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Robust Repeat Sales Indexes
Author(s) -
Bourassa Steven C.,
Cantoni Eva,
Hoesli Martin
Publication year - 2013
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/reec.12013
Subject(s) - outlier , econometrics , estimator , volatility (finance) , robust statistics , context (archaeology) , index (typography) , economics , robustness (evolution) , data quality , computer science , statistics , mathematics , operations management , chemistry , world wide web , gene , biology , paleontology , metric (unit) , biochemistry
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 nonmarket 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.