Asymptotic Properties of Imputed Hedonic Price Indices

Olivier Schöni

SERC Discussion Papers from Centre for Economic Performance, LSE

Abstract: Hedonic price indices are currently considered to be the state-of-the-art approach to computing constant-quality price indices. In particular, hedonic price indices based on imputed prices have become popular both among practitioners and researchers to analyze price changes at an aggregate level. Although widely employed, little research has been conducted to investigate their asymptotic properties and the influence of the econometric model on the parameters estimated by these price indices. The present paper therefore tries to fill the actual knowledge gap by analyzing the asymptotic properties of the most commonly used imputed hedonic price indices in the case of linear and linearizable models. The obtained results are used to gauge the impact of bias adjusted predictions on hedonic imputed indices in the case of log-linear hedonic functions with normal distributed errors.

Keywords: Price indices; hedonic regression; imputation; asymptotic theory (search for similar items in EconPapers)
JEL-codes: C21 C43 C53 C58 (search for similar items in EconPapers)
Date: 2014-10
New Economics Papers: this item is included in nep-ecm and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:cep:sercdp:0166

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