The Journal of Real Estate Finance and Economics
Volume 14, Issue 1, Article 6 (Abstract)
Title:	A Bayesian Approach to the Construction and Comparison of Alternative House Price Indices
Author:	Chiong-Long Kuo
Abstract:	Several repeat sales models have been advanced over the years for estimating real estate price indices. This paper proposes a general model which incorporates earlier works as special cases and compares the alternative repeat sales models using posterior odds ratios as criteria. While the existing literature estimates the real estate indices from the sampling point of view, in this paper indices are constructed and then compared using a Bayesian approach. In general the two-error term models outperform the one- error models. The model with non-temporal component proposed by Goetzmann and Spiegel is found to be superior in three out of four cities. There is significant discrepancy among the returns and indices obtained from different models.
Keywords:	Bayesian approach, house price indices