Does Temporal Aggregation Explain the Persistence of the S&P/Case-Shiller Indices? Evidence from a Longitudinal Specification

《Does Temporal Aggregation Explain the Persistence of the S&P/Case-Shiller Indices? Evidence from a Longitudinal Specification》

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关键字: HOUSE PRICE INDEXES; PANEL-DATA; SAMPLE SELECTION; REPEAT-SALES; CONSTRUCTION; REGRESSION; MARKET; VARIABLES; RETURNS; MODELS

作者单位: [Giannetti, Antoine] Florida Atlantic Univ, Coll Business, Boca Raton, FL 33431 USA. Giannetti, A (reprint author), Florida Atlantic Univ, Coll Business, Boca Raton, FL 33431 USA. E-Mail: giannett@fau.edu

摘要: Temporal aggregation is a repeat sale index construction methodology that consists of aggregating paired-transactions in a moving-average window. In particular, the methodology is used to calculate the popular S&P/Case-Shiller home price indices. In this article, I focus the insights of the literature on measurement error to demonstrate that temporal aggregation produces idiosyncratic biases in predictive regression slopes. I further estimate a dynamic instrumental variable (IV) panel for the 20 S&P/Case-Shiller metro areas. The main empirical finding is that temporal aggregation is a short-lived statistical disturbance that does not explain the homogenous robust persistence of the indices.