Retransformation bias in the adjacent art price index
AbstractThe 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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Bibliographic InfoPaper provided by the Association for Cultural Economics International in its series ACEI Working Paper Series with number AWP-01-2011.
Length: 12 pages
Date of creation: Jul 2011
Date of revision: Jul 2011
Retransformation; heteroskedasticity; Picasso; hedonic prices;
Find related papers by JEL classification:
- Z10 - Other Special Topics - - Cultural Economics - - - General
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