search query: @author Knight, J. / total: 3
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| Author: | Hill, R. Knight, J. Sirmans, C. |
| Title: | Estimating capital asset price indexes |
| Journal: | Review of Economics and Statistics
1997 : MAY, VOL. 79:2, p. 226-233 |
| Index terms: | STATISTICS CAPITAL ASSETS PRICING |
| Language: | eng |
| Abstract: | This paper introduces an improved procedure for estimating capital asset price indexes. The authors jointly estimate conventional hedonic and repeat sales models via maximum-likelihood procedures, thereby taking advantage of the unique features of the individual models and using all the data that are available. This model captures depreciation within the repeat sales model and accounts for serial correlation in hedonic data. The improvement in precision obtained by estimating the joint model is illustrated by smaller standard errors and narrower interval estimates for the resulting price indexes. |
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