The Curious Case of an Exploding GEKS Index

Kevin Fox

Discussion Papers from Economic Statistics Centre of Excellence

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.

Keywords: price indexes; multilateral index numbers; scanner data; chain drift; su-perlative indexes (search for similar items in EconPapers)
JEL-codes: C43 C82 E31 (search for similar items in EconPapers)
Date: 2026-08-19
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Persistent link: https://EconPapers.repec.org/RePEc:eoe:escoed:escoe-dp-2026-12

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