WTPDIndex: Compute a weighted time-product-dummy multilateral index

In IndexNumR: Index Number Calculation

Compute a weighted time-product-dummy multilateral index

Description

A function to calculate a weighted-time-product-dummy multilateral index.

Usage

WTPDIndex(
  x,
  pvar,
  qvar,
  pervar,
  prodID,
  sample = "",
  window = 13,
  splice = "mean",
  imputePrices = NULL
)

Arguments

x	A dataframe containing price, quantity, a time period identifier and a product identifier. It must have column names.
pvar	A character string for the name of the price variable
qvar	A character string for the name of the quantity variable
pervar	A character string for the name of the time variable. This variable must contain integers starting at period 1 and increasing in increments of 1 period. There may be observations on multiple products for each time period.
prodID	A character string for the name of the product identifier
sample	set to "matched" to only use products that occur across all periods in a given window. Default is not to match.
window	An integer specifying the length of the window.
splice	A character string specifying the splicing method. Valid methods are window, movement, half, mean, fbew, fbmw, wisp, hasp or mean_pub. The default is mean. See details for important considerations when using fbew and fbmw.
imputePrices	the type of price imputation to use for missing prices. Currently only "carry" is supported to used carry-forward/carry-backward prices. Default is NULL to not impute missing prices.

Details

When there are missing values in the dataset (e.g., from new or disappearing products), the default option is to treat the missing prices and quantities as zero. An alternative is to use a matched sample, where only products that appear throughout each window in the calculation are kept.

The splicing methods are used to update the price index when new data become available without changing prior index values. The window, movement, half and mean splices use the most recent index value as the base period, which is multiplied by a price movement computed using new data. The fbew (Fixed Base Expanding Window) and fbmw (Fixed Base Moving Window) use a fixed base onto which the price movement using new data is applied. The base period is updated periodically. IndexNumR calculates which periods are the base periods using seq(from = 1, to = n, by = window - 1), so the data must be set up correctly and the right window length chosen. For example, if you have monthly data and want December of each year to be the base period, then the first period in the data must be December and the window must be set to 13.

References

Ivancic, L., W.E. Diewert and K.J. Fox (2011), "Scanner Data, Time Aggregation and the Construction of Price Indexes", Journal of Econometrics 161, 24-35.

Examples

# compute a wtpd index with mean splicing
WTPDIndex(CES_sigma_2, pvar = "prices", qvar = "quantities", pervar = "time",
prodID = "prodID", window=11, splice = "mean")

IndexNumR documentation built on Nov. 11, 2023, 1:07 a.m.