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Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with Low Transaction Volume

Author

Listed:
  • Hill Robert J.
  • Steurer Miriam

    (Department of Economics, University of Graz, Universitätsstraße 15/F4, 8010Graz, Austria)

  • Scholz Michael

    (Department of Economics, University of Klagenfurt, Universitätsstraße 65-67, 9020Klagenfurt, Austria.)

  • Shimizu Chihiro

    (University of Tokyo, Center for Spatial Information Science, 5-1-5, Kashiwanoha, Kashiwa, Chiba, 277-8568, Japan.)

Abstract

Rolling-time-dummy (RTD) is a hedonic method used by a number of countries to compute their official house price indexes (HPIs). The RTD method requires less data and is more adaptable than other hedonic methods, which makes it well suited for computing higher frequency HPIs (e.g., monthly or weekly). In this article, we address three key issues relating to RTD. First, we develop a method for determining the optimal length of the rolling window. Second, we consider variants on the standard way of linking the current period with earlier periods, and show how the optimal linking method can be determined. Third, we propose three ways of modifying the RTD method to make it more robust to periods of low transaction volume. These modifications could prove useful for countries using the RTD method in their official HPIs.

Suggested Citation

  • Hill Robert J. & Steurer Miriam & Scholz Michael & Shimizu Chihiro, 2022. "Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with Low Transaction Volume," Journal of Official Statistics, Sciendo, vol. 38(1), pages 127-151, March.
    • Handle: RePEc:vrs:offsta:v:38:y:2022:i:1:p:127-151:n:12
    DOI: 10.2478/jos-2022-0007
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    Cited by:

    1. Trojanek, Radoslaw & Gluszak, Michal, 2022. "Short-run impact of the Ukrainian refugee crisis on the housing market in Poland," Finance Research Letters, Elsevier, vol. 50(C).

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