IDEAS home Printed from https://ideas.repec.org/a/bla/revinw/v60y2014is2ps423-s448.html
   My bibliography  Save this article

Hedonic Imputed Property Price Indexes: The Effects of Econometric Modeling Choices

Author

Listed:
  • Alicia N. Rambaldi
  • Cameron S. Fletcher

Abstract

In this paper we consider how choices in the econometric approach to impute prices affect the Törnqvist and Jevons hedonic imputed indexes. We compare the rolling window approach to estimation by smoothing methods. The main difference between the rolling window and the smoothing methods is in the way information is weighted. We propose that the Kalman filter smoother is the most appropriate estimator for the task as it optimally weights current and past information. We show the rolling window approach does not produce estimates that are attenuated over time leading to chain drift in the index. We also compare two alternative specifications to model property location. The empirical section uses data from a small and homogeneous market in the state of Queensland, Australia. The Törnqvist and Jevons indexes differ in value during periods of market volatility. This seems expected given their different weighting of transactions and the likelihood that price movements of properties at the upper and lower end of the price distribution might differ during periods of market volatility.

Suggested Citation

  • Alicia N. Rambaldi & Cameron S. Fletcher, 2014. "Hedonic Imputed Property Price Indexes: The Effects of Econometric Modeling Choices," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(S2), pages 423-448, November.
    • Handle: RePEc:bla:revinw:v:60:y:2014:i:s2:p:s423-s448
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/roiw.12143
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Silver, Mick & Heravi, Saeed, 2007. "The Difference Between Hedonic Imputation Indexes and Time Dummy Hedonic Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 239-246, April.
    2. Pace, R. Kelley & Barry, Ronald & Gilley, Otis W. & Sirmans, C. F., 2000. "A method for spatial-temporal forecasting with an application to real estate prices," International Journal of Forecasting, Elsevier, vol. 16(2), pages 229-246.
    3. Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
    4. Robert J. Hill & Daniel Melser, 2008. "Hedonic Imputation And The Price Index Problem: An Application To Housing," Economic Inquiry, Western Economic Association International, vol. 46(4), pages 593-609, October.
    5. Francke, M K & de Vos, A F, 2000. "Efficient Computation of Hierarchical Trends," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 51-57, January.
    6. 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.
    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.
    8. Eurostat, 2013. "Handbook on Residential Property Prices Indices," World Bank Publications, The World Bank, number 17280.
    9. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    10. J. R. Knight & Jonathan Dombrow & C. F. Sirmans, 1995. "A Varying Parameters Approach to Constructing House Price Indexes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(2), pages 187-205, June.
    11. Marc K. Francke & Gerjan A. Vos, 2004. "The Hierarchical Trend Model for Property Valuation and Local Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 28(2_3), pages 179-208, March.
    12. Quan, Daniel C & Quigley, John M, 1991. "Price Formation and the Appraisal Function in Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 4(2), pages 127-146, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Melser, Daniel, 2017. "Disaggregated property price appreciation: The mixed repeat sales model," Regional Science and Urban Economics, Elsevier, vol. 66(C), pages 108-118.
    2. Iqbal A. Syed & Jan De Haan, 2017. "Age, Time, Vintage, And Price Indexes: Measuring The Depreciation Pattern Of Houses," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 580-600, January.
    3. Mick Silver, 2016. "How to Better Measure Hedonic Residential Property Price Indexes," IMF Working Papers 16/213, International Monetary Fund.
    4. Marshall Reinsdorf & Robert Hill, 2014. "The 32nd IARIW General Conference, Boston, Massachusetts, 2012: Editors’ Introduction," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 60(S2), pages 277-280, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:revinw:v:60:y:2014:i:s2:p:s423-s448. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: http://edirc.repec.org/data/iariwea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.