Robust Repeat Sales Indexes

48 Pages Posted: 19 Oct 2011  

Steven C. Bourassa

Florida Atlantic University

Eva Cantoni

University of Geneva

Martin Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM); University of Aberdeen - Business School; Swiss Finance Institute; University of Geneva - Geneva Finance Research Institute

Multiple version iconThere are 3 versions of this paper

Date Written: October 13, 2011

Abstract

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

Bourassa, Steven C. and Cantoni, Eva and Hoesli, Martin, Robust Repeat Sales Indexes (October 13, 2011). Swiss Finance Institute Research Paper No. 11-46. Available at SSRN: https://ssrn.com/abstract=1945199 or http://dx.doi.org/10.2139/ssrn.1945199

Steven C. Bourassa (Contact Author)

Florida Atlantic University ( email )

777 Glades Road
Boca Raton, FL 33431
United States
5028077642 (Phone)

Eva Cantoni

University of Geneva ( email )

40, Boulevard du Pont-d'Arve
Genève, CH - 1205
Switzerland

Martin Edward Ralph Hoesli

University of Geneva - Geneva School of Economics and Management (GSEM) ( email )

40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

University of Aberdeen - Business School ( email )

Edward Wright Building
Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom
+41 22 379 8122 (Phone)
+41 22 379 8104 (Fax)

Swiss Finance Institute ( email )

24 rue du Général-Dufour
Geneva, CH - 1211
Switzerland

University of Geneva - Geneva Finance Research Institute ( email )

Geneva
Switzerland

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