spb/wp22_uqo

1\newcommand{\WPabstract}{%2This paper develops and evaluates SHARP-HPI, a framework for monthly quality-adjusted housing price indices at the municipal level in thin markets. Stage one is a robust pooled hedonic regression with fine-scale location fixed effects, smoothly time-varying quality prices and provincial month effects; stage two models each geography's deviation from its parent (province, administrative region, regional county municipality, municipality) with heteroskedastic local-level state-space models whose innovation variances are calibrated by empirical Bayes across cells, so that the weight given to local sales adapts to their reliability. We apply it to \NRawTx{} registered sales in Quebec from January 2021 to October 2026 matched to the assessment roll, with an audited population definition (\NHeadline{} sales), a measured publication lag and real-time vintages. Against eleven benchmark estimators (median, stratified median, pooled and rolling time dummies, hedonic imputation, GEKS, HMTS, repeat sales, gradient boosting and a production hierarchical index), Monte Carlo experiments on synthetic Quebec-like markets with known latent paths show where the adaptive hierarchy reduces the error of monthly changes and interval under-coverage, and two deliberate counter-examples where it does not. The empirical panel covers \NCells{} geography--class cells with reliability grades, effective sample sizes and local-data weights; aggregates agree closely with Teranet and CREA indices in Québec City and diverge by an explainable margin in Montréal. Every ingredient of the estimator exists in the literature; the contribution is their integration, the explicit reliability accounting and the documented performance.%3}4