Hedonic price index estimation under mean-independence of time dummies from quality characteristics

Yasushi Kondo and Myoung-jae Lee

Econometrics Journal, 2003, vol. 6, issue 1, 28-45

Abstract: . In addition to these, several interesting practical lessons are noted in doing the two-stage PLR model estimation. First, the cross validation (CV) used in the PLR model literature can fail if the mean-independence is ignored. Second, high order kernels can make the CV criterion function ill behaved. Third, product kernels work as well as spherically symmetric kernels. Fourth, nonparametric specification tests may work poorly due to a sample splitting problem with outliers in the data or due to choosing more than one bandwidth; in this regard, a test suggested by Stute (1997) and Stute et al. (1998) is recommended. Copyright Royal Economic Society, 2003

Date: 2003
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