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Scanner data, time aggregation and the construction of price indexes

Author

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  • 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
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    References listed on IDEAS

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    1. 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.
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    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

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