Scanner Data Price Indexes: Addressing Some Unresolved Issues

Scanner data are increasingly being used in the calculation of price indexes such as the CPI. The preeminent approach is the RYGEKS method (Ivancic, Diewert and Fox 2011 Ivancic, L., Diewert, W.E., and Fox, K.J. (2011), “Scanner Data, Time Aggregation and the Construction of Price Indexes,” Journal of Econometrics, 161, 24–35.[Crossref], [Web of Science ®] , [Google Scholar]). This uses multilateral methods to construct price parities across a rolling year then links these to construct a nonrevisable index. While this approach performs well there remain some unresolved issues, in particular; the optimal window length and the linking method. In this note, these questions are addressed. A novel linking method is proposed along with the use of weighted GEKS as opposed to a fixed window. These approaches are illustrated empirically on a large scanner dataset and perform well.