dc.contributor.author | Francke, Marc K | |
dc.contributor.author | van de Minne, Alexander | |
dc.date.accessioned | 2017-10-13T16:05:23Z | |
dc.date.available | 2018-06-03T05:00:08Z | |
dc.date.issued | 2017-08 | |
dc.identifier.issn | 0895-5638 | |
dc.identifier.issn | 1573-045X | |
dc.identifier.uri | http://hdl.handle.net/1721.1/111842 | |
dc.description.abstract | This paper concerns the estimation of granular property price indices in commercial real estate and residential markets. We specify and apply a repeat sales model with multiple stochastic log price trends having a hierarchical additive structure: One common log price trend and cluster specific log price trends in deviation from the common trend. Moreover, we assume that the error terms potentially have a heavy tailed (t) distribution to effectively deal with outliers. We apply the hierarchical repeat sales model on commercial properties in the Philadelphia/Baltimore region and on residential properties in a small part of Amsterdam. The results show that the hierarchical repeat sales model provides reliable indices on a very detailed level based on a small number of observations. The estimated degrees of freedom for the t-distribution is small, largely rejecting the commonly made assumption of normality of the error term. | en_US |
dc.publisher | Springer US | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1007/s11146-017-9632-1 | en_US |
dc.rights | Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use. | en_US |
dc.source | Springer US | en_US |
dc.title | The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price Indices | en_US |
dc.type | Article | en_US |
dc.identifier.citation | Francke, Marc K., and van de Minne, Alex. “The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price Indices.” The Journal of Real Estate Finance and Economics 55, 4 (August 2017): 511–532 © 2017 Springer Science+Business Media, LLC | en_US |
dc.contributor.department | Massachusetts Institute of Technology. Center for Real Estate | en_US |
dc.contributor.department | Massachusetts Institute of Technology. Department of Urban Studies and Planning | en_US |
dc.contributor.mitauthor | van de Minne, Alexander | |
dc.relation.journal | The Journal of Real Estate Finance and Economics | en_US |
dc.eprint.version | Author's final manuscript | en_US |
dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
eprint.status | http://purl.org/eprint/status/PeerReviewed | en_US |
dc.date.updated | 2017-10-11T04:57:28Z | |
dc.language.rfc3066 | en | |
dc.rights.holder | Springer Science+Business Media, LLC | |
dspace.orderedauthors | Francke, Marc K.; van de Minne, Alex | en_US |
dspace.embargo.terms | N | en |
mit.license | PUBLISHER_POLICY | en_US |
mit.metadata.status | Complete | |