Keywords
time-varying parameter methods, commercial price indices, hedonic pricing bias
Abstract
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.
Original Publication Citation
Munneke, H. and B. Slade, 2001, A Metropolitan Transaction-Based Commercial Price Index: A Time-Varying Parameter Approach, Real Estate Economics, 29:1, pp. 55 – 84.
BYU ScholarsArchive Citation
Munneke, Henry J. and Slade, Barrett A., "A Metropolitan Transaction-Based Commercial Price Index: A Time-Varying Parameter Approach" (2002). Faculty Publications. 8924.
https://scholarsarchive.byu.edu/facpub/8924
Document Type
Peer-Reviewed Article
Publication Date
2002
Publisher
Real Estate Economics
Language
English
College
Marriott School of Business
Department
Finance
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