A Model-based Approach to Variance Estimation for Fixed Weights and Chained Price Indices
MetadataShow full item record
Original versionZhang, Li-Chun (2010). A Model-based approach to variance estimation for fixed weights and chained price indices. I: M. Carlson, H. Nyquist and M. Villani (Eds.): Official Statistics, Methodology and Applications in honour of Daniel Thorburn, pp. 149-166.
There is presented a model-based approach to variance estimation for both short-term fixed weights and long-term chained price indices. The individual price observations are treated as random variables whose probability distribution in part depends on some unknown index parameters that are postulated as the underlying theoretical inflation rates. The variance estimate summarizes the amount of variation in the potentially noisy price signals, providing an intuitive measure of uncertainty surrounding the estimated average price development.
Kapittelet er gjengitt med tillatelse fra Stockholm Universitet, Statistiska institutionen