A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes
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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- Arthur Grimes & Chris Young, 2011.
"Anticipatory Effects of Rail Upgrades: Auckland's Western Line,"
ERSA conference papers
ersa10p123, European Regional Science Association.
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"A Simple Alternative House Price Index Method,"
FAME Research Paper Series
rp119, International Center for Financial Asset Management and Engineering.
- Daniel P. McMillen & John McDonald, 2004. "Reaction of House Prices to a New Rapid Transit Line: Chicago's Midway Line, 1983-1999," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(3), pages 463-486, 09.
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