| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060996 | Economics Letters | 2011 | 4 Pages |
Abstract
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⺠A new price filter for retail scanner data is proposed. ⺠Periods of temporarily high price (price spikes) are small and relatively rare. ⺠Allowing for price spikes increases measured price duration.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ryan A. Chahrour,