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Extended stochastic Laspeyres price index model with autocorrelated errors

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  • Arfa Maqsood
  • S. M. Aqil Burney

Abstract

This paper extends the stochastic approach to Laspeyres price index number by augmenting the simple model with a systematic change in relative prices when the errors are serially correlated of order one. The estimators and their standard errors are derived using weighted least square (WLS) approach where two round estimation process is considered. The first round of estimation gives the estimators of extended Laspeyres price model. While the standard errors of estimators are obtained in second round of estimation. The performance of proposed method is presented by an illustrative application.

Suggested Citation

  • Arfa Maqsood & S. M. Aqil Burney, 2021. "Extended stochastic Laspeyres price index model with autocorrelated errors," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(14), pages 3352-3357, July.
    • Handle: RePEc:taf:lstaxx:v:50:y:2021:i:14:p:3352-3357
    DOI: 10.1080/03610926.2019.1702692
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