Robert Hill

• PhD
• University of Graz

There is a broad consensus in international statistical organizations such as Eurostat and the Interna-tional Monetary Fund that house price indices (HPIs) should be constructed using transaction data.We show here how transaction data for new-built properties can undermine the timeliness of hedonicHPIs when new-built properties are pre-sold during...

Owner-occupied housing (OOH) is currently excluded from the harmonizedindex of consumer prices (HICP) in Europe. Using microlevel data for Syd-ney and aggregated data for the United States, France, and Germany, wecompare the impact of alternative treatments of OOH on measured inflation.We recommend including OOH in the HICP using a simplified versi...

We survey some recent developments in the literature on hedonic price indices for housing. The main classes of hedonic methods are presented along with some new methods that have become popular recently. A number of new approaches are then considered for controlling for location in hedonic models. Next we consider how hedonic models can be used to...

Accurate house price indexes allow governments and planners to make more effective decisions with regard to land use policy. We compare different ways of computing house price indexes for Warsaw over the period 2006-2018 using a detailed micro-level dataset of 101,182 transactions. We find that when a hedonic approach is used, the resulting index i...

In this paper, we provide novel evidence on the additional costs associated with smoking. While it may not be surprising that smokers pay a rent premium, we are the first to quantify the size of this premium. Our approach is innovative in that we use text mining methods that extract implicit information on landlords’ attitudes to smoking directly f...

Rolling-time-dummy (RTD) is a hedonic method used by a number of countries to compute their official house price indexes (HPIs). The RTD method requires less data and is more adaptable than other hedonic methods, which makes it well suited for computing higher frequency HPIs (e.g., monthly or weekly). In this article, we address three key issues re...

There is a broad consensus in international statistical organizations such as Eurostat, the European Central Bank, and the International Monetary Fund that price indices should be constructed using transaction data. However, transaction data often lag behind actual market developments in the primary housing market (i.e., the market for new-builds)...

We compute hedonic quality-adjusted price-rent ratios for residential housing in Shanghai. Our method corrects for selection into owner-occupied housing and for omitted variables. We find that quality adjustment reduces the price-rent ratio by 14 percent. Even so, a price-rent ratio of 70 in 2017 is still very high by international standards. In cr...

The hedonic imputation method allows characteristic shadow prices to evolve over time. These shadow prices are used to construct matched samples of predicted prices, which are inserted into standard price index formulas. We use a spatio-temporal model to improve the method’s effectiveness on housing data at higher frequencies. The problem is that a...

Automated Valuation Models (AVMs) based on Machine Learning (ML) algorithms are widely used for predicting house prices. While there is consensus in the literature that cross-validation (CV) should be used for model selection in this context, the interdisciplinary nature of the subject has made it hard to reach consensus over which metrics to use a...

Commercial property price indices (CPPIs) are needed to monitor financial stability, guide investment decisions by firms, and improve national accounts. Due to a lack of suitable data, however, reliable CPPIs are often hard to construct. Here we survey the current state of the CPPI literature and assess the contribution of the recently published Eu...

Automated Valuation Models (AVMs) based on Machine Learning (ML) algorithms are widely used for the prediction of house prices. While there is consensus in the literature that cross-validation (CV) should be used for model selection in this context, the question of which performance metrics to use is generally neglected. Here we collect the most co...

This paper outlines and applies a methodology for estimating and examining the variation in risk and return for individual homes. This is important because most households own individual properties and the risk and return profile of each of these may differ. We use large data sets of home prices and rents for Sydney, Australia, from 2002-16, and es...

Since 2012, Eurostat requires the national statistical institutes (NSIs) in all European Union (EU) countries to compute official House Price Indices (HPIs) at a quarterly frequency. Eurostat recommends computing the HPI using a hedonic method. Most NSIs have followed this advice, although they differ in their choice of method. Some NSIs use strati...

The full text is downloadable via https://www.persee.fr/doc/estat_0336-1454_2018_num_500_1_10844

International comparisons of the purchasing power of currencies and real income across countries often use as building blocks bilateral comparisons between all possible pairs of countries. These bilaterals are then combined to obtain the overall global comparison. One problem with this approach is that some of the bilateral comparisons are typicall...

Determining how and when to use geospatial data (i.e. longitudes and latitudes for each house) is probably the most pressing open question in the house price index literature. This issue is particularly timely for national statistical institutes (NSIs) in the European Union, which are now required by Eurostat to produce official house price indexes...

