Asymptotic properties of imputed hedonic price indices

Olivier Schöni

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Hedonic price indices are currently considered to be the state-of-the-art approach to computing constant-quality price indices. In particular, hedonic price indices based on imputed prices have become popular both among practitioners and researchers to analyze price changes at an aggregate level. Although widely employed, little research has been conducted to investigate their asymptotic properties and the influence of the econometric model on the parameters estimated by these price indices. The present paper therefore tries to fill the actual knowledge gap by analyzing the asymptotic properties of the most commonly used imputed hedonic price indices in the case of linear and linearizable models. The obtained results are used to gauge the impact of bias adjusted predictions on hedonic imputed indices in the case of log-linear hedonic functions with normal distributed errors.

Keywords: price indices; hedonic regression; imputation; asymptotic theory (search for similar items in EconPapers)
JEL-codes: C21 C41 C53 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2014-10
New Economics Papers: this item is included in nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://eprints.lse.ac.uk/64500/ Open access version. (application/pdf)

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:ehl:lserod:64500

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().