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A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes

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  • Grimes, Arthur
  • Young, Chris

Abstract

We 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.

Suggested Citation

  • Grimes, Arthur & Young, Chris, 2010. "A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes," Motu Working Papers 292612, Motu Economic and Public Policy Research.
    • Handle: RePEc:ags:motuwp:292612
    DOI: 10.22004/ag.econ.292612
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    Cited by:

    1. is not listed on IDEAS
    2. Ryan Greenaway‐McGrevy & Arthur Grimes & Mark Holmes, 2019. "Two countries, sixteen cities, five thousand kilometres: How many housing markets?," Papers in Regional Science, Wiley Blackwell, vol. 98(1), pages 353-370, February.
    3. Timar, Levente & Grimes, Arthur & Fabling, Richard, 2014. "That Sinking Feeling: The Changing Price of Disaster Risk Following an Earthquake," Motu Working Papers 290601, Motu Economic and Public Policy Research.
    4. Grimes, Arthur & Young, Chris, 2013. "Spatial effects of urban rail upgrades," Journal of Transport Geography, Elsevier, vol. 30(C), pages 1-6.
    5. Grimes, Arthur & Young, Chris, 2010. "Anticipatory Effects of Rail Upgrades: Auckland’s Western Line," Motu Working Papers 292608, Motu Economic and Public Policy Research.
    6. Jed Armstrong & Ashley Dunstan & Tobias Irrcher, 2017. "Evaluating alternative monthly house price measures for New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2017/02, Reserve Bank of New Zealand.

    More about this item

    Keywords

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    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, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis

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