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, 2010.
"Anticipatory Effects of Rail Upgrades: Auckland’s Western Line,"
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- Steven C. Bourassa & Martin Hoesli & Jian Sun, 2004. "A Simple Alternative House Price Index Method," FAME Research Paper Series rp119, International Center for Financial Asset Management and Engineering.
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