Purpose This study aims to show how hedonic methods can be used to compare the performance of the public and private sector housing markets in Costa Rica. Design/methodology/approach Hedonic price indexes are computed using the adjacent-period method. Average housing quality is measured by comparing hedonic and median price indexes. The relative p...

The International Comparisons Program (ICP) compares the purchasing power of currencies and real income across countries. ICP is broken up into six regions. Global results are then obtained by linking these regions together at both basic heading level and the aggregate level in a way that satisfies within-region fixity (i.e., the relative parities...

Using data for 113 countries covering the period 1980–2005 we show how international comparisons of income inequality and the way it changes over time are inherently sensitive to (i) the choice of multilateral price index formula used to convert per capita incomes into units of the same currency, (ii) the approach (if any) used for reconciling spat...

The International Comparisons Program (ICP) run by the World Bank compares prices and real incomes across countries, and plays a pivotal role in the Penn World Table. Using a unique dataset consisting of over 600,000 price quotes from nine countries in the Asia-Pacific region, we consider ways of improving the basic heading price indexes that form...

Every house is different. It is important that house price indexes take account of these quality differences. Hedonic methods which express house prices as a function of a vector of characteristics (such as number of bedrooms and bathrooms, land area and location) are particularly useful for this purpose. I consider here some developments in the he...

We construct new measures of fund style, performance and activity from linear combinations of off-the-shelf stock-market indices. A fund's benchmark portfolio is a linear combination of two or more reference portfolios that in a least-squares sense most closely approximates the fund's portfolio. The resulting linear combination scalar is itself a m...

Departures of the housing market from equilibrium can be detected by comparing the actual price-rent ratio with the user cost of owner occupying. Empirical implementation of this idea, however, is problematic for two reasons. First, the price-rent ratio needs to be quality adjusted. Second, the expected capital gain -- an important input into the u...

The International Comparisons Program (ICP) run by the World Bank compares the purchasing power of currencies and real income across countries. Using a unique data set consisting of over 600,000 ICP price quotes drawn from nine countries in the Asia-Pacific region, we consider a number of ways of improving the basic heading price indexes that form...

Every house is different. It is important that house price indexes take account of these quality differences. Hedonic methods which express house prices as a function of a vector of characteristics (such as number of bedrooms and bathrooms, land area and location) are particularly useful for this purpose. In this report I consider some of the devel...

We propose a new approach for measuring mutual fund style and constructing characteristic-matched performance benchmarks that requires only portfolio holdings and two reference portfolios in each style dimension. The characteristic-matched performance benchmark literature typically follows a bottom-up approach by first matching individual stocks wi...

Three important current areas of research in the field of international comparisons are the construction of price indexes at the basic heading level, price indexes at higher levels of aggregation, and the linking of comparisons across regions. We consider recent innovations in each of these areas. These innovations have largely arisen out of Intern...

The Sydney housing market peaked in 2003. The period 2001–2006 is, therefore, of particular interest since it captures a boom and bust in the housing market. We compute hedonic, repeat-sales and median price indexes for five regions in Sydney over this period. While the three approaches are in broad agreement regarding the timing of the turning poi...

Van Veelen and van der Weide (2008) in a recent paper provided some interesting new perspectives on the index number problem. However, the present paper argues that their definitions of a true index and an exact index are different from the standard definitions in the literature. The differences between the various approaches is explained in the pr...

We propose a flexible hedonic methodology for computing house price indexes that uses multiple imputation (MI) to account for missing data (a huge problem in housing data sets). Ours is the first study to use MI in this context. We also allow for spatial correlation, include interaction terms between characteristics, between regions and periods, an...

We show that a strong linear relationship exists between income and house price quantiles in Sydney (Australia), Houston, and the state of Texas. This suggests that the house price distribution is closely approximated by the income distribution after a location-scale transformation. The slope of the line changes over time in response to changes in...

We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction methodology is extremely flexible, and allows the ind...

We draw a distinction between the concepts of purchase affordability (whether a household is able to borrow enough funds to purchase a house) and repayment affordability (the burden imposed on a household of repaying the mortgage). We operationalize this distinction in the context of a new methodology for constructing affordability measures that dr...

"In this study, we show how use of the hedonic imputation method complicates the price index problem. In addition to the usual choice between formulas such as Fisher and Törnqvist, the fact that index compilers have some discretion over which prices are imputed implies that it is necessary to choose as well between different varieties of each formu...

