calculate_hmts {cbsREPS}R Documentation

Calculate HMTS index (Hedonic Multilateral Time series re-estimation Splicing)

Description

Based on a hedonic model, an index is calculated in below steps. See also Ishaak, Ouwehand, Remoy & De Haan (2023). 1: for each period, average imputed prices are calculated with the first period as base period. 2: step 1 is repeated for every possible base period. This result in as many series of imputed values as the number of periods. 3: All series with imputed prices are re-estimated with a Kalman filter (also time series model/state space model) This step can be turned off with a parameter. 4: The series of imputed values are transformed into index series. 5: a specified (parameter) window is chosen of index figures that continues in the calculation. This step can be turned off with a parameter. 6: Of the remaining index figures, the geometric average per period is calculated. The remaining index figures form the final index.

Usage

calculate_hmts(
  dataset,
  period_variable,
  dependent_variable,
  continuous_variables,
  categorical_variables,
  reference_period,
  periods_in_year,
  production_since = NULL,
  number_preliminary_periods,
  number_of_observations,
  resting_points
)

Arguments

period_variable

variable in the dataset with the period

dependent_variable

usually the sale price

continuous_variables

vector with quality-determining continues variables (numeric, no dummies)

categorical_variables

vector with categorical variables (also dummy)

reference_period

period or group of periods that will be set to 100 (numeric/string)

periods_in_year

if month, then 12. If quarter, then 4, etc. (default = 4)

production_since

1 period in the format of the period_variable. See description above (default = NULL)

number_preliminary_periods

number of periods that the index is preliminary. Only works if production_since <> NULL. default = 3

number_of_observations

number of observations per period (default = TRUE)

resting_points

should analyses values be returned? (default = FALSE)

Details

Parameter 'production_since': To simulate a series, where 1 period a time expires (as in production), a manual choice in the past is possible. Until this period, all periods are imputed. After that, 1 period is added.

Parameter 'resting_points': If TRUE, the output is a list of tables. These tables can be called with a $ after the output. $Index table with periods, index and number of observations $Window table with the index figures within the chosen window $Chosen_index_series table with index series before the window splice $Matrix_HMTS_index table with index series based on re-estimated imputations (time series model) $Matrix_HMTS table with re-estimated imputations (time series model) $Matrix_HMTS_index table with index series based on estimated imputations (hedonic model) $Matrix_HMTS table with estimated imputations (time series model) $Matrix_HMTS_analyse table with diagnostic values of the time series model per base period

Value

$Matrix_HMTS_index table with index series based on estimations with time series re-estimations $Matrix_HMTS table with estimated values based on time series re-estimations $Matrix_HMS_index table with index series based on estimations with the hedonic model $Matrix_HMS table with estimated values based on the hedonic model $Matrix_HMTS_analysis table with analysis values of the time series model per base period

table with periods, index (and optional confidence intervals) and number of observations. If resting_points = TRUE, then list with tables. See general description and examples.

Author(s)

Farley Ishaak


[Package cbsREPS version 0.1.0 Index]