Estimating house price indexes in the presence of seller reservation prices

• 成果类型: Article
• 署名作者: Goetzmann, W; Peng, LA
• 署名单位: Yale University; University of Colorado System; University of Colorado Boulder
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• 发表日期: 2006-02
• 页码: 100-112
• 关键词: sample selection bias; loss aversion; repeat-sales; MARKET; investors; search; disposition; INVESTMENT; regression; equity

摘要

We analyze a bias in transaction-based price indexes due to the presence of seller reservation prices. We develop a model in which the ratio of sellers' reservation prices to the market value affects trading volume and biases of observed transaction prices: when trading volume decreases (increases), index returns are estimated with an upward (downward) bias. We propose a new econometric procedure to mitigate the bias, and use simulations to demonstrate the effectiveness of the procedure. We construct a reserve-conditional unbiased index for the Los Angeles housing market, which substantially differs from a traditional repeat sale index.