Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics

Summary. We estimate hedonic price indices (HPI) for rental offices in Tokyo for the period 1985â€1991. We take a partially linear regression (PLR) model, linear in x (year dummies) and nonparametric in z (office quality characteristics), as our main model; the usual linear model is used as well. Si...

Full description

Saved in:
Bibliographic Details
Main Authors: Kondo, Y., Lee, Myoung-jae
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/499
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.soe_research-1498
record_format dspace
spelling sg-smu-ink.soe_research-14982010-09-23T05:48:03Z Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics Kondo, Y. Lee, Myoung-jae Summary. We estimate hedonic price indices (HPI) for rental offices in Tokyo for the period 1985â€1991. We take a partially linear regression (PLR) model, linear in x (year dummies) and nonparametric in z (office quality characteristics), as our main model; the usual linear model is used as well. Since x consists of year dummies, the linearity in x is not a restriction in the PLR model; the only restriction is that of no interaction between x and z . For the PLR model, the HPI are estimated -consistently with a two-stage procedure. For our data, x turns out to be (almost) mean-independent of z . This implies that least squares estimation (LSE) for models with a misspecified function for z is still consistent. The mean-independence also leads to an efficiency result that, under heteroskedasticity of unknown form, the two-stage PLR model estimator is at least as efficient as any LSE for models specifying (rightly or wrongly) the part for z . In addition to these, several interesting practical lessons are noted in doing the two-stage PLR model estimation. First, the cross validation (CV) used in the PLR model literature can fail if the mean-independence is ignored. Second, high order kernels can make the CV criterion function ill behaved. Third, product kernels work as well as spherically symmetric kernels. Fourth, nonparametric specification tests may work poorly due to a sample splitting problem with outliers in the data or due to choosing more than one bandwidth; in this regard, a test suggested by Stute (1997) and Stute et al. (1998) is recommended. 2003-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/499 info:doi/10.1111/1368-423x.00098 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Econometrics
spellingShingle Econometrics
Kondo, Y.
Lee, Myoung-jae
Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics
description Summary. We estimate hedonic price indices (HPI) for rental offices in Tokyo for the period 1985â€1991. We take a partially linear regression (PLR) model, linear in x (year dummies) and nonparametric in z (office quality characteristics), as our main model; the usual linear model is used as well. Since x consists of year dummies, the linearity in x is not a restriction in the PLR model; the only restriction is that of no interaction between x and z . For the PLR model, the HPI are estimated -consistently with a two-stage procedure. For our data, x turns out to be (almost) mean-independent of z . This implies that least squares estimation (LSE) for models with a misspecified function for z is still consistent. The mean-independence also leads to an efficiency result that, under heteroskedasticity of unknown form, the two-stage PLR model estimator is at least as efficient as any LSE for models specifying (rightly or wrongly) the part for z . In addition to these, several interesting practical lessons are noted in doing the two-stage PLR model estimation. First, the cross validation (CV) used in the PLR model literature can fail if the mean-independence is ignored. Second, high order kernels can make the CV criterion function ill behaved. Third, product kernels work as well as spherically symmetric kernels. Fourth, nonparametric specification tests may work poorly due to a sample splitting problem with outliers in the data or due to choosing more than one bandwidth; in this regard, a test suggested by Stute (1997) and Stute et al. (1998) is recommended.
format text
author Kondo, Y.
Lee, Myoung-jae
author_facet Kondo, Y.
Lee, Myoung-jae
author_sort Kondo, Y.
title Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics
title_short Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics
title_full Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics
title_fullStr Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics
title_full_unstemmed Hedonic Price Index Estimation under Mean Independence of Time Dummies from Quality-Characteristics
title_sort hedonic price index estimation under mean independence of time dummies from quality-characteristics
publisher Institutional Knowledge at Singapore Management University
publishDate 2003
url https://ink.library.smu.edu.sg/soe_research/499
_version_ 1770569192305590272