Sales and price spikes in retail scanner data

Price filters used by macroeconomists place strong restrictions on “regular price” series. I propose a new price filter and show that, while many pricing facts are robust to filter specification, implications for price duration depend on the choice of filter.

Research Highlights► A new price filter for retail scanner data is proposed. ► Periods of temporarily high price (price spikes) are small and relatively rare. ► Allowing for price spikes increases measured price duration.