This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 334
Type: Topic Contributed
Date/Time: Tuesday, August 3, 2010 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract - #308024
Title: Accuracy of Nonparametric Price Indexes Relative to a Parametric Price Index of an Estimated Cobb-Douglas Marginal Utility Model
Author(s): Peter Zadrozny*+
Companies: Bureau of Labor Statistics
Address: 2 Massachusetts Ave., NE, #3105, Washington, DC, 20212,
Keywords: cost of living price index ; mathematical approximation ; multi-step perturbation solution ; vector time-series modelling
Abstract:

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.


The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2010 program




2010 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.