Retransformation bias in the adjacent art price index
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
|Date of creation:||Jul 2011|
|Date of revision:||Jul 2011|
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- 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.
- Victor Ginsburgh & David Throsby, 2006.
"Handbook of the Eonomics of Art and Culture,"
ULB Institutional Repository
2013/152412, ULB -- Universite Libre de Bruxelles.
- Victor Ginsburgh & David Throsby, 2006. "Handbook of the economics of art and culture," ULB Institutional Repository 2013/1673, ULB -- Universite Libre de Bruxelles.
- 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)