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A Bayesian Approach to the Construction and Comparison of Alternative House Price Indices

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  • Kuo, Chiong-Long

Abstract

Several repeat-sales models have been advanced over the years for estimating real estate price indices. This article proposes a general model which incorporates earlier works as special cases and compares the alternative repeat-sales models using posterior odds ratios as criteria. While the existing literature estimates the real estate indices from the sampling point of view, in this article indices are constructed and then compared using a Bayesian approach. In general, the two-error term models outperform the one-error models. The model with a nontemporal component proposed by Goetzmann and Spiegel is found to be superior in three out of four cities. There is a significant discrepancy among the returns and indices obtained from different models. Copyright 1997 by Kluwer Academic Publishers

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  • Kuo, Chiong-Long, 1997. "A Bayesian Approach to the Construction and Comparison of Alternative House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 113-132, Jan.-Marc.
    • Handle: RePEc:kap:jrefec:v:14:y:1997:i:1-2:p:113-32
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    Cited by:

    1. Anthony C Constantinou & Norman Fenton, 2017. "The future of the London Buy-To-Let property market: Simulation with temporal Bayesian Networks," PLOS ONE, Public Library of Science, vol. 12(6), pages 1-30, June.
    2. 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.
    3. Zhou, Wei-Xing & Sornette, Didier, 2008. "Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 243-260.
    4. Steffen Sebastian & R. Maurer & Martin Pitzer, 2001. "Construction of a transaction based price index for the Paris housing market," ERES eres2001_276, European Real Estate Society (ERES).
    5. Marc Francke & Alex Van De Minne, 2022. "Daily appraisal of commercial real estate a new mixed frequency approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(5), pages 1257-1281, September.
    6. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.

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