1. Compiling a National House Price Index for Ireland
Niall O’Hanlon

2. Preface
Index compilation is ongoing and comments, criticisms and suggestions are welcome!

3. Data Mortgage data provided by lenders
67 variables of which 15 relate to the property mortgaged
Monthly records account for over 60% of total volume and value of new mortgages where property acquired in Ireland
Main lenders included

4. Relevant Variables
Transaction type – private purchase or with government subsidy
Agreed purchase price of the property
County of location (26 administrative regions)
City indicator (for 4 cities excluding Dublin)
Postcode, where relevant (for Dublin only)
Newly built property indicator
Year of Build
Dwelling Type (detached, semi detached, terraced, flat or bungalow
Construction type (brick/block, timber frame or pre-cast concrete)
Floor area
Plot size (land)
Number of rooms
Number of bedrooms
Use of Property
Price at drawdown (only 0.04% of records have a different value for this where populated)

5. Data Quality
7 different mortgage lenders providing data with varying levels of quality and engagement
Overall data quality is disappointing
A number of problems
Subset of all mortgage transactions, which is a subset of entire market
Duplicate records (both pure and partial) (typically 1%-3% of records)
Missing values
Illogical, inconsistent implausible values
Outliers
Lack of micro location variable for outside Dublin metropolitan area

6. Failure Edits

7. All Edits

8. Failure error records

9. All error records

10. There is also a problem of spurious values such as;
Monthly records account for about 60% of mortgage transactions. But of these;
between 1% and 3% are duplicates
over 20% do not pass “failure” edits
over 70% have at least 1 error!
There is also a problem of spurious values such as;
confusion between metric and imperial measure of area
same number of rooms as bedrooms
systematic recording error
Use of thresholds is necessary
based on objective assessment of data – a 1% rule .

11. Incidence of thresholds exceeded
Thresholds on size of plot primarily where floor area= size of plot

12. Imputation rules and occurrence
price excluded from analysis, as are records with relevant values missing or exceeding thresholds
values for floor area are calculated based on median values for house type and number of bedrooms
values for number of bedrooms are calculated based on house type and floor area
plot area size on the excess of plot area over floor are for each house type in different regions

13. Functional form - log price

14. Outlier detection

15. Basic Model for Dublin Semi log All of county and city
All property types
Outliers based on distance from predicted price (>20% difference +/-)
Location, property type, floor area, number of bedrooms, buyer type, old or new house
time dummy

16. Results of Basic Model for Dublin

17. Refinements
Amalgamate locations where postcode split across authority areas 
t test results improve for relevant parameters
Include age (in decade) 
t test results good, Rsq improves , parameters consistent - price increases with age
Separate models for houses and flats  
t test results good, Rsq improves for houses. Clearer picture as different price
developments apparent. age dropped from flats model
Plot size added to model for houses
parameter shows minimal effect and sometimes negative. Impact of imputed plot size?
Model excluding records for imputed plot size
parameter positive but again, minimal effect (less than 0.001% per sq metre)

18. Comparison of quarterly prototype CSO, ESRI/ptsb and SherryFitzgerald indices for Dublin Q12005-Q32010

19. Comparison of CSO prototype indices for Dublin (all, houses and flats) Jan 2005 – Sep 2010

20. Comparison of CSO prototype indices for Dublin houses Jan 2005 – Sep 2010

21. Comparison of CSO prototype 3 month rolling indices for Dublin (all, houses and flats) Q12005 – Q32010

22. Comparison of CSO prototype rolling index for Dublin (houses) Jan2005 – Sep2010 with different outlier detection tests

23. Next Steps and Challenges
Further assessment of Dublin Indices
Outside Dublin indices (no postcode detail, importance of plot size in more rural counties)
Data treatments (particularly imputation)
Monthly calculation - hedonic repricing
Published Indices – monthly or 3month rolling
Suggestions, advice welcome!