This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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334
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, August 3, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #308024 |
Title:
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Accuracy of Nonparametric Price Indexes Relative to a Parametric Price Index of an Estimated Cobb-Douglas Marginal Utility Model
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Author(s):
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Peter Zadrozny*+
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Companies:
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Bureau of Labor Statistics
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Address:
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2 Massachusetts Ave., NE, #3105, Washington, DC, 20212,
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Keywords:
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cost of living price index ;
mathematical approximation ;
multi-step perturbation solution ;
vector time-series modelling
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Abstract:
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We use mathematical approximation theory to derive a 3rd-order nonparametric cost-of-living price index (COLPI). We show how some standard price indexes like Tornqvist and Stone relate to this index. We explain how to use the multi-step-perturbation (MSP) numerical method to compute the COLPI for a parametric Cobb-Douglas Marginal Utility (CDMU) model. We estimate a CDMU model using monthly U.S. data on eight aggregate categories of consumer expenditure. Finally, we compute the 3rd-order-approximate and Tornqvist nonparametric indexes for this data and compare their accuracy relative to the MSP-computed parametric COPLI of the estimated CDMU model.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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