Estimating the lagging error in real estate price indices
Fu, Y.
Estimating the lagging error in real estate price indices - 2003 - Real Estate Economics 31(1) 75-98(12) .
Real estate indices based on appraisals or sale prices of properties are known for their slow response to market news. These indices can therefore be represented (in logarithm) as the sum of a latent true price index and a laggings error. Shows that the latent appreciation return and the lagging error can be jointly estimated in a state-space model, which has two key features. First, it employs exogenous variables known to predict asset returns to predict the latent appreciation return. Second, it incorporates known sources of the lagging error, such as the partial adjustment in observed index to the latent appreciation return and the seasonality in reappraisal quality. [Taken from journal abstract].
REAL ESTATE
INDEXES
LEASES
SALE PRICES
APPRAISALS
RETURNS
Estimating the lagging error in real estate price indices - 2003 - Real Estate Economics 31(1) 75-98(12) .
Real estate indices based on appraisals or sale prices of properties are known for their slow response to market news. These indices can therefore be represented (in logarithm) as the sum of a latent true price index and a laggings error. Shows that the latent appreciation return and the lagging error can be jointly estimated in a state-space model, which has two key features. First, it employs exogenous variables known to predict asset returns to predict the latent appreciation return. Second, it incorporates known sources of the lagging error, such as the partial adjustment in observed index to the latent appreciation return and the seasonality in reappraisal quality. [Taken from journal abstract].
REAL ESTATE
INDEXES
LEASES
SALE PRICES
APPRAISALS
RETURNS