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Retransformation bias in the adjacent art price index

Author

Listed:
  • Andrew M. Jones

    (Department of Economics and Related Studies, University of York, UK)

  • Roberto Zanola

    () (Department of Public Policy and Public Choice, University of Eastern Piedmont, Italy)

Abstract

The literature on hedonic price indices, such as the adjacent art price index, often uses a logarithmic transformation of the price data to deal with the non-normality. However, this creates the problem of retransforming the predictions back to an economically meaningful scale. This paper investigates the impact of dealing with the retransformation problem for estimates of art market returns. The empirical results show how failure to allow for retransformation may result in a biased price index

Suggested Citation

  • Andrew M. Jones & Roberto Zanola, 2011. "Retransformation bias in the adjacent art price index," ACEI Working Paper Series AWP-01-2011, Association for Cultural Economics International, revised Jul 2011.
  • Handle: RePEc:cue:wpaper:awp-01-2011
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    File URL: http://www.culturaleconomics.org/awp/AWP-01-2011.pdf
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    References listed on IDEAS

    as
    1. Manning, Willard G., 1998. "The logged dependent variable, heteroscedasticity, and the retransformation problem," Journal of Health Economics, Elsevier, vol. 17(3), pages 283-295, June.
    2. Victor Ginsburgh & David Throsby, 2006. "Handbook of the Eonomics of Art and Culture," ULB Institutional Repository 2013/152412, ULB -- Universite Libre de Bruxelles.
    3. Corinna Czujack, 1997. "Picasso Paintings at Auction, 1963–1994," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 21(3), pages 229-247, September.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012. "Econometric analysis of volatile art markets," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
    2. Fabian Y.R.P. Bocart & Christian M. Hafner, 2012. "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers SFB649DP2012-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Dominik Filipiak & Agata Filipowska, 2016. "Towards data oriented analysis of the art market: survey and outlook," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 12(1), pages 21-31, June.
    4. repec:eee:finlet:v:21:y:2017:i:c:p:186-189 is not listed on IDEAS

    More about this item

    Keywords

    Retransformation; heteroskedasticity; Picasso; hedonic prices;

    JEL classification:

    • Z10 - Other Special Topics - - Cultural Economics - - - General

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