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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.

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  • 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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