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Does Temporal Aggregation Explain the Persistence of the S&P/Case‐Shiller Indices? Evidence from a Longitudinal Specification

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  • Antoine Giannetti

Abstract

Temporal aggregation is a repeat sale index construction methodology that consists of aggregating paired‐transactions in a moving‐average window. In particular, the methodology is used to calculate the popular S&P/Case‐Shiller home price indices. In this article, I focus the insights of the literature on measurement error to demonstrate that temporal aggregation produces idiosyncratic biases in predictive regression slopes. I further estimate a dynamic instrumental variable (IV) panel for the 20 S&P/Case‐Shiller metro areas. The main empirical finding is that temporal aggregation is a short‐lived statistical disturbance that does not explain the homogenous robust persistence of the indices.

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  • Antoine Giannetti, 2018. "Does Temporal Aggregation Explain the Persistence of the S&P/Case‐Shiller Indices? Evidence from a Longitudinal Specification," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(3), pages 559-581, September.
    • Handle: RePEc:bla:reesec:v:46:y:2018:i:3:p:559-581
    DOI: 10.1111/1540-6229.12200
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    Cited by:

    1. Antoine Giannetti, 2021. "Home Sales Pair Counts: The Organic Metric for Trading Volume in Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(2), pages 610-634, June.

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