Repeat Sales House Price Index Methodology

25 Pages Posted: 25 Jun 2014

See all articles by Chaitra Nagaraja

Chaitra Nagaraja

Fordham University - Gabelli School of Business

Lawrence D. Brown

University of Pennsylvania - The Wharton School

Susan M. Wachter

University of Pennsylvania - Wharton School, Department of Real Estate ; University of Pennsylvania - Finance Department

Date Written: June 24, 2014

Abstract

We compare four traditional repeat sales indices to a recently developed autoregressive index that makes use of the repeat sales methodology but incorporates single sales and a location effect. Qualitative comparisons on statistical issues including the effect of gap time on sales, use of hedonic information, and treatment of single and repeat sales are addressed. Furthermore, predictive ability is used as a quantitative metric in the analysis using data from home sales in 20 metropolitan areas in the United States.

The indices tend to track each other over time; however, the differences are substantial enough to be of interest, and we find that the autoregressive index performs best overall.

Suggested Citation

Nagaraja, Chaitra and Brown, Lawrence D. and Wachter, Susan M., Repeat Sales House Price Index Methodology (June 24, 2014). Available at SSRN: https://ssrn.com/abstract=2458491 or http://dx.doi.org/10.2139/ssrn.2458491

Chaitra Nagaraja (Contact Author)

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
Bronx, NY 10458
United States

Lawrence D. Brown

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

Susan M. Wachter

University of Pennsylvania - Wharton School, Department of Real Estate ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104-6330
United States
215-898-6355 (Phone)

HOME PAGE: http://real.wharton.upenn.edu/~wachter/index.html

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States

HOME PAGE: http://real.wharton.upenn.edu/~wachter/index.html

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