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Asymptotic properties of imputed hedonic price indices

Schöni, Olivier (2014) Asymptotic properties of imputed hedonic price indices. SERC discussion papers (SERCDP0166). Spatial Economics Research Centre, London, UK.

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Abstract

Hedonic price indices are currently considered to be the state-of-the-art approach to computing constant-quality price indices. In particular, hedonic price indices based on imputed prices have become popular both among practitioners and researchers to analyze price changes at an aggregate level. Although widely employed, little research has been conducted to investigate their asymptotic properties and the influence of the econometric model on the parameters estimated by these price indices. The present paper therefore tries to fill the actual knowledge gap by analyzing the asymptotic properties of the most commonly used imputed hedonic price indices in the case of linear and linearizable models. The obtained results are used to gauge the impact of bias adjusted predictions on hedonic imputed indices in the case of log-linear hedonic functions with normal distributed errors.

Item Type: Monograph (Discussion Paper)
Official URL: http://www.spatialeconomics.ac.uk/
Additional Information: © 2014 The Author
Divisions: Spatial Economics Research Centre
Subjects: Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C41 - Duration Analysis
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Other Model Applications
Sets: Research centres and groups > Spatial Economics Research Centre
Collections > Economists Online
Date Deposited: 25 Nov 2015 09:39
Last Modified: 11 Sep 2019 23:26
Funders: Economic and Social Research Council, Department for Business, Innovation & Skills, Welsh Government
URI: http://eprints.lse.ac.uk/id/eprint/64500

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