Browsing Biltoki by Author "Tusell, Fernando"
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Measuring the Effect of the Real Estate Bubble: a House Price Index for Bilbao
Bárcena Ruiz, María Jesús ; Menéndez, Patricia; Palacios, María Blanca; Tusell Palmer, Fernando Jorge (2011-11)A spatio-temporal model is proposed aimed at producing an index of housing prices. A hedonic model with geographically varying coefficients is coupled with a non parametric estimation of the trend, whence a price index is derived. -
Multiple imputation of time series: an application to the construction of historical price indexes
Time series in many areas of application, and notably in the social sciences, are frequently incomplete. This is particularly annoying when we need to have complete data, for instance to compute indexes as a weighted average ... -
Multivariate Data Imputation using Trees
We address the problem of completing two files with records containing a fully observed common subset of variables. The tecnique investigated involves the use of regression and/or classification trees. An extension of ... -
Predicting Betas: Two new methods
Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct ...