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A Comparison of Estimators of Capital Asset Indexes

Rambaldi, Alicia N., Hill, R. Carter and Knight, John (2003). A Comparison of Estimators of Capital Asset Indexes. In: Australasian Meeting of the Econometric Society, 2003, University of New South Wales, Sydney, (). 9-11 July, 2003.

 
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Author(s) Rambaldi, Alicia N.
Hill, R. Carter
Knight, John
Title of paper A Comparison of Estimators of Capital Asset Indexes
Conference name Australasian Meeting of the Econometric Society, 2003
Conference location University of New South Wales, Sydney
Conference dates 9-11 July, 2003
Publication date 2003
Abstract/Summary The two basic models used for constructing price indexes for durable assets (such us real estate assets) have been the hedonic and repeated sales models. Case and Quigley (1991)-CQ proposed a generalized least squares (GLS) procedure to estimate a combined (single and repeated sales information) model (CSRS). Hill, Knight and Sirmans (1997)-HKS proposed a maximum likelihood procedure to estimate the CSRS accounting for the autocorrelated error process in the hedonic model. Rambaldi, Hill and Doran (2003)-RHD proposed a methodology based on interpolating incomplete observations. The sale price of a particular asset, a house for instance, can be viewed as an incomplete time series since the price is observed only when a sale occurs. The method proposed by RHD can estimate a CSRS model with autocorrelated errors using a maximum likelihood estimator. It improves on HKS in that it also produces time-space consistent interpolations (model's prediction of repeated sales always equal the actual observations) and explicitly estimates a cross-sectional correlation parameter. The present paper compares RHD to traditional estimators as well as the HKS estimator through a simulation experiment.
Subjects 340402 Econometric and Statistical Methods
Keyword(s) price indexes' estimators
incomplete panels
Monte Carlo simulation
 
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Created: Fri, 13 Aug 2004, 10:00:00 EST by Alicia N. Rambaldi on behalf of School of Economics. Detailed History