Template-Type: ReDIF-Paper 1.0
Author-Name: Arthur Grimes
Author-X-Name-First: Arthur	
Author-X-Name-Last: Grimes
Author-Email: arthur.grimes@motu.org.nz
Author-Workplace-Name: Motu Economic and Public Policy Research; and University of Waikato
Author-Name:  Chris Young
Author-X-Name-First: Chris
Author-X-Name-Last: Young
Author-Email: chris.young@motu.org.nz
Author-Workplace-Name: Motu Economic and Public Policy Research
Title: A Simple Repeat Sales House Price Index: Comparative Properties Under Alternative Data Generation Processes.
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.
Length: 27 pages
Creation-Date:  2010-09
File-URL: https://motu-www.motu.org.nz/wpapers/10_10.pdf
Number: 10_10
Classification-JEL: C43, R32
Keywords: Repeat-Sales, House Price Index, Case Shiller, Unbalanced Panel
Handle: RePEc:mtu:wpaper:10_10