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Using Scanner Data to Estimate Country Price Parities: A Hedonic Regression Approach (2003)

Heravi, Saeed ; Heston, Alan ; Silver, Mick

Oxford, UK and Boston, USA : Blackwell Publishing Ltd.

Review of income and wealth 49 (2003), S. 0

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ISSN: 1475-4991

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: This paper uses scanner data from the bar-code readers of retailers to provide estimates of inter-country price parities at the level of the basic heading. The use of such data is appealing given its extensive coverage of transactions, information on weights, prices and characteristics of items at a highly detailed level. The study uses dummy variable hedonic and exact/superlative hedonic index number formulations applied to an inter-country context for both bilateral and multilateral comparisons. Unlike conventional methods, such methods are not confined to matched samples comparisons and thus make use of the entire sample. Their application extends to price survey data using checklists on characteristics. The application is to scanner data on about 1 million transactions for television sets over two months in three countries. It is, to the authors’ knowledge, the first such use of scanner data and application of the above hedonic frameworks in this context.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/1475-4991.00071

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The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test (1999)

Brooks, Chris ; Heravi, Saeed M.

Springer

Computational economics 13 (1999), S. 147-162

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ISSN: 1572-9974

Keywords: BDS test ; GARCH filters ; nonlinearity test ; finite sample distribution ; Monte Carlo study

Source: Springer Online Journal Archives 1860-2000

Topics: Computer Science , Economics

Notes: Abstract This paper considers the effect of using a GARCH filter on the properties of the BDS test statistic as well as a number of other issues relating to the application of the test. It is found that, for certain values of the user-adjustable parameters, the finite sample distribution of the test is far-removed from asymptotic normality. In particular, when data generated from some completely different model class are filtered through a GARCH model, the frequency of rejection of iid falls, often substantially. The implication of this result is that it might be inappropriate to use non-rejection of iid of the standardised residuals of a GARCH model as evidence that the GARCH model ‘fits’ the data.