A PCA Factor Repeat Sales Index (1973-2001) To Forecast Apartment Prices in Paris (France)

Michel Baroni (), Fabrice Barthélémy () and Mahdi Mokrane ()
Additional contact information
Mahdi Mokrane: IXIS-AEW Europe, Postal: 12/20 rue Fernand Braudel, 75013 PARIS, FRANCE, http://www.ixisaew.com

No DR 05002, ESSEC Working Papers from ESSEC Research Center, ESSEC Business School

Abstract: In this paper we address the issue of building a repeat sales index, based on factors. This is an extension of a companion paper, Baroni, Barthélémy and Mokrane (2001, BBM) in which we had built a factorial index as a selected linear function of existing economics and financial variables. Here we offer a more general and robust model based on a Principal Components Analysis (PCA). We apply this methodology to the Paris residential market. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential apartments in the Paris area covering the period 1973-2001 period. Our PCA index for the Paris and close surrounding area is estimated and its characteristics and robustness are analysed depending on: estimation period, choice of observations, periodicity and reversibility. We then compare it to the traditional WRS repeat sales index developed by Case & Shiller (1987). Finally we show that contrary to the WRS index, our index can be used to forecast apartment prices.

Keywords: Real estate indices; Repeat sales; Factors; PCA; Index forecasting (search for similar items in EconPapers)
JEL-codes: C20 G00 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2005-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.essec.fr/faculty/showDeclFileRes.do?declId=4630&key=__workpaper__ (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.essec.fr/faculty/showDeclFileRes.do?declId=4630&key=__workpaper__ [301 Moved Permanently]--> https://www.essec.edu/fr/faculty/showDeclFileRes.do?declId=4630&key=__workpaper__)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebg:essewp:dr-05002

Access Statistics for this paper

More papers in ESSEC Working Papers from ESSEC Research Center, ESSEC Business School ESSEC Research Center, BP 105, 95021 Cergy, France. Contact information at EDIRC.
Bibliographic data for series maintained by Sophie Magnanou ().