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A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes

Author

Listed:
  • Arthur Grimes

    () (Motu Economic and Public Policy Research; and University of Waikato)

  • Chris Young

    () (Motu Economic and Public Policy Research)

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.

Suggested Citation

  • Arthur Grimes & Chris Young, 2010. "A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes," Working Papers 10_10, Motu Economic and Public Policy Research.
  • Handle: RePEc:mtu:wpaper:10_10
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    File URL: http://motu-www.motu.org.nz/wpapers/10_10.pdf
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    References listed on IDEAS

    as
    1. Arthur Grimes & Chris Young, 2010. "Anticipatory Effects of Rail Upgrades: Auckland’s Western Line," Working Papers 10_11, Motu Economic and Public Policy Research.
    2. Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006. "A simple alternative house price index method," Journal of Housing Economics, Elsevier, vol. 15(1), pages 80-97, March.
    3. 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, September.
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    Cited by:

    1. Levente Timar & Arthur Grimes & Richard Fabling, 2014. "That Sinking Feeling: The Changing Price of Disaster Risk Following an Earthquake," Working Papers 14_13, Motu Economic and Public Policy Research.
    2. Ryan Greenaway-McGrevy & Arthur Grimes & Mark Holmes, 2016. "Two countries, sixteen cities, five thousand kilometres: How many housing markets?," ERSA conference papers ersa16p49, European Regional Science Association.
    3. Jed Armstrong & Ashley Dunstan & Tobias Irrcher, 2017. "Evaluating alternative monthly house price measures for New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2017/02, Reserve Bank of New Zealand.

    More about this item

    Keywords

    Repeat-Sales; House Price Index; Case Shiller; Unbalanced Panel;

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis

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