Abstract
Richard Toftness (2002) "Comparison of Variance Estimation Techniques
for a Price Index with Non-Independent Weights."
We present an economic approach to variance estimation of price
indexes, applied to import and export trade. Instead of generating
weights and price changes independently, we generate one total share
value for each period for each industry, using a Gamma model of log
trade dollar values, and then we calculate base period weights and
quantities based on the Fisher model. To generate price changes, a spike
at 0% is estimated; then positive and negative price changes are modeled
separately, with the model chosen depending on the industry. The
variance estimation methods explored are: the Ratio Biased, the Taylor
Linearized, the Stratified Randomly Grouped, and the Stratified
Jackknife.
Last Modified Date: March 19, 2003
|
