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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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| Name |
Description |
MIMEType |
Size |
Downloads |
ESAM03_rhk.pdf
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ESAM03_rhk.pdf |
application/pdf |
150.67KB |
217 |
| Author(s) |
Rambaldi, Alicia N.
Hill, R. Carter
Knight, John
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| Title of paper |
A Comparison of Estimators of Capital Asset Indexes
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| Conference name |
Australasian Meeting of the Econometric Society, 2003
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| Conference location |
University of New South Wales, Sydney
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| Conference dates |
9-11 July, 2003
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| Publication date |
2003
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| 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.
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| Subjects |
340402 Econometric and Statistical Methods
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| Keyword(s) |
price indexes' estimators
incomplete panels
Monte Carlo simulation
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