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GMM Repeat Sales Price Indices

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  • Liang Peng

Abstract

Illiquid assets are widely spread within the economy but their indices are difficult to measure. This paper proposes a Generalized Method of Moment (GMM) repeat sales regression for estimating illiquid asset price indices. This method has estimators that are arithmetic averages of individual asset returns. This method is able to estimate custom‐weighted indices, including equal‐ and value‐weighted indices. It can incorporate hedonic variables to improve estimation accuracy, and it can work with a reweighting technique to mitigate a biased sample problem. Simulations based on artificial markets indicate that the method is more accurate than some alternatives in both efficient and sluggish markets, with and without temporal aggregation. As an application, we use this method to estimate a commercial property price index.

Suggested Citation

  • Liang Peng, 2002. "GMM Repeat Sales Price Indices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 239-261.
    • Handle: RePEc:bla:reesec:v:30:y:2002:i:2:p:239-261
    DOI: 10.1111/1540-6229.00039
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    Cited by:

    1. Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
    2. William Goetzmann & Liang Peng, 2003. "Estimating Indices in the Presence of Seller Reservation Prices," Yale School of Management Working Papers ysm352, Yale School of Management, revised 01 May 2003.
    3. Liang Peng, 2020. "Benchmarking Local Commercial Real Estate Returns: Statistics Meets Economics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1004-1029, December.
    4. Diane Hite, 2009. "Factors Influencing Differences between Survey and Market-based Environmental Value Measures," Urban Studies, Urban Studies Journal Limited, vol. 46(1), pages 117-138, January.
    5. Deng, Yongheng & McMillen, Daniel P. & Sing, Tien Foo, 2014. "Matching indices for thinly-traded commercial real estate in Singapore," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 86-98.

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