Repeat Sales Regression on Heterogeneous Properties

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of properties that only have small numbers of value observations. Monte Carlo simulations provide strong evidence that the GRSR indices more accurately measure the index for the entire market as well as individual property value appreciation than conventional RSR indices. This paper also proposes a Chi-square test to detect the heterogeneity in property value appreciation across submarkets/portfolios, and use simulations to show that the test is powerful in small samples. This paper finally illustrates the application of the GRSR using a historical dataset of the Chicago housing market from 1970 to 1986.

Original languageEnglish (US)
Pages (from-to)804-827
Number of pages24
JournalJournal of Real Estate Finance and Economics
Volume45
Issue number3
DOIs
StatePublished - Sep 1 2012

Fingerprint

sales
regression
market
Values
price index
simulation
housing market
index
Repeat sales
evidence
test
Property values

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

Cite this

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Repeat Sales Regression on Heterogeneous Properties. / Peng, Liang.

In: Journal of Real Estate Finance and Economics, Vol. 45, No. 3, 01.09.2012, p. 804-827.

Research output: Contribution to journalArticle

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