This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

In this paper we focus on tenant rents in Italy and compare results from several methods for the rent dynamic estimation. We first document the sources of data available and then introduce quality-adjusted techniques, which enable us to separate the price variation due to qualitative changes in...

In this paper, we examine the stochastic structure of a consumer price index and its inflation that ultimately provides the basis for monetary policy and other contracting fulfillments. The index is the broad monthly consumer price index, IPC-A of the Brazilian Institute of Geography and...

The paper explores the extent to which products follow systematic pricing patterns over their life cycle and the impact this has on the measurement of inflation. Using a large US scanner data set on supermarket products and applying flexible regression methods, we find that on average prices...

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Ordinary consumer price indices customarily overstate increases in the cost of living because they do not allow for consumer substitution as relative prices change. This study looks for a more accurate measure of variations in the cost of living in Argentina over the years 1960 to 1995, taking...

This paper reviews the theory of the true cost of living index and its approximation through superlative index numbers, as well as the Vartia quantum theory of bias in index numbers as applied to substitution bias in consumer price indices. Estimated adjustments are proposed for the Argentine...

This paper discusses and analyzes selected pertinent statistical and economic questions raised by the shift in price statistics towards covering broader markets of the economy, namely introducing a Producers Price Index (PPI) series in place of the Wholesale Price Index (WPI) series in Egypt...

Lacking data on price levels across locations (countries, national regions, etc.) for cross-space comparisons, researchers resort to local consumer price indexes (CPIs) over time to evaluate these levels. This approach unfortunately fails to specify, even generally, the exactness of such...

This paper discusses an index of perceived inflation developed by Brachinger. Brachinger's index is not based on a survey and measurement of consumers' price perception. It is a model calculation derived from a number of more or less plausible ad hoc assumptions. We find that the results of...