From California to Connecticut: Examining House Price Models for the USA.

Chaitra H. Nagaraja
The Wharton School

Abstract:

Models to predict house prices come in all flavors.  In the repeat sales
setup, homes that have been sold only once are omitted from the analysis.  
However, these single sales often constitute a substantial proportion of
the data.  The proposed repeat sales model eliminates this weakness.  The
model is composed of a fixed time effect combined with an autoregressive
component.  The latter piece is applied only to homes sold repeatedly
while the former component utilizes all of the data.  To evaluate the
proposed model, single-family home sales for twenty U.S. metropolitan
areas regions are analyzed.  The proposed model is shown to have better
predictive abilities than the established S&P/Case-Shiller model.  
Finally, the special case of Los Angeles, CA is discussed as an example of
history repeating itself in regards to the current housing market
meltdown.