The effect of alternative estimators of the hedonic model on the revisions of hedonic imputed residential property price indexes

Rambaldi, Alicia. N. and Fletcher, Cameron (2012). The effect of alternative estimators of the hedonic model on the revisions of hedonic imputed residential property price indexes. In: IARIW 32nd General Conference: Final Programme. 32nd General Conference of The International Association for Research in Income and Wealth, Boston, MA, USA, (). 5-11 August 2012.

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Author Rambaldi, Alicia. N.
Fletcher, Cameron
Title of paper The effect of alternative estimators of the hedonic model on the revisions of hedonic imputed residential property price indexes
Conference name 32nd General Conference of The International Association for Research in Income and Wealth
Conference location Boston, MA, USA
Conference dates 5-11 August 2012
Proceedings title IARIW 32nd General Conference: Final Programme
Place of Publication Ottawa, Canada
Publisher The International Association for Research in Income and Wealth
Publication Year 2012
Sub-type Fully published paper
Open Access Status
Total pages 28
Language eng
Formatted Abstract/Summary
The main objective of the paper is to study the effects that choices made in modeling, estimation
and prediction of the transaction price have on the computed hedonic imputed price index. The paper
first presents a general representation of the hedonic model that serves as a general framework to allow
a discussion of alternative estimators and predictors. These lead to a number of alternatives that vary
in the conditioning set used, the estimated time-path of shadow price parameters, and the restrictions
imposed on the variance-covariance of the model (such us the presence and time-invariance of spatial
correlation). It is argued that the theoretically consistent model is one where the parameters vary
over time following a defined stochastic process estimated using the Kalman filter as this combination
results in minimum revisions to the index while incorporating information of transactions in previous
periods. Using data from a town in the state of Queensland, Australia, preliminary results are presented
using two alternative hedonic imputed indexes and two estimators that do not lead to revisions in the
previous values of the indexes as new sales are observed.
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status UQ
Additional Notes Paper Prepared for the 32nd General Conference of The International Association for Research in Income and Wealth. Session 7A: Role of the Housing Market in the Economy

Document type: Conference Paper
Collection: School of Economics Publications
 
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Created: Tue, 28 Aug 2012, 11:50:47 EST by Alys Hohnen on behalf of School of Economics