Issues With A Chained-Type Price Index: An Analysis With The Producer Price Index
AbstractRegarding the recent switch from the fixed base price index to the chained-type price index in many countries, we examine important issues including the selection of the weight to produce more accurate chained-type price indices and to maintain statistical consistency in the time series of a price index in this study. We determine that the actual weight from year t-3 data better produces a more correct chained-type producer price index at t between two available methods of selecting the weights. This weighting method also provides generally better statistical consistency and stability for the chained-type producer price index. We also compare the MAE and RMSE of the price equations of the fixed base and chain indices. Both the unit root test and comparison of the model performance evaluation reveal no critical difference, thus confirming a stability over the two indices. In particular, the substitutability of the chain index for the fixed base index is highly obtained, regardless of the time horizon. Overall, we can confidently assert that the chain index provides a statistical consistency and stability over a fixed base index.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Chung-Ang Unviersity, Department of Economics in its journal Journal Of Economic Development.
Volume (Year): 36 (2011)
Issue (Month): 3 (September)
Chained-type Price Index; Weight to Produce Price Index; Producer Price Index; Accuracy; Statistical Consistency and Stability;
Find related papers by JEL classification:
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008.
"Forecasting Economic and Financial Variables with Global VARs,"
CESifo Working Paper Series
2263, CESifo Group Munich.
- Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
- Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting economic and financial variables with global VARs," Staff Reports 317, Federal Reserve Bank of New York.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kyttack Hong).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.