This article reviews the state of the art in real estate price indexing and the state of knowledge about real estate price dynamics, with a focus on investment property, or income-generating commercial property. Investment properties form a large component of the national wealth and of capital...

This article reviews the state of the art in real estate price indexing and, related to that, the current state of knowledge about real estate price dynamics, with a primary focus on investment property, income generating commercial properties. Such assets form a large component of the national...

The general purpose of a dynamic factor model (DFM) is to summarize a large number of time series into a few common factors. Here we explore a number of DFM specifications applied to 80 granular, non-overlapping indexes of commercial property prices in the US, quarterly from 2001 to 2017. We...