<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>Rolling-time-dummy (RTD) is a hedonic method used by a number of countries to compute their official house price indexes (HPIs). The RTD method requires less data and is more adaptable than other hedonic methods, which makes it well suited for computing higher frequency HPIs (e.g., monthly or weekly). In this article, we address three key issues relating to RTD. First, we develop a method for determining the optimal length of the rolling window. Second, we consider variants on the standard way of linking the current period with earlier periods, and show how the optimal linking method can be determined. Third, we propose three ways of modifying the RTD method to make it more robust to periods of low transaction volume. These modifications could prove useful for countries using the RTD method in their official HPIs.</p>
</abstract>

Rolling-time-dummy (RTD) is a hedonic method used by a number of countries to compute their official house price indexes (HPIs). The RTD method requires less data and is more adaptable than other hedonic methods, which makes it well suited for computing higher frequency HPIs (e.g., monthly or weekly). In this article, we address three key issues relating to RTD. First, we develop a method for determining the optimal length of the rolling window. Second, we consider variants on the standard way of linking the current period with earlier periods, and show how the optimal linking method can be determined. Third, we propose three ways of modifying the RTD method to make it more robust to periods of low transaction volume. These modifications could prove useful for countries using the RTD method in their official HPIs.

Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with Low Transaction Volume

Journal of Official Statistics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Rolling-time-dummy (RTD) is a hedonic method used by a number of countries to compute their official house price indexes (HPIs). The RTD method requires less...

Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with Low Transaction Volume

Pubblicato online: 29 mar 2022

Pagine: 127 - 151

Ricevuto: 01 lug 2020

Accettato: 01 mag 2021

DOI: https://doi.org/10.2478/jos-2022-0007

Parole chiave
House price index, hedonic quality adjustment, optimal window length, optimal chain linking, higher frequency indexes, low transaction volume

© 2022 Robert J. Hill et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with Low Transaction Volume

Pubblicato online: 29 mar 2022

Pagine: 127 - 151

Ricevuto: 01 lug 2020

Accettato: 01 mag 2021

DOI: https://doi.org/10.2478/jos-2022-0007

Parole chiaveHouse price index, hedonic quality adjustment, optimal window length, optimal chain linking, higher frequency indexes, low transaction volume

© 2022 Robert J. Hill et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Parole chiave
House price index, hedonic quality adjustment, optimal window length, optimal chain linking, higher frequency indexes, low transaction volume