issue (Month): 1 ()
    Pages: 55-84

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    Handle: RePEc:bla:reesec:v:29:y:2001:i:1:p:55-84

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    Cited by:
    1. Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January.
    2. Gabriel Ahlfeldt, 2007. "If Alonso Was Right: Accessibility as Determinant for Attractiveness of Urban Location," Working Papers 012, Chair for Economic Policy, University of Hamburg.
    3. Gabriel Ahlfeldt & Wolfgang Maennig, 2007. "Impact of Sports Arenas on Land Values: Evidence from Berlin," Working Papers 0703, International Association of Sports Economists & North American Association of Sports Economists.
    4. Joseph B. Nichols & Stephen D. Oliner & Michael R. Mulhall, 2010. "Commercial and residential land prices across the United States," Finance and Economics Discussion Series 2010-16, Board of Governors of the Federal Reserve System (U.S.).
    5. Franco, Sofia & Cutter, Bowman & DeWoody, Autumn, 2010. "Do Parking Requirements Significantly Increase The Area Dedicated To Parking? A Test Of The Effect Of Parking Requirements Values In Los Angeles County," MPRA Paper 20403, University Library of Munich, Germany.
    6. Peter Colwell & Henry Munneke, 2006. "Bargaining Strength and Property Class in Office Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 197-213, November.

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