JSM 2005 - Toronto

Abstract #304850

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 517
Type: Contributed
Date/Time: Thursday, August 11, 2005 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #304850
Title: Multi Transactions Model for Constructing Housing Market Index
Author(s): George H. Wang*+ and Andre H Gao
Companies: Commodity Futures Trading Commission and Mannie Mae
Address: 1155 21st Street, NW, Washington, DC, 20581,
Keywords: House Price Index ; Repeat Transactions Index Model ; Panel Data Method
Abstract:

The pairs (or repeat) transactions index model is the most widely used method for constructing housing market index and estimating individual house prices. However, this model is unable to provide price-level information on the housing market and encounters several statistical problems when individual houses have more than two transactions. In order to overcome the shortcomings of the pairs transactions model, we propose a multitransactions model with the panel data approach to estimate market index and predict house prices. The empirical results based on 5,000 houses in Howard County, Maryland, demonstrate the proposed multitransactions model can provide price-level information on the housing market, produce market index with smaller standard errors, is more robust in terms of difference between the subsample estimate and full-sample estimate, has smaller index revision volatilities, and performs better in the out-of-sample test on the prediction of individual house prices. Thus, the multitransactions model is recommended for constructing housing market index and assessing individual house prices.

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