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Towards robust house price index estimation : = An empirical investigation of San Diego, California.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Towards robust house price index estimation :/
Reminder of title:	An empirical investigation of San Diego, California.
Author:	Raman, Padmasini S.
Description:	1 online resource (103 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 62-12, Section: A.
Contained By:	Dissertations Abstracts International62-12A.
Subject:	Studies. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3000856click for full text (PQDT)
ISBN:	9780493094366

Towards robust house price index estimation : = An empirical investigation of San Diego, California.
Raman, Padmasini S.

Towards robust house price index estimation :An empirical investigation of San Diego, California. - 1 online resource (103 pages)

Source: Dissertations Abstracts International, Volume: 62-12, Section: A.

Thesis (Ph.D.)--Rutgers The State University of New Jersey, School of Graduate Studies, 2001.

Includes bibliographical references

I develop a two step method for modeling the spatial and temporal variation in house prices across the regional landscape. In the first step, I utilize the Goetzmann and Spiegel (1997) Distance Weighted Repeat Sales (DWRS) model to construct "neighborhood" level indices. The DWRS model is a hybrid model: it provides "hedonic controls" via the distance function within the repeat sales framework. In the second step, I model the abnormal appreciation in the neighborhood (defined as the appreciation of the neighborhood's house price index over and above the regional average in the period) within an Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity in Mean (or AR-GARCH-M) framework to characterize its temporal variation. I construct a buffer of "neighbors" variable for each neighborhood and use this to capture the spatial pattern of abnormal house price appreciation. The benefits from adopting this two-step procedure are at least three-fold, Firstly, adopting the DWRS model enables the construction of accurate neighborhood-level house price indices that would otherwise not be available for small geographic areas. Secondly, this procedure models neighborhood effects and adjacency effects within a repeat sales context (unlike previous modeling within a hedonic specification). Thirdly, the AR-GARCH-M framework models the impact of neighbors and lagged values explicitly. A picture of "neighbors" in "time and space" thus emerges. I also provide an explicit derivation of the variance-covariance matrix with spatial components for the DWRS model and explore the various conceptual and measurement issues that arise in implementing the estimation procedure. Finally, I implement the two step procedure for a data set of repeat sales of single family homes in San Diego County, CA between 1995 and 1998 geocoded to Census tracts (a smaller geographic area than is usually employed). This yields 408 quarterly tract-level house price indices that show a wide range of appreciation over the period. I find that the use of a single area-wide house price index (such as the standard Weighted Repeat Sales index) as a proxy for house price appreciation within a specific area or neighborhood is not justified. This work should be of particular interest to the mortgage and mortgage-backed-securities market participants.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9780493094366Subjects--Topical Terms:

3433795
Studies.
Subjects--Index Terms:

CaliforniaIndex Terms--Genre/Form:

542853
Electronic books.

Towards robust house price index estimation : = An empirical investigation of San Diego, California.
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500 $a Source: Dissertations Abstracts International, Volume: 62-12, Section: A.
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502 $a Thesis (Ph.D.)--Rutgers The State University of New Jersey, School of Graduate Studies, 2001.
504 $a Includes bibliographical references
520 $a I develop a two step method for modeling the spatial and temporal variation in house prices across the regional landscape. In the first step, I utilize the Goetzmann and Spiegel (1997) Distance Weighted Repeat Sales (DWRS) model to construct "neighborhood" level indices. The DWRS model is a hybrid model: it provides "hedonic controls" via the distance function within the repeat sales framework. In the second step, I model the abnormal appreciation in the neighborhood (defined as the appreciation of the neighborhood's house price index over and above the regional average in the period) within an Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity in Mean (or AR-GARCH-M) framework to characterize its temporal variation. I construct a buffer of "neighbors" variable for each neighborhood and use this to capture the spatial pattern of abnormal house price appreciation. The benefits from adopting this two-step procedure are at least three-fold, Firstly, adopting the DWRS model enables the construction of accurate neighborhood-level house price indices that would otherwise not be available for small geographic areas. Secondly, this procedure models neighborhood effects and adjacency effects within a repeat sales context (unlike previous modeling within a hedonic specification). Thirdly, the AR-GARCH-M framework models the impact of neighbors and lagged values explicitly. A picture of "neighbors" in "time and space" thus emerges. I also provide an explicit derivation of the variance-covariance matrix with spatial components for the DWRS model and explore the various conceptual and measurement issues that arise in implementing the estimation procedure. Finally, I implement the two step procedure for a data set of repeat sales of single family homes in San Diego County, CA between 1995 and 1998 geocoded to Census tracts (a smaller geographic area than is usually employed). This yields 408 quarterly tract-level house price indices that show a wide range of appreciation over the period. I find that the use of a single area-wide house price index (such as the standard Weighted Repeat Sales index) as a proxy for house price appreciation within a specific area or neighborhood is not justified. This work should be of particular interest to the mortgage and mortgage-backed-securities market participants.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Studies. $3 3433795
650 4 $a Housing. $3 562261
650 4 $a Prices. $3 652651
650 4 $a Government agencies. $3 3562805
650 4 $a Censuses. $3 3564174
650 4 $a Government sponsored enterprises. $3 3561045
650 4 $a Investments. $3 566987
650 4 $a Estimates. $3 3561047
650 4 $a Local government. $3 562372
650 4 $a Prepayments. $3 3706066
650 4 $a Efficiency. $3 753744
650 4 $a Bias. $2 gtt $3 1374837
650 4 $a Copyright. $3 601694
650 4 $a Family income. $3 3564663
650 4 $a Neighborhoods. $3 993475
650 4 $a Households. $3 579926
650 4 $a Home ownership. $3 562263
653 $a California
653 $a Estimation
653 $a House price index
653 $a San Diego
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710 2 $a Rutgers The State University of New Jersey, School of Graduate Studies. $3 3427372
773 0 $t Dissertations Abstracts International $g 62-12A.
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