This paper studies improvements of multivariate local linear regression. Two intuitively appealing variance reduction techniques are proposed. They both yield estimators that retain the same asymptotic conditional bias as the multivariate local linear estimator and have smaller asymptotic...

This paper characterizes the behavior of and evaluates competing explanations for time variation in private real estate market liquidity documented in Fisher et al. (2003). In the first, sellers base their estimates of value on observations of signals from the market, but the presence of noise...

Empirical likelihood for general estimating equations is a method for testing hypothesis or constructing confidence regions on parameters of interest. If the number of parameters of interest is smaller than that of estimating equations, a profile empirical likelihood has to be employed. In case...

Since its introduction by Owen in [29, 30], the empirical likelihood method has been extensively investigated and widely used to construct confidence regions and to test hypotheses in the literature. For a large class of statistics that can be obtained via solving estimating equations, the...

Municipal governments in China established direct control of the supply of urban land in August 2004. This paper examines whether this government action mitigates the efficiency of the residential land market. Using a unique data set of detailed land and residential community transactions with...

This paper examines the dynamics of the covariance matrix of return rates for securitized real estate, other company stocks, and government bonds for a cross-section of eight countries. In-sample analysis establishes that in all countries the covariance matrix is time-varying and reacts stronger...

This paper proposes a generalized repeat sales regression (GRSR) that uses repeat sales from the entire market, in which properties may have heterogeneous value appreciation processes, to estimate price indices for not only the entire market, but also submarkets or customized portfolios of...