IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v161y2011i1p24-35.html
   My bibliography  Save this article

Scanner data, time aggregation and the construction of price indexes

Author

Listed:
  • Ivancic, Lorraine
  • Erwin Diewert, W.
  • Fox, Kevin J.

Abstract

We examine the impact of time aggregation on price change estimates for 19 supermarket item categories using scanner data. Time aggregation choices lead to a difference in price change estimates for chained indexes which ranged from 0.28% to 29.73% for a superlative index and an incredible 14.88%-46,463.71% for a non-superlative index. Traditional index number theory appears to break down with weekly data, even for superlative indexes. Monthly and (in some cases) quarterly time aggregation were insufficient to eliminate downward drift in superlative indexes. To eliminate drift, a novel adaptation of a multilateral index number method is proposed.

Suggested Citation

  • Ivancic, Lorraine & Erwin Diewert, W. & Fox, Kevin J., 2011. "Scanner data, time aggregation and the construction of price indexes," Journal of Econometrics, Elsevier, vol. 161(1), pages 24-35, March.
  • Handle: RePEc:eee:econom:v:161:y:2011:i:1:p:24-35
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(10)00183-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. William J. Hawkes & Frank W. Piotrowski, 2003. "Using Scanner Data to Improve the Quality of Measurement in the Consumer Price Index," NBER Chapters, in: Scanner Data and Price Indexes, pages 17-38, National Bureau of Economic Research, Inc.
    2. Reinsdorf, Marshall B, 1999. "Using Scanner Data to Construct CPI Basic Component Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 152-160, April.
    3. Kravis, Irving B, 1984. "Comparative Studies of National Incomes and Prices," Journal of Economic Literature, American Economic Association, vol. 22(1), pages 1-39, March.
    4. Caves, Douglas W & Christensen, Laurits R & Diewert, W Erwin, 1982. "Multilateral Comparisons of Output, Input, and Productivity Using Superlative Index Numbers," Economic Journal, Royal Economic Society, vol. 92(365), pages 73-86, March.
    5. László Drechsler, 1973. "Weighting Of Index Numbers In Multilateral International Comparisons," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 19(1), pages 17-34, March.
    6. W. Erwin Diewert, 1999. "Axiomatic and Economic Approaches to International Comparisons," NBER Chapters, in: International and Interarea Comparisons of Income, Output, and Prices, pages 13-107, National Bureau of Economic Research, Inc.
    7. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May.
    8. Diewert, W Erwin, 1978. "Superlative Index Numbers and Consistency in Aggregation," Econometrica, Econometric Society, vol. 46(4), pages 883-900, July.
    9. Hill, Robert J., 2006. "Superlative index numbers: not all of them are super," Journal of Econometrics, Elsevier, vol. 130(1), pages 25-43, January.
    10. Robert C. Feenstra & Matthew D. Shapiro, 2003. "High-Frequency Substitution and the Measurement of Price Indexes," NBER Chapters, in: Scanner Data and Price Indexes, pages 123-150, National Bureau of Economic Research, Inc.
    11. Mary F. Kokoski & Brent R. Moulton & Kimberly D. Zieschang, 1999. "Interarea Price Comparisons for Heterogeneous Goods and Several Levels of Commodity Aggregation," NBER Chapters, in: International and Interarea Comparisons of Income, Output, and Prices, pages 123-169, National Bureau of Economic Research, Inc.
    12. W. Erwin Diewert, 1995. "Axiomatic and Economic Approaches to Elementary Price Indexes," NBER Working Papers 5104, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. W. Erwin Diewert, 1995. "Price and Volume Measures in the System of National Accounts," NBER Working Papers 5103, National Bureau of Economic Research, Inc.
    2. de Haan, Jan & van der Grient, Heymerik A., 2011. "Eliminating chain drift in price indexes based on scanner data," Journal of Econometrics, Elsevier, vol. 161(1), pages 36-46, March.
    3. Neary, J Peter, 2000. "True Multilateral Indexes for International Comparisons of Real Income: Theory and Empirics," CEPR Discussion Papers 2590, C.E.P.R. Discussion Papers.
    4. Craig, Barbara J. & Pardey, Philip G., 1990. "Multidimensional Output Indices," Staff Papers 13828, University of Minnesota, Department of Applied Economics.
    5. Neary, P.J., 1996. "True Multilateral Indexex for International Comparisons of Purchasing Power and Real Income," Papers 96/22, College Dublin, Department of Political Economy-.
    6. Barnett, William A. & Erwin Diewert, W. & Zellner, Arnold, 2011. "Introduction to measurement with theory," Journal of Econometrics, Elsevier, vol. 161(1), pages 1-5, March.
    7. W. Erwin Diewert, 1999. "Axiomatic and Economic Approaches to International Comparisons," NBER Chapters, in: International and Interarea Comparisons of Income, Output, and Prices, pages 13-107, National Bureau of Economic Research, Inc.
    8. Fox, Kevin J. & Grafton, R. Quentin & Kirkley, James & Squires, Dale, 2003. "Property rights in a fishery: regulatory change and firm performance," Journal of Environmental Economics and Management, Elsevier, vol. 46(1), pages 156-177, July.
    9. Leonard I. Nakamura, 2010. "Intangible Assets And National Income Accounting," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 56(s1), pages 135-155, June.
    10. Robert C. Feenstra & Matthew D. Shapiro, 2003. "High-Frequency Substitution and the Measurement of Price Indexes," NBER Chapters, in: Scanner Data and Price Indexes, pages 123-150, National Bureau of Economic Research, Inc.
    11. Nicholas Oulton, 2012. "How To Measure Living Standards And Productivity," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 58(3), pages 424-456, September.
    12. Hill, Robert J., 2006. "Superlative index numbers: not all of them are super," Journal of Econometrics, Elsevier, vol. 130(1), pages 25-43, January.
    13. Rao, D.S. Prasada & Hajargasht, Gholamreza, 2016. "Stochastic approach to computation of purchasing power parities in the International Comparison Program (ICP)," Journal of Econometrics, Elsevier, vol. 191(2), pages 414-425.
    14. Christos Ioannidis & Mick Silver, 2003. "Chained, exact and superlative hedonic price changes: estimates from microdata," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1005-1014.
    15. Diewert, Erwin, 2018. "Scanner Data, Elementary Price Indexes and the Chain Drift Problem," Microeconomics.ca working papers erwin_diewert-2018-10, Vancouver School of Economics, revised 25 Oct 2018.
    16. Ludwig von Auer & Jochen Wengenroth, 2019. "Consistent Aggregation With Superlative and Other Price Indices," Research Papers in Economics 2019-13, University of Trier, Department of Economics.
    17. Angus Deaton & Alan Heston, 2010. "Understanding PPPs and PPP-Based National Accounts," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 1-35, October.
    18. J. Peter Neary, 2004. "Rationalizing the Penn World Table: True Multilateral Indices for International Comparisons of Real Income," American Economic Review, American Economic Association, vol. 94(5), pages 1411-1428, December.
    19. Bureau, Jean Christophe & Butault, Jean-Pierre & Hoque, Anwarul, 1992. "International Comparisons of Costs of Wheat Production in the EC and United States," Staff Reports 278676, United States Department of Agriculture, Economic Research Service.
    20. Ludwig Auer, 2012. "Räumliche Preisvergleiche: Aggregationskonzepte und Forschungsperspektiven," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(1), pages 27-56, December.

    More about this item

    Keywords

    Price indexes Scanner data Chain drift Multilateral index number methods Rolling window GEKS;

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:161:y:2011:i:1:p:24-35. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: http://www.elsevier.com/locate/jeconom .

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.