Marcel van Kints Jan de Haan Michael Webster

Transcription

1 Uilising big daa and mulilaeral index mehods o produce he Ausralian CPI Marcel van Kins: Prices and Economic Research Branch, Ausralian Bureau of Saisics Jan de Haan: Division of Corporae Services, IT and Mehodology, Saisics Neherlands, and OTB, Faculy of Archiecure and he Buil Environmen, Delf Universiy of Technology Michael Webser: Mehodology Division, Ausralian Bureau of Saisics The views expressed are hose of he auhors and do no necessarily reflec he views of he Ausralian Bureau of Saisics and Saisics Neherlands.

2 Ouline 1. Inroducion o scanner daa 2. Pracical consideraions 3. Mulilaeral index mehods 4. Implemenaion 5. Empirical resuls 09/05/2018 2

3 Consumer Price Index: Daa Sources Measures change in prices of goods and services ha households consume (ILO) Prices are colleced via several modes, including Personal visis Telephone Online Scanner daa 09/05/2018 3

4 Scanner daa: Descripion Sourced from reailers (originally) High or full iem coverage Iem level informaion Expendiure, quaniy, descripion, provider s classificaion Generally pre-aggregaed by locaion (oule) and ime period (week, monh) 09/05/2018 4

5 Pracical consideraions: Acquisiion Several saisical offices have negoiaed supply direcly from reailers and/or from inermediaries and marke research companies Differen benefis and challenges in negoiaing wih reailers vs inermediaries Negoiaions may ake some ime 09/05/2018 5

6 Pracical consideraions: Preparing for use Challenges include Developmen of IT sysems Iem definiion and classificaion Qualiy assurance Skill developmen 09/05/2018 6

7 Scanner daa: Poenial uses Improvemens o sampling Confron wih, replace, or expand samples Improvemens o weighing Updae weighs for caegories or iems Challenges relae o dynamic naure of daa Rapid iem urnover, flucuaions in expendiure 09/05/2018 7

8 Bilaeral approaches Desirable o produce weighed index using all iems, such as Törnqvis 0, T p i 0 i pi Bilaeral approaches no always suiable, however P 0 i s si 2 09/05/2018 8

9 Challenges wih bilaeral approaches Reliabiliy of direc indexes diminishes over ime Chained indexes can drif over ime 09/05/2018 9

10 Mulilaeral indexes Ivancic, Diewer and Fox (2011) proposed using mulilaeral indexes wih scanner daa Simulaneous price comparisons beween muliple ime periods These mehods have radiionally been used for spaial comparisons Mulilaeral comparison 09/05/

11 GEKS and CCD mehods GEKS: calculae bilaeral (Fisher) price comparisons beween each pair of periods hen combine: 0, P GEKS T = P F 0,l P F l, l=0 1 T+1 Caves, Chrisensen and Diewer (1982) suggesed using Törnqvis index in place of Fisher (yields CCD or GEKS-Törnqvis) 09/05/

12 Muliplicaion by q i and summaion yields and i Geary Khamis (GK) and Time Produc Dummy (TPD) Basic model: p i = P π i or p i /P = π i p i q i p i P q i = P π i q i i = π i q i which define he GK index. price emporal price level iem price level Exponeniaion by s i and muliplicaion yields and i p i s i p i P = P π i s i s i which define he TPD index i = π i s i 09/05/

13 Index (relaive o firs period) Mehods for exending mulilaeral indexes Need o exend index each period Daa from curren period can aler comparisons beween earlier periods Can revise index in normal circumsances Two quesions o address: 1. How do we form a mulilaeral window incorporaing he curren period? 2. How do we splice he resuls ono previous index levels? Time Window 1 Window 2 09/05/

14 Mehods for exending mulilaeral indexes Rolling or expanding window approaches Rolling window ime Fixed lengh Variable sar poin Expanding window ime Variable lengh Fixed sar poin (can be updaed from ime o ime) 09/05/

15 Index Rolling window exension mehods How should we link ogeher successive windows? Link in one period (which?) Time Window 1 Window /05/ Or ake he geomeric mean over all possible links

16 Journey owards mulilaeral mehods: Ausralian approach Mulilaeral index heory Scanner daa sudies Implemenaion plan Saisical qualiy framework Consulaion and exper review Framework for assessing mulilaeral mehods Theoreical and empirical assessmen 09/05/

17 Implemenaion of new mehods: Ausralian experience Sared using GEKS-Törnqvis in he CPI in December 2017 Developed and adoped echniques o minimise manual inervenion in resoluion of anomalies, qualiy adjusmen ec. Modified index srucure o weigh respondens separaely 09/05/

18 Empirical comparisons 09/05/

19 Empirical comparisons 09/05/

20 Quesions?