Combining micro and macro data in hedonic price indexes

This paper proposes arithmetic and geometric Paasche quality-adjusted price indexes that combine micro data from the base period with macro data on the averages of asset prices and characteristics at the index period. The suggested indexes have two types of advantages relative to traditional Paasche indexes: (i) simplification and cost reduction of data acquisition and manipulation; and (ii) potentially greater efficiency and robustness to sampling problems. A Monte Carlo simulation study and an empirical application concerning the housing market illustrate some of those advantages.     

关于物价综合指数性质的探析

通过对拉氏和帕氏物价指数的讨论，明确了物价综合指数之间的相互关系和物价综合指数的数学性质，找到了物价综合指数的变化特点。在保持原有指数特性的前提下，提出了新的综合指数改进方案，并对其进行了检验。检验表明，新的综合指数方案计算简便，能够准确地反映物量和价格的变化，并且误差较小。     

Using Scanner Data to Construct CP1 Basic Component Indexes

This article considers how scanner data could be used in constructing component indexes for the U.S. Consumer Price Index. One product, coffee, in two cities generates over 1.8 million observations in just over two years, so coping with the sheer volume of data would be a challenge. Some other findings are (1) some aggregation of prices into “unit-value” averages is necessary for practical reasons and to avoid bias, (2) chained Laspeyres indexes are very high, (3) “modified” Laspeyres indexes have some upward bias but much less than a true Laspeyres index, (4) Fisher ideal or modified Edgeworth indexes perform well, and (5) aggregating prices across outlets to form city-level unit values reduces the discrepancies between index-number formulas.     

Proposition of a General Formula for Price Indices

In this article, we propose a general formula for aggregative price indices that satisfies most postulates coming from the axiomatic price index theory. We show that the ideal Fisher index, Laspeyres and Paasche formulas, and a lot of other indices are particular cases of the proposed formula. Moreover, using the general formula we can easily define new indices, that would satisfy given postulates. We also present an interesting result for the proposed formula.     

Computation of Standard Errors for Geary–Khamis Parities and international Prices: A Stochastic Approach

One of the areas receiving little attention in the past in index-number theory is providing standard errors for the index number estimates. Recently, Clements and Izan and Selvanathan used the stochastic approach to index numbers to derive standard errors for the rate of inflation and Laspeyres and Paasche index numbers. In this article, we use this approach to compute standard errors associated with purchasing power parities computed using Geary-Khamis aggregation procedure in the International Comparisons Project of the United Nations. We assess the quality of the standard errors using Efron's bootstrap technique.     

经济指数方法论系统的构建

To begin with, the paper reassure that the traditional indexes such as Paasche’s index and Fisher’s ideal index all have their own merits and limits, and then the economic interpretation of three kinds of indexes is described. Based on the system analysis, the paper designs a index methodology system. The paper also combines the economic meaning of index with index system, thus build a theoretical background for China’s factor analysis system.     

Estimation of Laspeyres Price Indexes Using the Prediction Approach for Finite Population Sampling

Estimators of chain and fixed-base Laspeyres price indexes are studied using the prediction approach to finite population sampling. The estimators include some that are based on those used in several U.S. government index programs and others derived from prediction models. Biases and variances of the estimators are studied for a case in which the reference period index weights are unknown for nonsample items. Under a model for a one-period price change in which items have common within-stratum means, unbiased estimators can be constructed, but under a more general regression model, special sample balance conditions are needed for unbiasedness of those estimators. The theory for the estimators of fixed-base indexes is illustrated in an empirical study using a population of items priced for the U.S. Consumer Price Index.     

