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Title

High Frequency House Price Indexes with Scarce Data

Authors
Bourassa, Steven
Publication SFI, 2016
Collection Swiss Finance Institute Research Paper; 16-27
Abstract We show how a method that has been applied to commercial real estate markets can be used to produce high frequency house price indexes for a city and for submarkets within a city. Our application of this method involves estimating a set of annual robust repeat sales regressions staggered by start date and then undertaking an annual-to-monthly (ATM) transformation with a generalized inverse estimator. Using transactions data for Louisville, Kentucky, we show that the method substantially reduces the volatility of high frequency indexes at the city and submarket levels. We demonstrate that both volatility and the benefits from using the ATM method are related to sample size.
Keywords House PricesHigh-Frequency Price IndexesRepeat Sales MethodScarce Data
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Research group Geneva Finance Research Institute (GFRI)
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HOESLI, Martin E., BOURASSA, Steven. High Frequency House Price Indexes with Scarce Data. 2016 https://archive-ouverte.unige.ch/unige:84700

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Deposited on : 2016-06-21

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