Robust Repeat Sales Indexes

Steven Bourassa, Eva Cantoni and Martin Hoesli
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Eva Cantoni: University of Geneva

No 11-46, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Using single-family sales data for Louisville, Kentucky, we show the benefits of applying robust methods to down-weight problematic transactions in a repeat sales context. Robust estimators reduce the influence of outliers in repeat sales price changes that are due to data entry errors, quality changes, or non-market transactions. In addition to comparing conventional and robust indexes, we also use simulated data, where the correct index is known, to show that robust methods control for the impacts of contaminated data. Finally, we demonstrate that robust methods reduce the magnitude and volatility of index revisions.

Keywords: repeat sales indexes; robust methods; flips; distressed sales; index revision (search for similar items in EconPapers)
JEL-codes: R31 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2011-10
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Journal Article: Robust Repeat Sales Indexes (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1146

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