Rolling-Time-Dummy House Price Indexes: Window Length, Linking and Options for Dealing with Low Transaction Volume

Abstract Rolling-time-dummy (RTD) is a hedonic method used by number of countries to compute their official house price indexes (HPIs). The RTD requires less data and more adaptable than other methods, which makes it well suited for computing higher frequency HPIs (e.g., monthly or weekly). In this article, we address three key issues relating RTD. First, develop determining the optimal length rolling window. Second, consider variants on standard way linking current period with earlier periods, show how can be determined. Third, propose ways modifying make robust periods low transaction volume. These modifications could prove useful using in HPIs.