消费者偏好与真实生活成本

本文在消费者偏好结构可变的假设下,探讨了1998-2012年我国消费者真实生活成本。研究表明忽视消费者偏好结构的变化通常会高估消费者真实生活成本水平和增长幅度,而这种替代偏误的程度取决于基期的选择。基于这种研究发现,政府有关部门在使用消费者物价指数制定相关政策（尤其是福利政策）时,本文研究的非参数型真实生活成本指数 可能比一般的拉氏物价指数更为合适。因此,建议统计部门在使用拉氏价格指数统计消费者物价水平的同时,应该定期编制和公布 指数。     

Variance Estimation for Price Indexes From a Two-Stage Sample With Rotating Panels

Estimation of price indexes in the United States is generally based on complex rotating panel surveys. The sample for the Consumer Price Index, for example, is selected in three stages—geographic areas, establishments, and individual items—with 20% of the sample being replaced by rotation each year. At each period, a time series of data is available for use in estimation. This article examines how to best combine data for estimation of long-term and short-term changes and how to estimate the variances of the index estimators in the context of two-stage sampling. I extend the class of estimators, introduced by Valliant and Miller, of Laspeyres indexes formed using sample data collected from the current period back to a previous base period. Linearization estimators of variance for indexes of long-term and short-term change are derived. The theory is supported by an empirical simulation study using two-stage sampling of establishments and items from a population derived from U.S. Bureau of Labor Statistics data.     

Approximation of the Fisher price index by using Lowe,Young, and AG Mean indices

The Consumer Price Index (CPI) approximates changes in the costs of household consumption assuming the constant utility (COLI, Cost of Living Index). In practice, the Laspeyres price index is used to measure the CPI despite the fact that many economists consider the superlative indices to be the best approximation of COLI. The Fisher index is one of the superlative indices and additionally it satisfies most of tests from the axiomatic price index theory. Nevertheless, the Fisher price index makes use of current-period expenditure data and its usefulness in CPI measurement is limited. In this article, we verify the utility of using the Lowe, Young, and AG Mean indices for Fisher price index approximation. We confirm this utility in a simulation study and we provide an empirical proof.     

A Class of Multiplicative Estimators of Laspeyres Price Indexes

Publication of indexes measuring changes in prices of retail, wholesale, export, and import items is an important part of many governmental statistics programs. One form of price index that is often used is the fixed-base Laspeyres, in which a fixed market basket of goods is priced over time. This article introduces a new class of multiplicative estimators of Laspeyres indexes. The optimum within the class is derived for long-term price change and compared with two other members of the class when used for estimating both long-term and short-term change. Theoretical properties are derived under a model in which long-term relative price changes for individual items have common within-stratum means and are correlated over time. Theory for long-term and short-term change estimators is tested in a simulation study in which a large number of stratified probability samples is selected from a population extracted from items priced for the U.S. consumer price index.     

Beyond the CPI: An Augmented Cost-of-Living Index

This note examines an augmented cost-of-living index (ACOLI) for the purpose of accounting for “augmented consumption” in real-income measures. Well-being includes not only conventional consumer purchases but also goods and services provided by employers, by mandated social regulations, and by tax-financed public goods. Because augmented consumption is often provided in ways that raise prices but not market incomes, deflating with conventional price indexes may understate real income growth. An exploratory application of the ACOLI approach to the United States during the 1960–1997 period suggests that the Consumer Price Index has grown about 19% faster than the ACOLI. This correction would reduce the estimated cost-of-living increase by .47% per year over the last 37 years.     

Construction of confidence intervals for the Laspeyres price index

In the paper, we present and discuss several methods of the construction of confidence intervals for the Laspeyres price index. We assume that prices of commodities are normally distributed and we consider both independent and dependent prices. Using Monte Carlo simulation, the paper compares the confidence interval computed from a simple econometric model with those obtained based on the Laspeyres density function. Our conclusions can be generalized to other price index formulas.     

Standard errors for the Laspeyres index number with autocorrelated error models

This paper deals with the stochastic approach to Laspeyres price index number with the assumption of serial correlation of orders 1 and 2. The first round of estimation provides the estimates of Laspeyres index numbers in the presence of serial correlation assuming that variance is independent of time. In the second round of estimation, we use the weighted least square approach to derive the standard errors of Laspeyres index number assuming variance is dependent on time. These standard errors are linked to the variability of relative prices and are simple to evaluate. It shows that the larger index numbers are expected to estimate with less degree of precision. The results are illustrated with price data of Pakistan.     

