Multiple Transactions Model: A Panel Data Approach to Estimate Housing Market Indices

26 Pages Posted: 15 Nov 2007

See all articles by Andre Gao

Andre Gao

affiliation not provided to SSRN

George H. K. Wang

George Mason University - Department of Finance

Abstract

In this paper, a multiple transactions model with a panel data approach is used to estimate housing market indices. The multiple transactions model keeps the same features of the repeat transactions index model (i.e., tracking the price appreciation of same houses). However, the multiple transactions model overcomes the shortcomings of the repeat transactions model by avoiding the correlated error terms. The indicative empirical analysis on a small sample of actual house transaction data demonstrates that the proposed multiple transactions model is superior to the repeat transactions model in terms of index variance, robustness of estimate, index revision volatility, and out-of-sample prediction of individual house prices.

Keywords: R11, R14, R21

Suggested Citation

Gao, Andre and Wang, George H. K., Multiple Transactions Model: A Panel Data Approach to Estimate Housing Market Indices. Journal of Real Estate Research, Vol. 29, No. 3, 2007, Available at SSRN: https://ssrn.com/abstract=1029992

Andre Gao (Contact Author)

affiliation not provided to SSRN ( email )

No Address Available

George H. K. Wang

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States

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