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

Arthur Grimes and Chris Young ()
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Chris Young: Motu Economic and Public Policy Research

No 10_10, Working Papers from 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.

Keywords: Repeat-Sales; House Price Index; Case Shiller; Unbalanced Panel (search for similar items in EconPapers)
JEL-codes: C43 R32 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2010-09
New Economics Papers: this item is included in nep-ecm and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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