Jan de Haan
Division of Macroeconomic Statistics, Statistics Netherlands
P O Box 24500, 2490 HA The Hague, The Netherlands
Prices Unit, Statistics New Zealand
P O Box 2922, Wellington, New Zealand
The recently developed rolling year GEKS (Gini, 1931; Eltetö and Köves; 1964; Szulc, 1964) procedure makes maximum use of all matches in the data in order to construct price indexes that are (approximately) free from chain drift. A potential weakness is that unmatched items are ignored.
In this paper we use imputation Törnqvist price indexes as inputs into the rolling year GEKS procedure. These indexes account for quality changes by imputing the ‘missing prices’ associated with new and disappearing items. Three imputation methods are discussed. The first method makes explicit imputations using a hedonic regression model which is estimated for each time period. The other two methods make implicit imputations; they are based on time-dummy hedonic and time-product dummy regression models and are estimated on pooled data.
We present empirical evidence for New Zealand from scanner data on eight products and find that imputations can make a substantial difference. The choice of imputation method also matters.
The Treatment of New and Disappearing Items in Rolling Year GEKS Price Indexes: Evidence from New Zealand scanner data. (PDF, 34 pages, 814 kb)