What Is A Model?Model BuildingModel CharacteristicsModel DynamicsDynamic OptimizationDynamics And Environmental And Resource Economics

IntroductionA Simple Comparative Advantage Model Of Trade And The EnvironmentAn Extended Model Of Trade And The EnvironmentGlobal Pollution And Free TradeImperfect Competition, Trade, And EnvironmentEmpirical Evidence

IntroductionWhen The Boat Comes InBiology And Dynamics Of FisheriesEconomics Of FishingFisheries ManagementFishing For The FutureFurther Reading

IntroductionWater Demand And SupplyThe Static Allocation Of WaterDynamic Allocation Of WaterWater Allocation In PracticeWater QualitySummary

What Is A Property Right?Characteristics Of Property RightsEfficiency And ExternalitiesExternalities And Property RightsThe Coase TheoremLegal RightsRights And WrongsA Right Way?

IntroductionThe World's ForestsBiological And Economic Aspects Of ForestsCurrent Forest Issues

IntroductionEconomics Of MiningRunning On Empty?Resources And RentsBetween A Rock And A Hard Place

What Are The Global Commons?What Makes Resources Common Property?Modeling Interaction Between CountriesIssues In ModelingTackling The Problems Of The Global CommonsFuture Issues

IntroductionDefinitions Of Biological DiversityImportance Of Biodiversity To HumansValuing Biodiversity LossCauses Of Biodiversity Loss And Policy Responses

An Introduction To National AccountsGdp, Ndp, And Sustainable DevelopmentThe Treatment Of Defensive Expenditure And Clean-Up CostsDeficiencies Of The System Of National AccountsWhy Is Natural Capital Excluded From The Capital Account Of The Sna?Operationalizing The Concept Of DepletionMeasuring The Wealth Of NationsMeasuring WelfareConclusion

IntroductionMarket Behavior And Welfare MeasuresValues Revealed Through Travel Behavior: Traditional Travel Cost ModelsAttribute Based Models - Random Utility ModelsCombining Traditional And Attribute Based ModelsAttribute Based Models: Hedonic Price MethodsA Digression On The Valuation Of Health EffectsModels Of Changes In Production/Cost/ProfitCo...

IntroductionWhy Value Environmental Amenities?A Typology Of Environmental ValuesTheoretical Underpinnings Of Environmental ValuationUncertainty And Welfare EstimatesValuing The Environment

IntroductionThe Environment: Doom Or Boon?Human Activities And The EnvironmentSustaining The EnvironmentModeling Economic Growth And The EnvironmentPopulation And The EnvironmentA Way Forward

The Big PictureEnvironmental ManagementManaging Our Future

IntroductionThe Contingent Valuation Method Attribute Based Stated Choice Methods

IntroductionAn Efficient Level Of PollutionComparing Methods Of Pollution ControlCommand-And-Control Methods Pollution Charges And SubsidiesMarketable Emission PermitsOther ApproachesPutting It All TogetherFurther Reading

Panel hedonic comparisons can be made using the region-time-dummy method. This method is a natural extension of the well known time-dummy and region-dummy methods which have been used extensively in the hedonic literature. We show that these methods are all affected by substitution bias, which can seriously distort their results. We propose an alte...

The International Comparisons Program (ICP) compares the purchasing power of currencies through a series of regional comparisons that are then linked together to obtain results at the global level. This process of regionalization complicates the construction of price indexes by essentially forcing the adoption of a two-stage approach. In previous r...

The nature and quality of housing price statistics have come under increased scrutiny as dwelling prices have risen significantly around the world. This has occurred nowhere more so than in Australia where the reliability of ocial measures of housing prices have been questioned. In this paper we use a large transactions data set on housing prices a...

It is generally believed that chaining reduces the Paasche-Laspeyres spread if prices and quantities are monotonic over time. I consider three alternative definitions of monotonicity and show that none provide either necessary or sufficient conditions for chaining to reduce the Paasche-Laspeyres spread. What matters is the interaction between price...

Various multilateral methods for computing price indexes use bilateral comparisons as their basic building blocks. Some give greater weight to those bilateral comparisons deemed more reliable. However, none of the existing reliability measures adjusts for gaps in the data. We show how the standard errors on bilateral price indexes derived using wei...

A vast and often confusing economics literature relates competition to investment in innovation. Following Joseph Schumpeter, one view is that monopoly and large scale promote investment in research and development by allowing a firm to capture a larger fraction of its benefits and by providing a more stable platform for a firm to invest in R&D. Ot...

