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A Flexible Fourier Approach to Repeat Sales Price Indexes

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  • Daniel P. McMillen
  • Jonathan Dombrow

Abstract

Time periods are typically highly aggregated for repeat sales estimators because of the small number of observations available in some periods. We use a flexible Fourier expansion to account for time, which we treat as a continuous variable. Our estimator saves degrees of freedom and enables us to estimate the price index efficiently even for times with few sales. We present estimated price indexes for the City of Chicago, Cook County, and several suburbs. Copyright 2001 by the American Real Estate and Urban Economics Association.

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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): 2 ()
Pages: 207-225

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Handle: RePEc:bla:reesec:v:29:y:2001:i:2:p:207-225

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Cited by:
  1. McMillen, Daniel P., 2003. "The return of centralization to Chicago: using repeat sales to identify changes in house price distance gradients," Regional Science and Urban Economics, Elsevier, vol. 33(3), pages 287-304, May.
  2. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
  3. Ihlanfeldt, Keith R. & Shaughnessy, Timothy M., 2004. "An empirical investigation of the effects of impact fees on housing and land markets," Regional Science and Urban Economics, Elsevier, vol. 34(6), pages 639-661, November.
  4. Michel Baroni & Fabrice Barthélémy & Mokrane Mahdi, 2009. "A Repeat Sales Index Robust to Small Datasets," Post-Print hal-00551732, HAL.
  5. Daniel P. McMillen, 2002. "The center restored: Chicago's residential price gradient reemerges," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q II, pages 2-11.
  6. Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
  7. Constantinescu, Mihnea & Francke, Marc, 2013. "The historical development of the Swiss rental market – A new price index," Journal of Housing Economics, Elsevier, vol. 22(2), pages 135-145.
  8. Thorsnes, Paul & Bishop, Tim, 2013. "The value of basic building code insulation," Energy Economics, Elsevier, vol. 37(C), pages 68-81.
  9. Sheharyar Bokhari & David Geltner, 2012. "Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 522-543, August.

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