Many price indices must be constructed without quantity data at the elementary level. We show that for some consumer goods in the United States and other countries, one can approximate expenditure shares using weights derived from the retail distribution of sellers. These weights are based on...

No cross-sectional consumer price index is currently available by state, and the BLS's cross-sectional "family budget" index for metropolitan areas is not well-suited for cross-state analyses. In this paper we propose an algorithm for constructing a state-specific Laspeyres price index using...

This paper provides a justification for hedonic price indices and details the properties of hedonic price functions. The analysis is done in a market setting in which a finite number of goods, each defined by its characteristics, interact. We note that proper hedonic indices can be constructed...

This paper investigates the use of high-frequency scanner data to construct price indexes. In the presence of inventory behavior, purchases and consumption by individuals differ over time. Cost-of-living indexes can still be constructed using data on purchases. For weekly data on canned tuna,...

In a 1993 paper, Marshall Reinsdorf finds that the CPI components for food and gas were biased upward by about 2% and 1% per year respectively during the 1980s. He attributes this result to outlet substitution bias. The more recent paper by Reinsdorf and Moulton [1994] presents an alternative...

We examine the issue of new goods and price indexes for the important and tractable case of generic and branded drugs. By treating generics as entirely distinct goods and "linking them in" to indexes with fixed weights, the standard price indexes fail to reflect the substantial welfare gains to...

We develop a new approach to measuring the cost of living for constant elasticity of substitution (CES) preferences. Our approach allows for demand shocks for individual goods (to rationalize micro data) while preserving a money-metric expenditure function (to compare the cost of living over...

The debate over including asset prices in the construction of an inflation statistic has attracted renewed attention in recent years. Virtually all of this (and earlier) work on incorporating asset prices into an aggregate price statistic has been motivated by a presumed, but unidentified...

We study how the arrival of macro-news affects the stock market's ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention,...