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Retransformation bias in the adjacent art price index

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Author Info

  • Andrew M. Jones

    (Department of Economics and Related Studies, University of York, UK)

  • Roberto Zanola

    ()
    (Department of Public Policy and Public Choice, University of Eastern Piedmont, Italy)

Abstract

The literature on hedonic price indices, such as the adjacent art price index, often uses a logarithmic transformation of the price data to deal with the non-normality. However, this creates the problem of retransforming the predictions back to an economically meaningful scale. This paper investigates the impact of dealing with the retransformation problem for estimates of art market returns. The empirical results show how failure to allow for retransformation may result in a biased price index

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File URL: http://www.culturaleconomics.org/awp/AWP-01-2011.pdf
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Bibliographic Info

Paper provided by the Association for Cultural Economics International in its series ACEI Working Paper Series with number AWP-01-2011.

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Length: 12 pages
Date of creation: Jul 2011
Date of revision: Jul 2011
Handle: RePEc:cue:wpaper:awp-01-2011

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Web page: http://www.culturaleconomics.org/
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Related research

Keywords: Retransformation; heteroskedasticity; Picasso; hedonic prices;

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  1. Manning, Willard G., 1998. "The logged dependent variable, heteroscedasticity, and the retransformation problem," Journal of Health Economics, Elsevier, vol. 17(3), pages 283-295, June.
  2. Victor Ginsburgh & David Throsby, 2006. "Handbook of the Eonomics of Art and Culture," ULB Institutional Repository 2013/152412, ULB -- Universite Libre de Bruxelles.
  3. Corinna Czujack, 1997. "Picasso Paintings at Auction, 1963–1994," Journal of Cultural Economics, Springer, vol. 21(3), pages 229-247, September.
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Cited by:
  1. Fabian Y. R. P. Bocart & Christian M. Hafner, 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers SFB649DP2011-071, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Fabian Y.R.P. Bocart & Christian M. Hafner, 2012. "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers SFB649DP2012-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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