JOS

Abstract
Journal of Official Statistics, Vol.8, No.4, 1992. pp. 433444

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Smoothing Variance Estimates for Price Indexes Over Time

Abstract:
This article explores the possibility of developing generalized variances for price indexes by applying nonparametric scatterplot smoothers to time series of point variance estimates. The goal here is to formulate smoothed variances which are approximately unbiased, which provide acceptable confidence interval coverage, and which are more stable than the point variance estimates. Smoothing methods are applied to time series of point variance estimates in a simulation study using data from the U.S. Comsumer Price Index program.

Keywords:
Generalized variance function; Laspeyres price index; linearization variance estimator; loess; super smoother.

Copyright Statistics Sweden 1996-2018.  Open Access
ISSN 0282-423X
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