Retransformation bias in the adjacent art price index

Andrew Jones and Roberto Zanola

No AWP-01-2011, ACEI Working Paper Series from Association for Cultural Economics International

Abstract: The literature on hedonic price indices, such as the adjacent art price index, often uses a logarithmic transformation of the price data to deal with the non-normality. However, this creates the problem of retransforming the predictions back to an economically meaningful scale. This paper investigates the impact of dealing with the retransformation problem for estimates of art market returns. The empirical results show how failure to allow for retransformation may result in a biased price index

Keywords: Retransformation; heteroskedasticity; Picasso; hedonic prices (search for similar items in EconPapers)
JEL-codes: Z10 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2011-07, Revised 2011-07
New Economics Papers: this item is included in nep-cul
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Citations: View citations in EconPapers (9)

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