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

Posted: 31 Aug 2012 Last revised: 31 Jan 2018

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: 2012

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 frequency conversion procedure, 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, Noise filter

Suggested Citation

Bokhari, Sheharyar and Geltner, David, Estimating Real Estate Price Movements for High Frequency Tradable Indexes in a Scarce Data Environment (2012). Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012. Available at SSRN: https://ssrn.com/abstract=2138902

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

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