Scanner data, time aggregation and the construction of price indexes

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...

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Bibliographic Details
Published in:Journal of econometrics 2011-03, Vol.161 (1), p.24-35
Main Authors: Ivancic, Lorraine, Erwin Diewert, W., Fox, Kevin J.
Format: Article
Language:English
Subjects:
Chain drift
Data aggregation
Economic theory
Estimating techniques
Monetary economics
Multilateral index number methods
Price index
Price indexation
Price indexes
Price indexes Scanner data Chain drift Multilateral index number methods Rolling window GEKS
Price planning
Retail prices
Rolling window GEKS
Scanner data
Studies
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Summary: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.
ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2010.09.003