A Metropolitan Transaction‐Based Commercial Price Index: A Time‐Varying Parameter Approach
研究了时变参数技术构建大都市区商业地产交易价格指数的有效性，比较了三种时变参数方法并考察样本选择偏差，为评估指数可靠性提供了精度指标。
This study examines the usefulness of time‐varying parameter techniques for constructing reliable transaction‐based commercial price indices for metropolitan areas. Time‐varying parameter techniques allow the implicit prices of differing quality characteristics to vary intertemporally, overcoming the potential bias imposed by holding implicit prices fixed and simply interpreting time dummy variables as in a conventional hedonic approach. This paper empirically investigates three time‐varying parameter methods (Chained, Laspeyres, and Paasche) and considers the potential for sample selection bias. Precision measures are constructed to examine the reliability of the respective indices.