The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices
The impact of cross-sectional aggregation over individual retail stores on the estimation and testing of vertical price transmission between the wholesale and retail levels is investigated using a unique data set of individual retail prices in Germany. Systematic differences between the results of estimations using aggregated data on the one hand, and disaggregated data on the other, are discussed theoretically and confirmed empirically. The results suggest that estimation with aggregated data can generate misleading conclusions about price transmission behavior at the level of the individual units (i.e., retail stores) that underlie these aggregates. [JEL classifications: C22, L11, D40] © 2006 Wiley Periodicals, Inc. Agribusiness 22: 505-522, 2006.
Volume (Year): 22 (2006)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1520-6297 |
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.:
- Brooker, John R. & Eastwood, David B. & Carver, Brian T. & Gray, Morgan D., 1997. "Fresh Vegetable Price Linkage Between Grower/Shippers, Wholesalers And Retailers," Journal of Food Distribution Research, Food Distribution Research Society, vol. 28(1), February.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Anil K. Kashyap, 1990.
"Sticky prices: new evidence from retail catalogs,"
Finance and Economics Discussion Series
112, Board of Governors of the Federal Reserve System (U.S.).
- Anil K Kashyap, 1994. "Sticky Prices: New Evidence from Retail Catalogs," NBER Working Papers 4855, National Bureau of Economic Research, Inc.
- Anil K. Kashyap, 1991. "Sticky prices: new evidence from retail catalogs," Working Paper Series, Macroeconomic Issues 91-26, Federal Reserve Bank of Chicago.
- Sam Peltzman, 2000.
"Prices Rise Faster than They Fall,"
Journal of Political Economy,
University of Chicago Press, vol. 108(3), pages 466-502, June.
- Sam Peltzman, 1998. "Prices Rise Faster Than They Fall," University of Chicago - George G. Stigler Center for Study of Economy and State 142, Chicago - Center for Study of Economy and State.
- Lois Schertz Willett & Michelle R. Hansmire & John C. Bernard, 1997. "Asymmetric price response behavior of Red Delicious apples," Agribusiness, John Wiley & Sons, Ltd., vol. 13(6), pages 649-658.
- Stiving, Mark & Winer, Russell S, 1997. " An Empirical Analysis of Price Endings with Scanner Data," Journal of Consumer Research, University of Chicago Press, vol. 24(1), pages 57-67, June.
- Schwartz, Lisa A. & Willett, Lois Schertz, 1994. "Price Transmission Theory And Applications To Agroindustry: An Annotated Bibliography," Research Bulletins 123003, Cornell University, Department of Applied Economics and Management.
- Schindler, Robert M & Kirby, Patrick N, 1997. " Patterns of Rightmost Digits Used in Advertised Prices: Implications for Nine-Ending Effects," Journal of Consumer Research, University of Chicago Press, vol. 24(2), pages 192-201, September.
- repec:cup:cbooks:9780521411462 is not listed on IDEAS
- Alan P. Kirman, 1992. "Whom or What Does the Representative Individual Represent?," Journal of Economic Perspectives, American Economic Association, vol. 6(2), pages 117-136, Spring.
- Granger, C.W.J. & Siklos, P.L., 1993.
"Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence,"
93001, Wilfrid Laurier University, Department of Economics.
- Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
- Stoker, Thomas M, 1993. "Empirical Approaches to the Problem of Aggregation Over Individuals," Journal of Economic Literature, American Economic Association, vol. 31(4), pages 1827-74, December.
- Jochen Meyer & Stephan Cramon-Taubadel, 2004.
"Asymmetric Price Transmission: A Survey,"
Journal of Agricultural Economics,
Wiley Blackwell, vol. 55(3), pages 581-611.
- Meyer, Jochen & von Cramon-Taubadel, Stephan, 2002. "Asymmetric Price Transmission: A Survey," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24822, European Association of Agricultural Economists.
- Lippi, Marco, 1988. "On the dynamic shape of aggregated error correction models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 561-585.
- Caballero, Ricardo J, 1992.
"A Fallacy of Composition,"
American Economic Review,
American Economic Association, vol. 82(5), pages 1279-92, December.
- Andrew C. Caplin & Daniel F. Spulber, 1987.
"Menu Costs and the Neutrality of Money,"
NBER Working Papers
2311, National Bureau of Economic Research, Inc.
- Lewbel, Arthur, 1994. "Aggregation and Simple Dynamics," American Economic Review, American Economic Association, vol. 84(4), pages 905-18, September.
- Daniel H. Pick & Jeffrey Karrenbrock & Hoy F. Carman, 1990. "Price asymmetry and marketing margin behavior: An example for California-Arizona citrus," Agribusiness, John Wiley & Sons, Ltd., vol. 6(1), pages 75-84.
- Steven C. Blank & Brian H. Schmiesing, 1990. "Whimsical aggregation of temporal data, market identification, and fragile results," Agribusiness, John Wiley & Sons, Ltd., vol. 6(1), pages 33-40.
- Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Douglas J. Miller & Marvin L. Hayenga, 2001. "Price Cycles and Asymmetric Price Transmission in the U.S. Pork Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(3), pages 551-562.
- Shumway, C. Richard & Davis, George C., 2001.
"Does consistent aggregation really matter?,"
Australian Journal of Agricultural and Resource Economics,
Australian Agricultural and Resource Economics Society, vol. 45(2), June.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- repec:cup:cbooks:9780521423083 is not listed on IDEAS
- Chang, Hui-Shung (Christie) & Griffith, Garry R., 1998. "Examining long-run relationships between Australian beef prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 42(4), December.
- Thomas A. Garrett, 2002. "Aggregated vs. disaggregated data in regression analysis: implications for inference," Working Papers 2002-024, Federal Reserve Bank of St. Louis.
- Linden, Mikael, 1999. "Time series properties of aggregated AR(1) processes with uniformly distributed coefficients," Economics Letters, Elsevier, vol. 64(1), pages 31-36, July.
- Hashem Pesaran, M., 2003. "Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation," Economic Modelling, Elsevier, vol. 20(2), pages 383-415, March.
- Ted C. Schroeder, 1988. "Price linkages between wholesale and retail pork cuts," Agribusiness, John Wiley & Sons, Ltd., vol. 4(4), pages 359-369.
- Nicholas J. Powers, 1995. "Sticky short-run prices and vertical pricing: Evidence from the market for iceberg lettuce," Agribusiness, John Wiley & Sons, Ltd., vol. 11(1), pages 57-75.
- Griffith, G. R. & Piggott, N. E., 1994. "Asymmetry in beef, lamb and pork farm-retail price transmission in Australia," Agricultural Economics, Blackwell, vol. 10(3), pages 307-316, May.
When requesting a correction, please mention this item's handle: RePEc:wly:agribz:v:22:y:2006:i:4:p:505-522. 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: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.