Boundary Effects and Repeat-Sales

49 Pages Posted: 19 Mar 2008

See all articles by Arnaud Simon

Arnaud Simon

Université Paris Dauphine - Centre de Recherches sur la Gestion (CEREG)

Date Written: March 18, 2008

Abstract

We study in this article the consequences of the double censoring (right and left) applied on every sample of repeat-sales before calculating a repeat-sales index. We show that, independently of the specificities of each dataset, there exist some intrinsic features for this kind of index that directly depend on the censoring mechanism. Working with the standard deviation of the estimator and the well known bias of the Cass, Shiller model we bring to fore a time structure for these two quantities. Their behaviour is different near the edges of the interval compared to the middle, and this phenomenon is generally more pronounced for the right side than for the left side. A sensitivity analysis is developed using a neutral sample in order to study the way this U-shape evolve in relation with the fundamental parameters. With this analysis we also try to determine the optimal length of the estimation interval, the consequences of the data dispersion and the impact of the liquidity levels in the market (number of goods sold at each date and resale speed).

Keywords: repeat-sales, boundary effects, sensitivity analysis, optimal parameters

Suggested Citation

Simon, Arnaud, Boundary Effects and Repeat-Sales (March 18, 2008). Available at SSRN: https://ssrn.com/abstract=1108016 or http://dx.doi.org/10.2139/ssrn.1108016

Arnaud Simon (Contact Author)

Université Paris Dauphine - Centre de Recherches sur la Gestion (CEREG) ( email )

Paris Dauphine University
Place de Lattre de Tassigny
Paris, 75775
France

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