A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes
AbstractWe 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 InfoPaper provided by Motu Economic and Public Policy Research in its series Working Papers with number 10_10.
Length: 27 pages
Date of creation: Sep 2010
Date of revision:
Repeat-Sales; House Price Index; Case Shiller; Unbalanced Panel;
Find related papers by JEL classification:
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Production Analysis, and Firm Location - - - Other Production and Pricing Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-09 (All new papers)
- NEP-ECM-2010-10-09 (Econometrics)
- NEP-URE-2010-10-09 (Urban & Real Estate Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Arthur Grimes & Chris Young, 2010.
"Anticipatory Effects of Rail Upgrades: Auckland’s Western Line,"
10_11, Motu Economic and Public Policy Research.
- Arthur Grimes & Chris Young, 2011. "Anticipatory Effects of Rail Upgrades: Auckland's Western Line," ERSA conference papers ersa10p123, European Regional Science Association.
- 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.
- 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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