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Estimating Capital Asset Price Indexes

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Author Info
R. Carter Hill
J. R. Knight
C. F. Sirmans

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Abstract

This paper introduces an improved procedure for estimating capital asset price indexes. We jointly estimate conventional hedonic and repeat sales models via maximum - likelihood procedures, thereby taking advantage of the unique features of the individual models and using all the data that are available. Our model captures depreciation within the repeat sales model and accounts for serial correlation in hedonic data. The improvement in precision obtained by estimating the joint model is illustrated by smaller standard errors and narrower interval estimates for the resulting price indexes. We also carry out a simulation experiment that shows estimation errors significantly smaller using the joint estimation technique than either of the individual models or the GLS estimator of Case and Quigley (1991). © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog

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File URL: http://www.catchword.com/cgi-bin/cgi?ini=bc&body=linker&reqidx=0034-6535(19970501)79:2L.226;1-
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Publisher Info
Article provided by MIT Press in its journal The Review of Economics and Statistics.

Volume (Year): 79 (1997)
Issue (Month): 2 (May)
Pages: 226-233
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Handle: RePEc:tpr:restat:v:79:y:1997:i:2:p:226-233

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  1. 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. [Downloadable!]
  2. Marilena Locatelli Biey & Roberto Zanola, 1999. "Investment in Paintings: A Short-Run Price Index," Journal of Cultural Economics, Springer, vol. 23(3), pages 209-219, August. [Downloadable!] (restricted)
  3. Locatelli-Biey, Marilena & Zanola, Roberto, 2003. "The market for Picasso prints: an hybrid model approach," P.O.L.I.S. department's Working Papers 34, Department of Public Policy and Public Choice - POLIS. [Downloadable!]
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  4. Michel Baroni & Fabrice Barthe´le´my & Mahdi Mokrane, 2007. "APCA Factor Repeat Sales Index for Apartment Prices in Paris," Journal of Real Estate Research, American Real Estate Society, vol. 29(2), pages 137-158. [Downloadable!]
  5. Zanola, Roberto, 2007. "The Dynamics of Art Prices: The Selection Corrected Repeat-Sales Index," P.O.L.I.S. department's Working Papers 76, Department of Public Policy and Public Choice - POLIS. [Downloadable!]
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