Measuring price-induced changes in standard of living in least developed countries: economic validity of laspeyres price indices and some further suggestions

Usually, also in developing countries, price-induced changes in standard of living are measured by means of Laspeyres price indices. Looking at the special economic situation characterizing least developed countries, the economic validit of such indices is doubtful. The main theoretical results of this paper are derived on the basis of a special utility concept which may be considered typical for least developed countries. It is shown that, under certain conditions, a Laspeyres price index over- or underestimates respectively changes in standard of living. Furthermore, it does not sufficiently evaluate households’ supply positions. These theoretical results are motivated and illustrated by a special least developed country, the Republic of Niger. The paper closes with some further suggestions for measuring changes in standard of living in developing countries.     

The Sensitivity of the True Cost of Living to Price-Induced and Income-Induced Changes in Aggregate Consumers' Tastes

This article examines the sensitivity of the cost of living to some aspects of price changes and income changes that cannot be detected by Laspeyres indexes like the CPI-U or CPI-W. Effects of price-induced and income-induced changes in consumers tastes on the cost of living in the United States from 1947 to 1981 are estimated and found to be generally substantial.     

From statistical power to statistical assurance: It's time for a paradigm change in clinical trial design

A well-designed clinical trial requires an appropriate sample size with adequate statistical power to address trial objectives. The statistical power is traditionally defined as the probability of rejecting the null hypothesis with a pre-specified true clinical treatment effect. This power is a conditional probability conditioned on the true but actually unknown effect. In practice, however, this true effect is never a fixed value. Thus, we discuss a newly proposed alternative to this conventional statistical power: statistical assurance, defined as the unconditional probability of rejecting the null hypothesis. This kind of assurance can then be obtained as an expected power where the expectation is based on the prior probability distribution of the unknown treatment effect, which leads to the Bayesian paradigm. In this article, we outline the transition from conventional statistical power to the newly developed assurance and discuss the computations of assurance using Monte Carlo simulation-based approach.     

Empirical phi-divergence test statistics for testing simple and composite null hypotheses

The main purpose of this paper is to introduce first a new family of empirical test statistics for testing a simple null hypothesis when the vector of parameters of interest is defined through a specific set of unbiased estimating functions. This family of test statistics is based on a distance between two probability vectors, with the first probability vector obtained by maximizing the empirical likelihood (EL) on the vector of parameters, and the second vector defined from the fixed vector of parameters under the simple null hypothesis. The distance considered for this purpose is the phi-divergence measure. The asymptotic distribution is then derived for this family of test statistics. The proposed methodology is illustrated through the well-known data of Newcomb's measurements on the passage time for light. A simulation study is carried out to compare its performance with that of the EL ratio test when confidence intervals are constructed based on the respective statistics for small sample sizes. The results suggest that the ‘empirical modified likelihood ratio test statistic’ provides a competitive alternative to the EL ratio test statistic, and is also more robust than the EL ratio test statistic in the presence of contamination in the data. Finally, we propose empirical phi-divergence test statistics for testing a composite null hypothesis and present some asymptotic as well as simulation results for evaluating the performance of these test procedures.     

全国统一股价指数编制研究——指数期货标的物选择实证分析

一、目前我国主要股票指数缺陷分析我国现有的上证综合指数、深证综合指数、上证30指数和深证成分股指数在反映股票市场总体价格走势方面起着十分重要的作用 ,且各具其特色。但它们作为指数期货标的物有其不尽合理之处。(一 )上证综合指数和深证综合指数缺陷分析考虑上证综合指数和深证综合指数的编制方法 ,可以发现这两个指数在作为指数期货标的物方面都存在以下诸多缺陷 :1 采用全样本编制指数。一有新股上市 ,新股就计入指数计算范围。在我国目前股市扩容速度比较快的情况下 ,这两个指数缺乏内部结构的稳定性和指数前后可比性 ;而且新股…     

基于多元经验模式分解的股票收益与宏观经济关系分析

提出一种基于多元经验模式分解的股票市场收益与宏观经济活动关系的分析方法。通过月度道琼斯指数和美国工业生产指数的联合多元经验模式分解,得到多元金融时间序列的多尺度分量。采用希尔伯特—黄变换和边际谱确定每个尺度的主周期,进而在不同尺度下对多元时间序列进行相关性分析及Granger因果检验。结果表明:股票指数在中、长周期的某些尺度上是工业生产指数的Granger原因,序列之间具有明显的相关性,股票指数领先工业生产指数16个月到32个月不等。