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A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes

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  • Arthur Grimes

    ()
    (Motu Economic and Public Policy Research; and University of Waikato)

  • Chris Young

    ()
    (Motu Economic and Public Policy Research)

Abstract

We propose a new method to estimate a repeat-sales house price index. Our unbalanced panel method employs an OLS panel regression to estimate the (log) house price as a function of time fixed effects and house-specific fixed effects. Comparisons are made across three repeat-sales methods using actual data, and using simulated data with both stationary and non-stationary relative price innovations. The unbalanced panel method comprehensively utilises all sale information on a house rather than splitting sales into distinct pairs. It is the simplest of the methods to implement, and possesses superior properties to the other two methods under a wide range of data generation processes.

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Bibliographic Info

Paper provided by Motu Economic and Public Policy Research in its series Working Papers with number 10_10.

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Length: 27 pages
Date of creation: Sep 2010
Date of revision:
Handle: RePEc:mtu:wpaper:10_10

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Keywords: Repeat-Sales; House Price Index; Case Shiller; Unbalanced Panel;

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  1. Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006. "A simple alternative house price index method," Journal of Housing Economics, Elsevier, vol. 15(1), pages 80-97, March.
  2. Arthur Grimes & Chris Young, 2010. "Anticipatory Effects of Rail Upgrades: Auckland’s Western Line," Working Papers 10_11, Motu Economic and Public Policy Research.
  3. Daniel P. McMillen & John McDonald, 2004. "Reaction of House Prices to a New Rapid Transit Line: Chicago's Midway Line, 1983-1999," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(3), pages 463-486, 09.
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