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The Dynamics of Art Prices: The Selection Corrected Repeat-Sales Index

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  • Zanola, Roberto

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Abstract

The repeat-sales model controls quality by utilizing the transacted prices of the same items in di.erent time periods. However, this methodology suffers from non-randomness of the data, implying that a sample based only on repeat-sales items may not represent the population of properties. To address this potential problem, the Heckman two-stage procedure has been applied to a sample of Picasso prints over the period 1988-1995 as registered in the 1995 edition of the Mayer International Auction Records on CD-ROM. Empirical evidence shows that the selection corrected repeat-sales model yields substantially better goodness of fit than the estimated standard repeat-sales specification.

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File URL: http://polis.unipmn.it/pubbl/RePEc/uca/ucapdv/zanola85.pdf
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Bibliographic Info

Paper provided by Institute of Public Policy and Public Choice - POLIS in its series POLIS Working Papers with number 76.

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Length: 28 pages
Date of creation: Jan 2007
Date of revision:
Handle: RePEc:uca:ucapdv:76

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Web page: http://polis.unipmn.it

Related research

Keywords: sample selection; Picasso; repeat sales; prints; price index;

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  1. Locatelli-Biey, Marilena & Zanola, Roberto, 2003. "The market for Picasso prints: an hybrid model approach," POLIS Working Papers 34, Institute of Public Policy and Public Choice - POLIS.
  2. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  3. Munneke, Henry J & Slade, Barrett A, 2000. "An Empirical Study of Sample-Selection Bias in Indices of Commercial Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 21(1), pages 45-64, July.
  4. R. Carter Hill & J. R. Knight & C. F. Sirmans, 1997. "Estimating Capital Asset Price Indexes," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 226-233, May.
  5. Orley Ashenfelter & Kathryn Graddy, 2003. "Auctions and the Price of Art," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 763-787, September.
  6. Donald R. Haurin & Patric H. Hendershott, 1991. "House Price Indexes: Issues and Results," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 259-269.
  7. Hwang, Min & Quigley, John M., 2003. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," Berkeley Program on Housing and Urban Policy, Working Paper Series qt4045q0v3, Berkeley Program on Housing and Urban Policy.
  8. Case, Bradford & Quigley, John M, 1991. "The Dynamics of Real Estate Prices," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 50-58, February.
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