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Multiple Transactions Model: A Panel Data Approach to Estimate Housing Market Indices

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Author Info
Andre H. Gao () (Fannie Mae 3900 Wisconsin Avenue, N.W. Washington, DC 20016)
George H. K. Wang () (George Mason University, Fairfax, Virginia 22030)
Abstract

In this paper, a multiple transactions model with a panel data approach is used to estimate housing market indices. The multiple transactions model keeps the same features of the repeat transactions index model (i.e., tracking the price appreciation of same houses). However, the multiple transactions model overcomes the shortcomings of the repeat transactions model by avoiding the correlated error terms. The indicative empirical analysis on a small sample of actual house transaction data demonstrates that the proposed multiple transactions model is superior to the repeat transactions model in terms of index variance, robustness of estimate, index revision volatility, and out-of-sample prediction of individual house prices.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol29n03/02.241_266.pdf
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Publisher Info
Article provided by American Real Estate Society in its journal journal of Real Estate Research.

Volume (Year): 29 (2007)
Issue (Month): 3 ()
Pages: 241-266
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Handle: RePEc:jre:issued:v:29:n:3:2007:p:241-266

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L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
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  1. G. Donald Jud & Dan T. Winkler, 2002. "The Dynamics of Metropolitan Housing Prices," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 29-46. [Downloadable!]
  2. Bradford Case & Henry O. Pollakowski & Susan M. Wachter, 1991. "On Choosing Among House Price Index Methodologies," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 286-307. [Downloadable!] (restricted)
  3. Englund, Peter & Quigley, John M. & Redfearn, Christian L., 1998. "Improved Price Indexes for Real Estate: Measuring the Course of Swedish Housing Prices," Journal of Urban Economics, Elsevier, vol. 44(2), pages 171-196, September. [Downloadable!] (restricted)
  4. Anthony Y. Gu, 2002. "The Predictability of House Prices," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 213-234. [Downloadable!]
  5. Case, Bradford & Quigley, John M, 1991. "The Dynamics of Real Estate Prices," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 50-58, February. [Downloadable!] (restricted)
  6. Zhong-guo Zhou, 1997. "Forecasting Sales and Price for Existing Single-Family Homes: A VAR Model with Error Correction," Journal of Real Estate Research, American Real Estate Society, vol. 14(2), pages 155-168. [Downloadable!]
  7. Palmquist, Raymond B, 1980. "Alternative Techniques for Developing Real Estate Price Indexes," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 442-48, August. [Downloadable!] (restricted)
  8. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  9. John Freebairn & Bill Griffiths, 2006. "Introduction," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S1-S1, 09. [Downloadable!] (restricted)
  10. Clapp, John M & Giaccotto, Carmelo, 1992. "Estimating Price Trends for Residential Property: A Comparison of Repeat Sales and Assessed Value Methods," The Journal of Real Estate Finance and Economics, Springer, vol. 5(4), pages 357-74, December.
  11. Jesse M. Abraham & William S. Schauman, 1991. "New Evidence on Home Prices from Freddie Mac Repeat Sales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 333-352. [Downloadable!] (restricted)
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