The construction of spatial benchmark estimates of dierences in per capita income across countries is more complicated and more important than is generally recognized in the convergence literature. Using data from the International Comparisons Program (ICP) for the years 1980, 1985 and 1996, and national growth rate data from the IMF it is shown th...

The hedonic imputation method can be used to construct price indexes over incompletely matched varieties of products. We show how use of the hedonic imputation method complicates the price index problem. In addition to choosing between different formulas such as Fisher and Törnqvist, it is also necessary to choose between different varieties of eac...

Failure to separate unexpected capital gains and losses on natural assets from depletion breaks the link between Net National Product (NNP) and sustainability. For resource rich countries this can lead to large spurious fluctuations in NNP, making it virtually useless for policy purposes. In contrast, when depletion is measured correctly, the link...

A new axiom for price indexes is proposed, referred to here as monotonicity in price relatives. This axiom requires that if prices of all goods and services rise more in country A than in country B, then the price index for A must exceed that for B. Although monotonicity in price relatives seems fundamental, all the main weighted price index formul...

A firm may be different from other firms either in terms of the mix or scale of its input-output vector. This paper develops separate mix and scale measures of dissimilarity, and shows that these can be additively aggregated into a measure of absolute dissimilarity. The mix measure is particularly relevant in the context of frontier analysis since...

This paper considers the problem of how to construct and reconcile price indexes across space and time. A general taxonomy of panel price index methods, containing four broad classes, is proposed, along with five criteria for discriminating between them. Methods from each of the four classes are then used to compute spatial and temporal price index...

A number of multilateral methods for computing price indexes use bilateral comparisons as their basic building blocks. Some of these methods, such as the weighted-EKS and minimum-spanning-tree (MST) methods, give greater weight to those bilateral comparisons that are deemed more reliable (an adjustment that is particularly important for a heterogen...

A theoretical framework for the measurement of income under uncertainty is developed that addresses some long-standing controversies about the treatment of capital gains. The consequences for economic analysis and policy making are potentially serious, because the treatment of capital gains can significantly affect some major macroeconomic aggregat...

The conventional approach of economists to the measurement of poverty in poor countries is to use measures of income or consumption. This has been challenged by those who favour broader criteria for poverty and its avoidance. These include the fulfilment of .basic needs., the .capabilities. to be and to do things of intrinsic worth, and safety from...

We examine the conceptual and empirical basis of the environmental Kuznets curve. From both perspectives, the relationship lacks firm foundations. In particular, the empirical relationship is shown to be highly sensitive to the choice of pollutant, sample of countries and time period. This strongly suggests that there is an omitted variables proble...

This paper considers the problem of how to construct price indexes on a panel data set. First a suitable panel data set is constructed by merging Eurostat’s Harmonized Index of Consumer Prices (HICP) with a cross-section of OECD data. Second, seven different methods for constructing price indexes on a panel are proposed. These are then applied to t...

It is shown how most methods of measuring inflation and growth have an underlying spanning tree. The spanning tree whose resulting inflation (growth) estimates are least sensitive to the choice of index number formula can be computed using Kruskal's minimum spanning tree algorithm. Applying this algorithm to American, British, and Australian data s...

This paper shows that additive purchasing power parity (PPP) methods, such as Geary–Khamis, are subject to substitution bias. As a result, Geary–Khamis comparisons tend to underestimate per capita income differentials across countries. The magnitude of the bias is measured for a cross-section of 64 countries, using International Comparison Programm...

The results of purchasing power parity (PPP)-based comparisons of income across countries can be quite sensitive to the choice of index number formula. Tighter bounds on per capita income differentials can be constructed either by assuming homothetic preferences, or by estimating a demand system. Both approaches are used to construct bounds on per...

It is shown how a comparison of price levels across a group of countries can be made by chaining bilateral price indexes across a spanning tree. It is argued that we should use the spanning tree whose resulting multilateral price indexes are least sensitive to the choice of bilateral formula. This minimum-spanning tree can be easily computed using...

A taxonomy of multilateral methods is developed. All the main methods are classified within the taxonomy. It is then shown that methods in the same class share many of the same properties. Therefore, the taxonomy should help practitioners to appreciate the wide range of alternative methods for making international comparisons, the relationships bet...

This article demonstrates the compelling case for using the geometric mean formula for splicing overlapping index number series. The justification for using the geometric mean rests on the fact that it is the only symmetric mean formula that generates a spliced series that is invariant to rescaling of the original series.

The diversity of a set of products can be defined as a function of the bilateral distances between its elements. We show how these bilateral distances can be represented by parameters in a utility function and measured from observable data.