Time Series Analyses of Price Indices

MoonJung Cho, John L. Eltinge, and Patrick A. Bobbitt


The International Price Program of the Bureau of Labor Statistics estimates monthly indices on the changes in import and export prices for merchandise and services. The data are collected through a complex sample of establishments using monthly reported data. Consequently, in time series analyses of IPP data, there is potential interest in the variances and autocorrelation functions of both sampling and measurement errors, as well as the underlying true price-index series. This paper presents several analytic methods that one may use to estimate the parameters of these terms.