Data Aggregation and 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 generates misleading conclusions about price transmission behavior at the level of the individual units (i.e. retail stores) that underlie these aggregates.
|Date of creation:||2006|
|Contact details of provider:|| Web page: http://www.iaae-agecon.org/|
More information through EDIRC
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.:
- von Cramon-Taubadel, Stephan, 1998. "Estimating Asymmetric Price Transmission with the Error Correction Representation: An application to the German Pork Market," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 25(1), pages 1-18.
- Caballero, Ricardo J, 1992.
"A Fallacy of Composition,"
American Economic Review,
American Economic Association, vol. 82(5), pages 1279-1292, December.
- Ricardo J. Caballero, 1991. "A Fallacy of Composition," NBER Working Papers 3735, National Bureau of Economic Research, Inc.
- 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.
- Shumway, C. Richard & Davis, George C., 2000. "Does Consistent Aggregation Really Matter?," 2000 Conference (44th), January 23-25, 2000, Sydney, Australia 171924, Australian Agricultural and Resource Economics Society.
- Shumway, C. Richard & Davis, George C., 2000. "Does Consistent Aggregation Really Matter?," Ag Econ Series 12966, Washington State University, School of Economic Sciences.
- 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.
- Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083, August.
- Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521411462, October.
- 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.
- 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.
- Lewbel, Arthur, 1996. "Aggregation without Separability: A Generalized Composite Commodity Theorem," American Economic Review, American Economic Association, vol. 86(3), pages 524-543, June.
- Andrew S. Caplin & Daniel F. Spulber, 1987. "Menu Costs and the Neutrality of Money," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 703-725.
- Andrew C. Caplin & Daniel F. Spulber, 1987. "Menu Costs and the Neutrality of Money," NBER Working Papers 2311, National Bureau of Economic Research, Inc.
- 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.
- Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers 93001, Wilfrid Laurier University, Department of Economics.
- 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.
- Lewbel, Arthur, 1994. "Aggregation and Simple Dynamics," American Economic Review, American Economic Association, vol. 84(4), pages 905-918, September.
- Frank Asche & Helge Bremnes & Cathy R. Wessells, 1999. "Product Aggregation, Market Integration, and Relationships between Prices: An Application to World Salmon Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(3), pages 568-581.
- Asche, F. & Bremnes, H. & Wessells, C.R., 1998. "Product Aggregation, Market Integration and Relationships Between Prices: an Application to World Salmon Markets," Papers 27/98, Norwegian School of Economics and Business Administration-.
- Milton S. Boyd & B. Wade Brorsen, 1988. "Price Asymmetry in the U.S. Pork Marketing Channel," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 10(1), pages 103-109.
- 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.
- 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.
- 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.
- 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 1057-1072, June.
- Griffith, G.R. & Piggott, N.E., 1994. "Asymmetry in beef, lamb and pork farm-retail price transmission in Australia," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 10(3), May.
- 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.
- 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.
- Deaton,Angus & Muellbauer,John, 1980. "Economics and Consumer Behavior," Cambridge Books, Cambridge University Press, number 9780521296762, October.
- Thomas A. Garrett, 2002. "Aggregated vs. disaggregated data in regression analysis: implications for inference," Working Papers 2002-024, Federal Reserve Bank of St. Louis. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ags:iaae06:25291. 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: (AgEcon Search)
If references are entirely missing, you can add them using this form.