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

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Author Info
Henry J. Munneke
Barrett A. Slade
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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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1080-8620.00003
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Publisher 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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  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. [Downloadable!] (restricted)
  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. [Downloadable!]
  3. 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. [Downloadable!] (restricted)
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This page was last updated on 2009-12-19.

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