IDEAS home Printed from https://ideas.repec.org/p/grz/wpaper/2020-14.html
   My bibliography  Save this paper

Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with the Covid-19 Shutdown

Author

Listed:
  • Robert J. Hill

    (University of Graz, Austria)

  • Michael Scholz

    (University of Graz, Austria)

  • Chihiro

    (University of Tokyo, Japan)

  • Miriam Steurer

    (University of Graz, Austria)

Abstract

The rolling-time-dummy (RTD) method is used by a number of countries to compute their official house price indexes (HPIs), since it requires less data and is more flexible than other hedonic methods. These features also make it well suited for computing higher frequency HPIs (e.g., monthly or weekly). In this paper we address three key issues relating to the RTD hedonic method. First, we develop a method for determining the optimal length of the rolling window. Second, we consider variants on the standard way of linking the current period with earlier periods, and show how the optimal linking method can be determined. Third, we propose three ways of modifying the RTD method to make it robust to the distorting effects of the covid-19 shutdown. These modifications could prove useful for countries using the RTD method in their official HPIs.

Suggested Citation

  • Robert J. Hill & Michael Scholz & Chihiro & Miriam Steurer, 2020. "Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with the Covid-19 Shutdown," Graz Economics Papers 2020-14, University of Graz, Department of Economics.
  • Handle: RePEc:grz:wpaper:2020-14
    as

