Illiquid assets are widely spread within the economy but their indices are difficult to measure. This paper proposes a Generalized Method of Moment (GMM) repeat sales regression for estimating illiquid asset price indices. This method has estimators that are arithmetic averages of individual...

This paper analyzes the implications of cross-sectional heteroskedasticity in the repeat sales regression (RSR). RSR estimators are essentially geometric averages of individual asset returns because of the logarithmic transformation of price relatives. We show that the cross-sectional variance...