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The Curious Case of an Exploding GEKS Index

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  • Fox, Kevin J.

Abstract

Multilateral indexes are increasingly being used to incorporate transactions data into consumer price indices. This paper shows how the multilateral GEKS-Fisher index can misbehave in a spectacular fashion when using such data. It is found that this is due to observations with very high price relatives. In contrast, the GEKS-Törnqvist index is very resilient to extreme observations. It is also found that the GEKS-Fisher index can be resilient, if implemented using an appropriately sized rolling window. The choice of splicing method, used for updating as new data becomes available, is found to be immaterial in this respect.

Suggested Citation

  • Fox, Kevin J., 2026. "The Curious Case of an Exploding GEKS Index," Discussion Papers escoe-dp-2026-12, Economic Statistics Centre of Excellence.
    • Handle: RePEc:eoe:escoed:escoe-dp-2026-12
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    References listed on IDEAS

    as
    1. W. Erwin Diewert & Naohito Abe & Akiyuki Tonogi & Chihiro Shimizu, 2025. "Scanner Data and the Construction of Inter‐Regional Price Indexes," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 71(4), November.
    2. 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.
    3. Kevin J. Fox & Peter Levell & Martin O’Connell, 2026. "Inflation Measurement with High-Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 383-396, January.
    4. Daniel Melser, 2018. "Scanner Data Price Indexes: Addressing Some Unresolved Issues," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 516-522, July.
    5. Diewert, W Erwin, 1978. "Superlative Index Numbers and Consistency in Aggregation," Econometrica, Econometric Society, vol. 46(4), pages 883-900, July.
    6. Inklaar, Robert & Diewert, W. Erwin, 2016. "Measuring industry productivity and cross-country convergence," Journal of Econometrics, Elsevier, vol. 191(2), pages 426-433.
    7. W. Erwin Diewert & Kevin J. Fox, 2022. "Substitution Bias in Multilateral Methods for CPI Construction," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 355-369, January.
    8. Diewert, W. E., 1976. "Exact and superlative index numbers," Journal of Econometrics, Elsevier, vol. 4(2), pages 115-145, May.
    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.
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    More about this item

    Keywords

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    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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