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A Metropolitan Transaction‐Based Commercial Price Index: A Time‐Varying Parameter Approach
Author(s) -
Munneke Henry J.,
Slade Barrett A.
Publication year - 2001
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1080-8620.00003
Subject(s) - econometrics , metropolitan area , price index , database transaction , economics , sample (material) , index (typography) , reliability (semiconductor) , transaction cost , quality (philosophy) , selection (genetic algorithm) , selection bias , hedonic index , computer science , microeconomics , statistics , mathematics , philosophy , artificial intelligence , chemistry , world wide web , power (physics) , epistemology , chromatography , quantum mechanics , programming language , physics , pathology , medicine
This study examines the usefulness of time‐varying parameter techniques for constructing reliable transaction‐based commercial price indices for metropolitan areas. Time‐varying parameter techniques allow the implicit prices of differing quality characteristics to vary intertemporally, overcoming the potential bias imposed by holding implicit prices fixed and simply interpreting time dummy variables as in a conventional hedonic approach. This paper empirically investigates three time‐varying parameter methods (Chained, Laspeyres, and Paasche) and considers the potential for sample selection bias. Precision measures are constructed to examine the reliability of the respective indices.