The Journal of Real Estate Finance and Economics

, Volume 14, Issue 1, pp 113–132

A Bayesian Approach to the Construction and Comparison of Alternative House Price Indices

  • Chiong-Long Kuo
Article

DOI: 10.1023/A:1007724103085

Cite this article as:
Kuo, CL. The Journal of Real Estate Finance and Economics (1997) 14: 113. doi:10.1023/A:1007724103085

Abstract

Several repeat-sales models have been advanced over the years for estimating real estate price indices. This article proposes a general model which incorporates earlier works as special cases and compares the alternative repeat-sales models using posterior odds ratios as criteria. While the existing literature estimates the real estate indices from the sampling point of view, in this article indices are constructed and then compared using a Bayesian approach. In general, the two-error term models outperform the one-error models. The model with a nontemporal component proposed by Goetzmann and Spiegel is found to be superior in three out of four cities. There is a significant discrepancy among the returns and indices obtained from different models.

Bayesian approachhouse price indices

Copyright information

© Kluwer Academic Publishers 1997

Authors and Affiliations

  • Chiong-Long Kuo
    • 1
  1. 1.Price Waterhouse LCCArlington