文章基本信息

标题：Flexible Spatial and Temporal Hedonic Price Indexes for Housing in the Presence of Missing Data
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作者：Iqbal Syed ; Robert J. Hill ; Daniel Melser 等
期刊名称：Discussion Papers / School of Business, University of New South Wales
出版年度：2008
卷号：2008
出版社：Sydney
摘要：We propose a exible hedonic methodology for computing house price indexes that uses multiple imputation (MI) to account for missing data (a huge problem in housing data sets). Ours is the rst study to use MI in this context. We also allow for spatial correlation, include interaction terms between characteristics, between regions and periods, and between regions and characteristics, and break the regressions up into overlapping blocks of ve consecutive periods (quarters in our case). These features ensure that the shadow prices are exible both across regions and time. This exible structure makes the derivation of price indexes from the estimated regression equations far from straightforward. We develop innovative methods for resolving this problem and for splicing the overlapping blocks together to generate the overall panel results. We then use our methodology to construct temporal and spatial price indexes for 15 regions in Sydney, Australia on a quarterly basis from 2001 to 2006 and combine them to obtain an overall price index for Sydney. Our hedonic indexes di er quite signicantly from the ocial index for Sydney published by the Australian Bureau of Statistics. We also nd clear evidence of convergence in prices across regions from 2001-3 (while prices were rising), and divergence thereafter. We conclude by exploring some of the implications of these empirical ndings
关键词：Real estate; House prices; Hedonic price index; Missing data; Multiple imputation; Spatial correlation