Local Economic Conditions and Repeat-Sale Indices Performance: Evidence from a Moderation Effect Specification

References

• Aiken, L. S., West, S. G., & Reno, R. R. (1991). Multiple regression: Testing and interpreting interactions. SAGE.
   Google Scholar
• Arellano, M., & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58(2), 277–297.
   Web of Science ®Google Scholar
• Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68(1), 29–51.
   Web of Science ®Google Scholar
• Arias, M. A., Gascon, C. S., & Rapach, D.E. (2014). Metro business cycles [Working Paper 2014-046C]. Federal Reserve Bank of St. Louis.
   Google Scholar
• Arias, M. A., Gascon, C. S., & Rapach, D. E. (2016). Metro business cycles. Journal of Urban Economics, 94, 90–108.
   Web of Science ®Google Scholar
• Bailey, M. J., Muth, R. F., Nourse, H. O. (1963). A regression method for real estate price index construction. Journal of the American Statistical Association, 58, 933–942.
   Google Scholar
• Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143.
   Web of Science ®Google Scholar
• Carrillo, P. E., de Wit, E. R., & Larson, W. (2015). Can tightness in the housing market help predict subsequent home price appreciation? Evidence from the United States and the Netherlands. Real Estate Economics, 43(3), 609–651.
   Web of Science ®Google Scholar
• Case, K. E., & Shiller, R. J. (1987). Prices of single family homes since 1970: New indexes for four cities. New England Economic Review, 45–56.
   Google Scholar
• Case, K. E., & Shiller, R. J. (1989). The efficiency of the market for single-family homes. American Economic Review, 79 (1), 125–137.
   Web of Science ®Google Scholar
• Case, K. E., & Shiller, R. J. (1994). A decade of boom and bust in the prices of single-family homes: Boston and Los Angeles, 1983 to 1993. New England Economic Review, (Mar), 40–51.
   Google Scholar
• Clayton, J., Miller, N., & Peng, L. (2010). Price-volume correlation in the housing market: Causality and co-movements. Journal of Real Estate Finance and Economics, 40(1), 14–40.
   Web of Science ®Google Scholar
• Cotter, J., & Roll, R. (2015). A comparative anatomy of residential REITs and private real estate markets: Returns, risks and distributional characteristics. Real Estate Economics, 43(1), 209–240.
   Web of Science ®Google Scholar
• De Wit, E. R., Englund, P., & Francke, M. K. (2013). Price and transaction volume in the Dutch housing market. Regional Science and Urban Economics, 43(2), 220–241.
   Web of Science ®Google Scholar
• Dröes, M. I., & Francke, M. K. (2018). What causes the positive price-turnover correlation in European housing markets? Journal of Real Estate Finance and Economics, 57(4), 618–646.
   Web of Science ®Google Scholar
• Fisher, J., Gatzlaff, D., Geltner, D., & Haurin, D. (2003). Controlling for the impact of variable liquidity in commercial real estate price indices. Real Estate Economics, 31(2), 269–303.
   Web of Science ®Google Scholar
• Gatzlaff, D. H., & Haurin, D. R. (1997). Sample selection bias and repeat-sales index estimates. Journal of Real Estate Finance and Economics, 14(1), 33–50.
   Web of Science ®Google Scholar
• Gatzlaff, D. H., & Haurin, D. R. (1998). Sample selection and biases in local house value indices. Journal of Urban Economics, 43(2), 199–222.
   Web of Science ®Google Scholar
• Giannetti, A. (2018a). Does temporal aggregation explain the persistence of the S&P/Case‐Shiller Indices? Evidence from a longitudinal specification. Real Estate Economics, 46(3), 559–581.
   Web of Science ®Google Scholar
• Giannetti, A. (2018b). Home sales pair counts: The organic metric for trading volume in housing markets. Real Estate Economics, 49(2), 610–634.
   Google Scholar
• Glaeser, E. L., Gyourko, J., Morales, E., & Nathanson, C. G. (2014). Housing dynamics: An urban approach. Journal of Urban Economics, 81, 45–56.
   Web of Science ®Google Scholar
• Goetzmann, W., & Peng, L. (2006). Estimating house price indexes in the presence of seller reservation prices. Review of Economics and Statistics, 88(1), 100–112.
   Web of Science ®Google Scholar
• Hansen, L. P., & Singleton, K. J. (1982). Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica: Journal of the Econometric Society, 1269–1286.
   Web of Science ®Google Scholar
• Heckman, J. J. (1979). Sample selection bias as a specification error. Econometrica, 47, 153–161.
   Google Scholar
• Hendershott, P. H., Lee, J. M., & Shilling, J. D. (2015). The 2005–2011 housing boom and bust: Impacts on housing turnover and implications for the recovery. Journal of Real Estate Research, 37(4), 471–498.
   Web of Science ®Google Scholar
• Love, I., & Zicchino, L. (2006). Financial development and dynamic investment behavior: Evidence from panel VAR. Quarterly Review of Economics and Finance, 46(2), 190–210
   Google Scholar
• Newey, W. K. & West, K. D. (1987). A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708.
   Web of Science ®Google Scholar
• Newey, W. K., & West, K. D. (1994). Automatic lag selection in covariance matrix estimation. Review of Economic Studies, 61(4), 631–653.
   Web of Science ®Google Scholar
• Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The Stata Journal, 9(1), 86–136.
   Web of Science ®Google Scholar
• Shi, S., Young, M., & Hargreaves, B. (2010). House price–volume dynamics: Evidence from 12 cities in New Zealand. Journal of Real Estate Research, 32(1), 75–100.
   Web of Science ®Google Scholar
• Shiller, R. J. (1991). Arithmetic repeat sales price estimators. Journal of Housing Economics, 1(1), 110–126.
   Google Scholar
• Stein, J. C. (1995). Prices and trading volume in the housing market: A model with down-payment effects. Quarterly Journal of Economics, 110(2), 379–406.
   Web of Science ®Google Scholar
• Titman, S., Wang, K., & Yang, J. (2014). The dynamics of housing prices. Journal of Real Estate Research, 36(3), 283–318.
   Web of Science ®Google Scholar
• van Dijk, D. W., & Francke, M. K. (2018). Internet search behavior, liquidity and prices in the housing market. Real Estate Economics, 46(2), 368–403.
   Web of Science ®Google Scholar
• Wallace, N. E., & Meese, R. A. (1997). The construction of residential housing price indices: a comparison of repeat-sales, hedonic-regression, and hybrid approaches. Journal of Real Estate Finance and Economics, 14(1), 51–73.
   Web of Science ®Google Scholar