Scanner data, time aggregation and the construction of price indexes

Lorraine Ivancic, Walter Diewert and Kevin Fox

Journal of Econometrics, 2011, vol. 161, issue 1, 24-35

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.

Keywords: Price; indexes; Scanner; data; Chain; drift; Multilateral; index; number; methods; Rolling; window; GEKS (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (107)

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Working Paper: Scanner Data, Time Aggregation and the Construction of Price Indexes (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:161:y:2011:i:1:p:24-35

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