The accuracy of real estate indices: Repeat sale estimators |
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Authors: | William Nelson Goetzmann |
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Institution: | (1) Graduate School of Business, Columbia University, 10027 New York, NY, USA |
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Abstract: | Simulation techniques allow us to examine the behavior and accuracy of several repeat sales regression estimators used to construct real estate return indices. We show that the generalized least squares (GLS) method is the maximum likelihood estimator, and we show how estimation accuracy can be significantly improved through a Baysian approach. In addition, we introduce a biased estimation procedure based upon the James and Stein method to address the problems of multicollinearity common to the procedure. |
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Keywords: | Repeat sales estimators Real estate indices |
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