    Download full text from publisher

    File URL: http://www100.uni-graz.at/vwlwww/forschung/RePEc/wpaper/2020-14.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. W. Erwin Diewert & Saeed Heravi & Mick Silver, 2009. "Response to Jan de Haan's comment on "Hedonic Imputation versus Time Dummy Hedonic Indexes," NBER Chapters, in: Price Index Concepts and Measurement, pages 201-202, National Bureau of Economic Research, Inc.
    2. W. Erwin Diewert & Saeed Heravi & Mick Silver, 2009. "Hedonic Imputation versus Time Dummy Hedonic Indexes," NBER Chapters, in: Price Index Concepts and Measurement, pages 161-196, National Bureau of Economic Research, Inc.
    3. W. Erwin Diewert & John S. Greenlees & Charles R. Hulten, 2009. "Price Index Concepts and Measurement," NBER Books, National Bureau of Economic Research, Inc, number diew08-1, July.
    4. Diewert, W. Erwin & Fox, Kevin J., 2017. "Substitution Bias in Multilateral Methods for CPI Construction using Scanner Data," Microeconomics.ca working papers erwin_diewert-2017-3, Vancouver School of Economics, revised 23 Mar 2017.
    5. D. S.P. Rao (ed.), 2009. "Purchasing Power Parities of Currencies," Books, Edward Elgar Publishing, number 3725, December.
    6. Diewert, Erwin, 2011. "Alternative Approaches to Measuring House Price Inflation," Economics working papers erwin_diewert-2011-1, Vancouver School of Economics, revised 07 Jan 2011.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sayag, Doron & Ben-hur, Dano & Pfeffermann, Danny, 2022. "Reducing revisions in hedonic house price indices by the use of nowcasts," International Journal of Forecasting, Elsevier, vol. 38(1), pages 253-266.
    2. Manner, Hans & Rodríguez, Gabriel & Stöckler, Florian, 2024. "A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1385-1403.
    3. Daniel Reiter, 2020. "Socioeconomic Integration through Language: Evidence from the European Union," Graz Economics Papers 2020-15, University of Graz, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Füss, Roland & Koller, Jan A., 2016. "The role of spatial and temporal structure for residential rent predictions," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1352-1368.
    2. Robert J. Hill & Michael Scholz & Chihiro Shimizu & Miriam Steurer, 2018. "An evaluation of the methods used by European countries to compute their official house price Indices," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 500-501-5, pages 221-238.
    3. Diewert, Erwin, 2019. "Quality Adjustment and Hedonics: A Unified Approach," Microeconomics.ca working papers erwin_diewert-2019-2, Vancouver School of Economics, revised 14 Mar 2019.
    4. Robert Leszczynski & Krzysztof Olszewski, 2015. "Commercial property price index for Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 46(6), pages 565-578.
    5. Esmeralda A. Ramalho & Joaquim J.S. Ramalho, 2014. "Convenient links for the estimation of hedonic price indexes: the case of unique, infrequently traded assets," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(2), pages 91-117, May.
    6. Hussein, Mohamud & Fraser, Iain & Costanigro, Marco, 2016. "Hedonic Analysis of Origin of Meat In The United Kingdom," 90th Annual Conference, April 4-6, 2016, Warwick University, Coventry, UK 236353, Agricultural Economics Society.
    7. Jan de Haan & Rens Hendriks & Michael Scholz, 2021. "Price Measurement Using Scanner Data: Time‐Product Dummy Versus Time Dummy Hedonic Indexes," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 67(2), pages 394-417, June.
    8. Diewert, W. Erwin & Fox, Kevin J., 2016. "Kevin J. Fox Interview of W. Erwin Diewert," Microeconomics.ca working papers erwin_diewert-2016-6, Vancouver School of Economics, revised 02 Jun 2016.
    9. Lippe Peter von der & Diewert W. Erwin, 2010. "Introduction to the Special Issue on Index Number Theory and Price Statistics," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(6), pages 660-672, December.
    10. Silver Mick, 2022. "Econometric Issues in Hedonic Property Price Indices: Some Practical Help," Journal of Official Statistics, Sciendo, vol. 38(1), pages 153-186, March.
    11. W. Diewert, 2011. "Measuring productivity in the public sector: some conceptual problems," Journal of Productivity Analysis, Springer, vol. 36(2), pages 177-191, October.
    12. Hans Wolfgang Brachinger & Michael Beer & Olivier Schöni, 2018. "A formal framework for hedonic elementary price indices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(1), pages 67-93, January.
    13. Robert J. Hill & Iqbal A. Syed, 2012. "Accounting for Unrepresentative Products and Urban-Rural Price Differences in International Comparisons of Real Income: An Application to the Asia-Pacific Region," Graz Economics Papers 2012-07, University of Graz, Department of Economics.
    14. W. Erwin Diewert & Kevin J. Fox, 2020. "Measuring Real Consumption and CPI Bias under Lockdown Conditions," NBER Working Papers 27144, National Bureau of Economic Research, Inc.
    15. W. Erwin Diewert, 2022. "Scanner Data, Elementary Price Indexes and the Chain Drift Problem," Springer Books, in: Duangkamon Chotikapanich & Alicia N. Rambaldi & Nicholas Rohde (ed.), Advances in Economic Measurement, chapter 0, pages 445-606, Springer.
    16. Adam Gorajek, 2018. "Econometric Perspectives on Economic Measurement," RBA Research Discussion Papers rdp2018-08, Reserve Bank of Australia.
    17. W. Erwin Diewert, 2009. "Durables and Owner-Occupied Housing in a Consumer Price Index," NBER Chapters, in: Price Index Concepts and Measurement, pages 445-500, National Bureau of Economic Research, Inc.
    18. Diewert, Erwin & Marandola, Tina, 2018. "Scanner Data, Elementary Price Indexes and the Chain Drift Problem," Microeconomics.ca working papers tina_marandola-2018-9, Vancouver School of Economics, revised 10 Oct 2018.
    19. Mick Silver, 2016. "How to Better Measure Hedonic Residential Property Price Indexes," IMF Working Papers 2016/213, International Monetary Fund.
    20. Iqbal A. Syed & Jan De Haan, 2017. "Age, Time, Vintage, And Price Indexes: Measuring The Depreciation Pattern Of Houses," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 580-600, January.

    More about this item

    Keywords

    House price index; Hedonic quality adjustment; Optimal window length; Optimal chain linking; Higher frequency indexes; Covid-19 shutdown.;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:grz:wpaper:2020-14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Michael Scholz (email available below). General contact details of provider: https://edirc.repec.org/data/vgrazat.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.