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This thesis outlines several issues related to real estate research. The first chapter relaxes the functional form restriction in the empirical application of the hedonic pricing model, and studies its implication on the house price index construction. The second chapter takes into account both the spatial and temporal correlation among housing transactions, and shows the benefit of doing so contributing to better prediction of future house prices. The third chapter tackles the composition of proxy for market portfolio and its impact on the estimation of REITs risk premium. We show that REITs risk premium estimation is sensitive to both the structural break in the REITs market and the market proxy composition. The inclusion of real estate asset class into the market proxy accounts for a significant portion of the bias in the REITs risk premium estimation arising from using the restrictive market proxy, such as the CRSP equity index.