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Repeat Sales Regression on Heterogeneous Properties

Listed author(s):
  • Liang Peng

    ()

This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of properties that only have small numbers of value observations. Monte Carlo simulations provide strong evidence that the GRSR indices more accurately measure the index for the entire market as well as individual property value appreciation than conventional RSR indices. This paper also proposes a Chi-square test to detect the heterogeneity in property value appreciation across submarkets/portfolios, and use simulations to show that the test is powerful in small samples. This paper finally illustrates the application of the GRSR using a historical dataset of the Chicago housing market from 1970 to 1986. Copyright Springer Science+Business Media, LLC 2012

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File URL: http://hdl.handle.net/10.1007/s11146-010-9286-8
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Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 45 (2012)
Issue (Month): 3 (October)
Pages: 804-827

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Handle: RePEc:kap:jrefec:v:45:y:2012:i:3:p:804-827
DOI: 10.1007/s11146-010-9286-8
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/regional+science/journal/11146/PS2

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  1. Liang Peng, 2002. "GMM Repeat Sales Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 239-261.
  2. John M. Clapp & Carmelo Giaccotto, 1999. "Revisions in Repeat-Sales Price Indexes: Here Today, Gone Tomorrow?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(1), pages 79-104.
  3. Goetzmann, William N & Spiegel, Matthew, 1997. "A Spatial Model of Housing Returns and Neighborhood Substitutability," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 11-31, Jan.-Marc.
  4. Gatzlaff, Dean H. & Haurin, Donald R., 1998. "Sample Selection and Biases in Local House Value Indices," Journal of Urban Economics, Elsevier, vol. 43(2), pages 199-222, March.
  5. Jeffrey Fisher & Dean Gatzlaff & David Geltner & Donald Haurin, 2003. "Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(2), pages 269-303, June.
  6. Jim Clayton & Norman Miller & Liang Peng, 2010. "Price-volume Correlation in the Housing Market: Causality and Co-movements," The Journal of Real Estate Finance and Economics, Springer, vol. 40(1), pages 14-40, January.
  7. Robert J. Shiller, 1991. "Arithmetic Repeat Sales Price Estimators," Cowles Foundation Discussion Papers 971, Cowles Foundation for Research in Economics, Yale University.
  8. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
  9. repec:arz:wpaper:eres1998-128 is not listed on IDEAS
  10. William N. Goetzmann & Liang Peng, 2002. "The Bias of the RSR Estimator and the Accuracy of Some Alternatives," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(1), pages 13-39.
  11. David Geltner, 1993. "Temporal Aggregation in Real Estate Return Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 141-166.
  12. 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.
  13. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-137, March.
  14. Basu, Sabyasachi & Thibodeau, Thomas G, 1998. "Analysis of Spatial Autocorrelation in House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 61-85, July.
  15. Knight J. R. & Hill R. Carter & Sirmans C. F., 1993. "Estimation of Hedonic Housing Price Models Using Nonsample Information: A Monte Carlo Study," Journal of Urban Economics, Elsevier, vol. 34(3), pages 319-346, November.
  16. Clapp, John M, 2003. "A Semiparametric Method for Valuing Residential Locations: Application to Automated Valuation," The Journal of Real Estate Finance and Economics, Springer, vol. 27(3), pages 303-320, November.
  17. Dag Sommervoll, 2006. "Temporal Aggregation in Repeated Sales Models," The Journal of Real Estate Finance and Economics, Springer, vol. 33(2), pages 151-165, September.
  18. Banerjee S. & Gelfand A.E. & Knight J.R. & Sirmans C.F., 2004. "Spatial Modeling of House Prices Using Normalized Distance-Weighted Sums," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 206-213, April.
  19. William Goetzmann & Liang Peng, 2006. "Estimating House Price Indexes in the Presence of Seller Reservation Prices," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 100-112, February.
  20. Goetzmann, William Nelson, 1992. "The Accuracy of Real Estate Indices: Repeat Sale Estimators," The Journal of Real Estate Finance and Economics, Springer, vol. 5(1), pages 5-53, March.
  21. Bradford Case & John Clapp & Robin Dubin & Mauricio Rodriguez, 2004. "Modeling Spatial and Temporal House Price Patterns: A Comparison of Four Models," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 167-191, September.
  22. Rosen, Sherwin, 1974. "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition," Journal of Political Economy, University of Chicago Press, vol. 82(1), pages 34-55, Jan.-Feb..
  23. Goodman, Allen C. & Thibodeau, Thomas G., 1998. "Housing Market Segmentation," Journal of Housing Economics, Elsevier, vol. 7(2), pages 121-143, June.
  24. 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.
  25. Hausman, Jerry A. & Taylor, William E., 1981. "A generalized specification test," Economics Letters, Elsevier, vol. 8(3), pages 239-245.
  26. Dombrow, Jonathan & Knight, J R & Sirmans, C F, 1997. "Aggregation Bias in Repeat-Sales Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 75-88, Jan.-Marc.
  27. John M. Clapp, 2004. "A Semiparametric Method for Estimating Local House Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(1), pages 127-160, March.
  28. Alan E. Gelfand & Mark D. Ecker & John R. Knight & C. F. Sirmans, 2004. "The Dynamics of Location in Home Price," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 149-166, September.
  29. Gatzlaff, Dean H & Haurin, Donald R, 1997. "Sample Selection Bias and Repeat-Sales Index Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 33-50, Jan.-Marc.
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