Robust Repeat Sales Indexes
48 Pages Posted: 19 Oct 2011
Date Written: October 13, 2011
Using single-family sales data for Louisville, Kentucky, we show the benefits of applying robust methods to down-weight problematic transactions in a repeat sales context. Robust estimators reduce the influence of outliers in repeat sales price changes that are due to data entry errors, quality changes, or non-market transactions. In addition to comparing conventional and robust indexes, we also use simulated data, where the correct index is known, to show that robust methods control for the impacts of contaminated data. Finally, we demonstrate that robust methods reduce the magnitude and volatility of index revisions.
Keywords: repeat sales indexes, robust methods, flips, distressed sales, index revision
JEL Classification: R31
Suggested Citation: Suggested Citation