1 A Comparison of Estimators of Capital Asset Price Indexes * Alicia N Rambaldi 1 , R. Carter Hill 2 , John R. Knight 3 1 School of Economics. University of Queensland. St Lucia, QLD 4072. Australia. Email: a.rambaldi@uq.edu.au (corresponding author) 2 Department of Economics. 2107 CEBA. Louisiana State University. Baton Rouge, LA 70803. Email: eohill@lsu.edu 3 Real Estate Institute. Eberhardt School of Business, University of the Pacific. Stockton, CA 95211. Email: jknight@uop.edu Abstract The two basic models used for constructing price indexes for durable assets (such us real estate assets) have been the hedonic and repeated sales models. Case and Quigley (1991)-CQ proposed a generalized least squares (GLS) procedure to estimate a combined (single and repeated sales information) model (CSRS). Hill, Knight and Sirmans (1997)-HKS proposed a maximum likelihood procedure to estimate the CSRS accounting for the autocorrelated error process in the hedonic model. Rambaldi, Hill and Doran (2003)-RHD proposed a methodology based on interpolating incomplete observations. The sale price of a particular asset, a house for instance, can be viewed as an incomplete time series since the price is observed only when a sale occurs. The method proposed by RHD can estimate a CSRS model with autocorrelated errors using a maximum likelihood estimator. It improves on HKS in that it also produces time-space consistent interpolations (models prediction of repeated sales always equal the actual observations) and explicitly estimates a cross-sectional correlation parameter. The present paper compares RHD to traditional estimators as well as the HKS estimator through a simulation experiment. Keywords: price indexes estimators, incomplete panels, Monte Carlo simulation. JEL Classification: C33, C15 DRAFT ONLY. PLEASE DO NOT QUOTE WITHOUT AUTHORS PERMISSION. Paper prepared for the Australasian Meetings of the Econometric Society 2003. Version: 7 July 2003 * The authors would like to acknowledge the valuable discussions with H.E. Doran and D.S.P Rao during the completion of this early draft. All remaining errors are ours.