房价指数的测量误差差异

Darren Hayunga, R. Kelley Pace, Shuang Zhu, Raffaella Calabrese
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引用次数: 0

摘要

本文研究了在使用指数对房价进行长期建模时的测量误差。通过比较指数价格和实际交易价值,我们的分析表明,在许多情况下,广泛使用的指数显示出与指数值相关的测量误差。与预测因素相关的测量误差构成了数据生成过程(DGP)层面的 "差异测量误差"。我们进一步探讨了抵押贷款中存在的不同测量误差。我们的发现揭示了抵押贷款数据中存在的大量测量误差,这些误差不仅降低了模型的预测准确性,而且在变量的系数估计中引入了明显的偏差。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Differential Measurement Error in House Price Indices

Differential Measurement Error in House Price Indices

This article investigates measurement errors when using indices to model house prices over time. Our analysis, comparing index prices to actual transaction values, reveals that in many cases, widely-used indices display measurement errors correlated with the index values. Measurement error correlated with predictors constitutes “differential measurement error” at the level of the data generating process (DGP). We further explore the presence of differential measurement error within the context of mortgage lending. Our findings uncover substantial measurement errors in mortgage data, which not only diminish the predictive accuracy of models but also introduce notable biases in the coefficient estimates of variables.

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