Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment

37 Pages Posted: 9 Jan 2009 Last revised: 7 Apr 2010

See all articles by Sheharyar Bokhari

Sheharyar Bokhari

Massachusetts Institute of Technology (MIT)

David Geltner

Massachusetts Institute of Technology (MIT); MIT Center for Real Estate

Multiple version iconThere are 2 versions of this paper

Date Written: February 2010

Abstract

Indexes of commercial property prices face much scarcer transactions data than housing indexes, yet the advent of tradable derivatives on commercial property places a premium on both high frequency and accuracy of such indexes. The dilemma is that with scarce data a low-frequency return index (such as annual) is necessary to accumulate enough sales data in each period. This paper presents an approach to address this problem using a two-stage procedure with frequency conversion, by first estimating lower-frequency indexes staggered in time, and then applying a generalized inverse estimator to convert from lower to higher frequency return series. The two-stage procedure can improve the accuracy of high-frequency indexes in scarce data environments. In this paper the method is demonstrated and analyzed by application to empirical commercial property repeat-sales data.

Keywords: Real Estate price Indexes, Frequency-Conversion, Transactions-Based-Index Estimation, Derivatives

JEL Classification: C13, C43

Suggested Citation

Bokhari, Sheharyar and Geltner, David, Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment (February 2010). Available at SSRN: https://ssrn.com/abstract=1323334 or http://dx.doi.org/10.2139/ssrn.1323334

Sheharyar Bokhari

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
50 Memorial Drive
Cambridge, MA 02139-4307
United States

David Geltner (Contact Author)

Massachusetts Institute of Technology (MIT) ( email )

77 Massachusetts Avenue
Cambridge, MA 02139
United States

MIT Center for Real Estate ( email )

77 Massachusetts Avenue
Cambridge, MA 02139
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
139
Abstract Views
984
rank
212,901
PlumX Metrics