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Multilateral index number methods for Consumer Price Statistics

Author

Listed:
  • Kevin J. Fox
  • Peter Levell
  • Martin O'Connell

Abstract

The increasing availability of supermarket scanner data covering expenditures and prices on a wide range of products has created new opportunities for national statistical institutes, including the possibility of publishing more reliable indicators of monthly price changes. We discuss and evaluate the properties of different multilateral index numbers for measuring high frequency price changes, drawing on household scanner data. We find that use of the Caves-Christensen-Diewert-Inklaar (CCDI) index, updated using the mean splice, is to preferred for both theoretical and empirical reasons.

Suggested Citation

  • Kevin J. Fox & Peter Levell & Martin O'Connell, 2022. "Multilateral index number methods for Consumer Price Statistics," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-08, Economic Statistics Centre of Excellence (ESCoE).
    • Handle: RePEc:nsr:escoed:escoe-dp-2022-08
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    References listed on IDEAS

    as
    1. 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.
    2. D. S. Prasada Rao, 2005. "On The Equivalence Of Weighted Country‐Product‐Dummy (Cpd) Method And The Rao‐System For Multilateral Price Comparisons," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 51(4), pages 571-580, December.
    3. 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.
    4. Daniel Melser & Michael Webster, 2021. "Multilateral Methods, Substitution Bias, and Chain Drift: Some Empirical Comparisons," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 67(3), pages 759-785, September.
    5. W. Erwin Diewert, 1999. "Axiomatic and Economic Approaches to International Comparisons," NBER Chapters, in: International and Interarea Comparisons of Income, Output, and Prices, pages 13-107, National Bureau of Economic Research, Inc.
    6. de Haan, Jan & van der Grient, Heymerik A., 2011. "Eliminating chain drift in price indexes based on scanner data," Journal of Econometrics, Elsevier, vol. 161(1), pages 36-46, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    consumer price index; multilateral indices; scanner data;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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