Hedonic Imputed Property Price Indexes: The Effects of Econometric Modeling Choices

Rambaldi, Alicia. N. and Fletcher, Cameron (2014) Hedonic Imputed Property Price Indexes: The Effects of Econometric Modeling Choices. Review of Income and Wealth, 60 Suppl.2: S423-S448. doi:10.1111/roiw.12143

Author Rambaldi, Alicia. N.
Fletcher, Cameron
Title Hedonic Imputed Property Price Indexes: The Effects of Econometric Modeling Choices
Journal name Review of Income and Wealth   Check publisher's open access policy
ISSN 0034-6586
Publication date 2014-11
Year available 2014
Sub-type Article (original research)
DOI 10.1111/roiw.12143
Open Access Status
Volume 60
Issue Suppl.2
Start page S423
End page S448
Total pages 26
Place of publication Chichester, West Sussex, United Kingdom
Publisher Wiley-Blackwell Publishing Ltd.
Collection year 2015
Language eng
Formatted abstract
In this paper we consider how choices in the econometric approach to impute prices affect the Törnqvist and Jevons hedonic imputed indexes. We compare the rolling window approach to estimation by smoothing methods. The main difference between the rolling window and the smoothing methods is in the way information is weighted. We propose that the Kalman filter smoother is the most appropriate estimator for the task as it optimally weights current and past information. We show the rolling window approach does not produce estimates that are attenuated over time leading to chain drift in the index. We also compare two alternative specifications to model property location. The empirical section uses data from a small and homogeneous market in the state of Queensland, Australia. The Törnqvist and Jevons indexes differ in value during periods of market volatility. This seems expected given their different weighting of transactions and the likelihood that price movements of properties at the upper and lower end of the price distribution might differ during periods of market volatility.
Keyword Property price indexes
Rolling windows
Spatial errors
Spatial regressors
State Space
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2015 Collection
School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 2 times in Thomson Reuters Web of Science Article | Citations
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Created: Mon, 03 Nov 2014, 17:03:15 EST by Alys Hohnen on behalf of School of Economics