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High Frequency House Price Indexes with Scarce Data

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  • Hoesli, Martin E.
  • Bourassa, Steven

Abstract

We show how a method that has been applied to commercial real estate markets can be used to produce high frequency house price indexes for a city and for submarkets within a city. Our application of this method involves estimating a set of annual robust repeat sales regressions staggered by start date and then undertaking an annual-to-monthly (ATM) transformation with a generalized inverse estimator. Using transactions data for Louisville, Kentucky, we show that the method substantially reduces the volatility of high frequency indexes at the city and submarket levels. We demonstrate that both volatility and the benefits from using the ATM method are related to sample size.

Suggested Citation

  • Hoesli, Martin E. & Bourassa, Steven, 2016. "High Frequency House Price Indexes with Scarce Data," Working Papers unige:84700, University of Geneva, Geneva School of Economics and Management.
    • Handle: RePEc:gnv:wpgsem:unige:84700
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    File URL: https://luniarchidoc4.unige.ch/archive-ouverte/unige:84700/ATTACHMENT01
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    References listed on IDEAS

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    1. Marc Francke, 2010. "Repeat Sales Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 41(1), pages 24-52, July.
    2. Sheharyar Bokhari & David Geltner, 2012. "Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 522-543, August.
    3. Bourassa, Steven C. & Hoesli, Martin & Peng, Vincent S., 2003. "Do housing submarkets really matter?," Journal of Housing Economics, Elsevier, vol. 12(1), pages 12-28, March.
    4. Pace, R Kelley & Barry, Ronald & Clapp, John M. & Rodriquez, Mauricio, 1998. "Spatiotemporal Autoregressive Models of Neighborhood Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 15-33, July.
    5. Daniel P. McMillen & Jonathan Dombrow, 2001. "A Flexible Fourier Approach to Repeat Sales Price Indexes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(2), pages 207-225.
    6. John M. Clapp, 2004. "A Semiparametric Method for Estimating Local House Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(1), pages 127-160, March.
    7. Schwann, Gregory M, 1998. "A Real Estate Price Index for Thin Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 16(3), pages 269-287, May.
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    Cited by:

    1. Robert J. Hill & Alicia N. Rambaldi & Michael Scholz, 2021. "Higher frequency hedonic property price indices: a state-space approach," Empirical Economics, Springer, vol. 61(1), pages 417-441, July.

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    More about this item

    Keywords

    House Prices; High-Frequency Price Indexes; Repeat Sales Method; Scarce Data;
    All these keywords.

    JEL classification:

    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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