Abstract
Richard Valliant (1992) "Smoothing
Variance Estimates for Price Indexes Over Time," Journal of Official Statistics, 8, 433-444.
This paper explores the possibility of developing
generalized variances for price indexes by applying
nonparametric scatterplot smoothers to time series of point
variance estimates. The goal is to formulate smoothed
variances which are approximately unbiased, which provide
acceptable confidence interval coverage, and which are more
stable than the point variance estimates. Smoothing methods
are applied to time series of point variance estimates in a
simulation study using data from the U.S. Consumer Price
Index program.
Last Modified Date: July 19, 2008
|