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

Arthur Grimes and Chris Young

No 292612, Motu 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: Consumer/Household; Economics (search for similar items in EconPapers)
Pages: 27
Date: 2010-09
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Persistent link: https://EconPapers.repec.org/RePEc:ags:motuwp:292612

DOI: 10.22004/ag.econ.292612

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