• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Boundary effects and repeat-sales

Thumbnail
View/Open
BERSI.doc (556.5Kb)
Date
2009
Publisher city
Paris
Publisher
Université Paris-Dauphine
Dewey
Marketing
Sujet
Optimal parameters; Boundary effects; Repeat-sales; Sensitivity analysis
JEL code
M11; M31
URI
https://basepub.dauphine.fr/handle/123456789/527
Collections
  • DRM : Publications
Metadata
Show full item record
Author
Simon, Arnaud
Type
Document de travail / Working paper
Item number of pages
49
Abstract (EN)
We study in this article the consequences of the double censoring (right and left) applied on every sample of repeat-sales before calculating a repeat-sales index. We show that, independently of the specificities of each dataset, there exist some intrinsic features for this kind of index that directly depend on the censoring mechanism. Working with the standard deviation of the estimator and the well known bias of the Cass, Shiller model we bring to fore a time structure for these two quantities. Their behaviour is different near the edges of the interval compared to the middle, and this phenomenon is generally more pronounced for the right side than for the left side. A sensitivity analysis is developed using a “neutral sample” in order to study the way this U-shape evolve in relation with the fundamental parameters. With this analysis we also try to determine the optimal length of the estimation interval, the consequences of the data dispersion and the impact of the liquidity levels in the market (number of goods sold at each date and resale speed).

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.