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House Price Index Methodology

Author

Listed:
  • Nagaraja, Chaitra H.

    (Statistical Research Division, US Census Bureau)

  • Brown, Lawrence D.

    (University of PA)

  • Wachter, Susan M.

    (University of PA)

Abstract

This paper examines house price index methodology and explores what makes an index both practical and representative. Two approaches are investigated: predictive ability (quantitative) and index structure (qualitative). Five indices are analyzed, four of which are repeat sales indices in the traditional sense and an autoregressive index which makes use of the repeat sales idea but includes single sales as well. The autoregressive index has the best predictive performance.

Suggested Citation

  • Nagaraja, Chaitra H. & Brown, Lawrence D. & Wachter, Susan M., 2010. "House Price Index Methodology," Working Papers 11-04, University of Pennsylvania, Wharton School, Weiss Center.
    • Handle: RePEc:ecl:upafin:11-04
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    File URL: http://www-stat.wharton.upenn.edu/~lbrown/Papers/2011e%20Housing%20Price%20Index%20Methodology.pdf
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    Cited by:

    1. Jing Wu & Yongheng Deng & Hongyu Liu, 2014. "House Price Index Construction in the Nascent Housing Market: The Case of China," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 522-545, April.
    2. Choi, Chi-Young & Hansz, J. Andrew, 2021. "From banking integration to housing market integration - Evidence from the comovement of U.S. Metropolitan House Prices," Journal of Financial Stability, Elsevier, vol. 54(C).
    3. Robert Hill & Radoslaw Trojanek, 2020. "House Price Indexes for Warsaw: An Evaluation of Competing Methods," Graz Economics Papers 2020-08, University of Graz, Department of Economics.
    4. Jiang, Liang & Phillips, Peter C.B. & Yu, Jun, 2015. "New methodology for constructing real estate price indices applied to the Singapore residential market," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 121-131.
    5. Jed Armstrong & Ashley Dunstan & Tobias Irrcher, 2017. "Evaluating alternative monthly house price measures for New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2017/02, Reserve Bank of New Zealand.

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