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 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 Year 2003
Sub-type Fully published paper
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 price indexes' estimators
incomplete panels
Monte Carlo simulation
References Bailey, M.J., R.F. Muth and H. O. Nourse (1961), 'A Regression Method for Real Estate Price Index Construction,' Journal of the American Statistical Association, Vol. 58, No. 304. pp. 933-942. Case, B and J. M. Quigley (1991), "The Dynamics of Real Estate Prices," The Review of Economics and Statistics, 73, 50-58. De Jong, P. (1988), 'The likelihood for a state space model'. Biometrica, 75:165-9. De Jong, P. (1989), 'The diffuse Kalman filter' Unpublished paper, University of British Columbia. Harvey, A. C. (1990), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge Univ. Press. Cambridge. Hill, R. C., J. R. Knight, and C. F. Sirmans (1997), "Estimating Capital Asset Price Indexes," The Review of Economics and Statistics, 79, 226-233 Koopman, J S (1997) 'Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models', Journal of the American Statistical Association, 92:1630-1638. Rambaldi, A.N, R.C. Hill, H.E.Doran, (2003) 'Predicting Incomplete Observations in Unbalanced Panels. A Kalman Filtering-Smoothing Approach', Chapter 11 in Recent Advances in Economics and Econometrics: Theory and Applications, S. Hurn et al. (eds). Eduard Elgar. Forthcoming. Rosen, S. (1974) 'Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition' The Journal of Political Economy, Vol. 82, No. 1, pp. 34-55.
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status Unknown

 
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Created: Fri, 13 Aug 2004, 10:00:00 EST by Alicia N. Rambaldi on behalf of School of Economics