Improved Price Indexes for Real Estate: Measuring the Course of Swedish Housing Prices

Englund, Peter; Quigley, John M.; Redfearn, Christian L.

doi:10.1006/juec.1997.2062

Cited by 107 publications

(76 citation statements)

References 11 publications

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“…The general character of the data we analyze is described in detail elsewhere (Englund et al, 1998). Speci®cally, the data consist of every arms length sale of owner-occupied housing in the Stockholm metropolitan region from January 1, 1981through December 31, 1999.…”

Section: Empirical Analysismentioning

confidence: 99%

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Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values*

Hwang

Quigley

2004

The Journal of Real Estate Finance and Economics

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This paper develops a model of price formation in the housing market which accounts for the non-random selection of those dwellings sold on the market from the stock of existing houses. The model we develop also accounts for changes in the quality of dwellings themselves and tests for mean reversion in individual house prices. The model is applied to a unique body of data representing all dwellings sold in Sweden's largest metropolitan area during the period 1982±1999. The analysis compares house price indices that account for selectivity, quality change and mean reversion with the conventional repeat sales models used to describe the course of metropolitan housing prices. We ®nd that the repeat sales method yields systematically large biased estimates of the value of the housing stock. Our comparison suggests that the more general approach to the estimation of housing prices or housing wealth yields substantially improved estimates of the course of housing prices and housing wealth.

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Section: Empirical Analysismentioning

confidence: 99%

“…Earlier and less complete versions of these data (with sales recorded through August 31, 1993) have been used in several other research papers (Englund et al, 1998(Englund et al, , 1999. In particular, Englund et al (1999) provides some evidence on sample selectivity.…”

Section: Empirical Analysismentioning

confidence: 99%

Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values*

Hwang

Quigley

2004

The Journal of Real Estate Finance and Economics

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“…To compare the new index, the standard hedonic index and the S&P/Case-Shiller index and to examine the price implications of the specification bias and sample selection bias, we investigate the out-of-sample predictive power of the three indices. 10 To do so, we divide the observations into training and testing datasets. The testing set contains all the final sales of the houses sold three or more times in our sample period.…”

Section: Empirical Analysismentioning

confidence: 99%

“…It should be pointed out that the predictive equations (11) and (12) are implied by models (10) and (3), respectively. From model (10), the predictive value of the average log price for building p at time t can be represented as ȳ t ,p =ȳ t,p + β t − β t .…”

Section: Empirical Analysismentioning

confidence: 99%

“…In particular, Case and Quigley (1991) proposed a hybrid model and applied generalized least squares (GLS) to jointly estimate the hedonic and repeat-sales equations. In subsequent work, Quigley (1995) and Englund et al (1998) proposed to model explicitly the structure of the error terms in their hybrid model to improve the estimated price index. Hill et al (1997) instead employed an AR(1) process to model the error dynamics of the hybrid model.…”

Section: Introductionmentioning

confidence: 99%

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New methodology for constructing real estate price indices applied to the Singapore residential market

Jiang

Phillips

2015

Journal of Banking & Finance

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This paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and

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Hedonic Pricing Models: A Selective and Applied Review

Malpezzi

2002

Housing Economics and Public Policy

458

350

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Improved Price Indexes for Real Estate: Measuring the Course of Swedish Housing Prices

Cited by 107 publications

References 11 publications

Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values*

Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values*

New methodology for constructing real estate price indices applied to the Singapore residential market

Hedonic Pricing Models: A Selective and Applied Review

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