A Metropolitan Transaction-Based Commercial Price Index: A Time-Varying Parameter Approach
AbstractThis 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 InfoArticle provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.
Volume (Year): 29 (2001)
Issue (Month): 1 ()
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