Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "7877"
  #_source: array:26 [
    "id" => "7877"
    "slug" => "a-pca-factor-repeat-sales-index-1973-2001-to-forecast-apartment-prices-in-paris"
    "yearMonth" => "2005-02"
    "year" => "2005"
    "title" => "A PCA Factor Repeat Sales Index (1973-2001) to Forecast Apartment Prices in Paris"
    "description" => "BARONI, M., BARTHELEMY, F. et MAHDI, M. (2005). <i>A PCA Factor Repeat Sales Index (1973-2001) to Forecast Apartment Prices in Paris</i>. ESSEC Business School."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "BARONI Michel"
        "bid" => "B00000023"
        "slug" => "baroni-michel"
      ]
      1 => array:2 [
        "name" => "BARTHELEMY Fabrice"
        "bid" => "B00006901"
      ]
      2 => array:1 [
        "name" => "MAHDI M."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Dans ce document de travail, nous cherchons à construire un indice immobilier en suivant une méthode de " ventes répétées ", fondé sur des facteurs explicatifs. Il s'agit d'une prolongation du Working paper Baroni, Barthélémy et Mokrane (2001 et 2004, BBM) dans lequel nous avons construit un indice factoriel comme une fonction linéaire de variables économiques et financières. Ici, nous présentons un modèle plus général et plus robuste fondé sur une analyse en composantes principales (ACP). Nous appliquons cette méthodologie au marché de l'immobilier d'habitation parisien. Nous utilisons la base CD-BIEN qui contient plus de 220 000 transactions en ventes répétées sur des appartements à usage d'habitation de la région parisienne sur la période 1973-2001. Cet indice fondé sur une ACP est estimé, puis ses caractéristiques et sa robustesse sont analysées par rapport aux éléments suivants : période d'estimation, choix des observations, périodicité et réversibilité. Nous le comparons ensuite à l'indice classique sur ventes répétées (WRS) développé par Case et Shiller (1987). Finalement, nous montrons que contrairement à l'indice WRS, l'indice proposé peut être utilisé pour faire des prévisions sur l'évolution des prix des appartements"
      "en" => "In this paper we address the issue of building a repeat sales index, based on factors. This is an extension of a companion paper, Baroni, Barthélémy and Mokrane (2001, BBM) in which we had built a factorial index as a selected linear function of existing economics and financial variables. Here we offer a more general and robust model based on a Principal Components Analysis (PCA).  We apply this methodology to the Paris residential market. We use the CD-BIEN database that contains more than 220 000 repeat sales transactions for residential apartments in the Paris area covering the period 1973-2001 period.  Our PCA index for the Paris and close surrounding area is estimated and its characteristics and robustness are analysed depending on: estimation period, choice of observations, periodicity and reversibility. We then compare it to the traditional WRS repeat sales index developed by Case & Shiller (1987). Finally we show that contrary to the WRS index, our index can be used to forecast apartment prices."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-12-22T04:21:46.000Z"
    "docTitle" => "A PCA Factor Repeat Sales Index (1973-2001) to Forecast Apartment Prices in Paris"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/baroni-michel">BARONI Michel</a>, BARTHELEMY Fabrice, MAHDI M."
    "docDescription" => "<span class="document-property-authors">BARONI Michel, BARTHELEMY Fabrice, MAHDI M.</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2005</span>"
    "keywordList" => ""
    "docPreview" => "<b>A PCA Factor Repeat Sales Index (1973-2001) to Forecast Apartment Prices in Paris</b><br><span>2005-02 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">A PCA Factor Repeat Sales Index (1973-2001) to Forecast Apartment Prices in Paris</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.471776
  +"parent": null
}