A Metropolitan Transaction-Based Commercial Price Index: A Time-Varying Parameter Approach |
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Authors: | Henry J Munneke & Barrett A Slade |
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Institution: | Terry College of Business, University of Georgia, Athens, GA 30602-6255,;Marriott School, Brigham Young University, Provo, Utah 84602 |
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Abstract: | This study examines the usefulness of time-varying parameter techniques for constructing reliable transaction-based commercial price indices for metropolitan areas. Time-varying parameter techniques allow the implicit prices of differing quality characteristics to vary intertemporally, overcoming the potential bias imposed by holding implicit prices fixed and simply interpreting time dummy variables as in a conventional hedonic approach. This paper empirically investigates three time-varying parameter methods (Chained, Laspeyres, and Paasche) and considers the potential for sample selection bias. Precision measures are constructed to examine the reliability of the respective indices. |
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