多边价格指数中的价格异方差问题与CPD法的改进

Research on the Price Heteroscedasticity in Multilateral Price Index and the Improvement on CPD Method

CPD法是国际比较项目(ICP)中一种重要的多边价格比较方法,而多边价格比较方法的可靠性直接影响ICP公布的各国购买力平价数据的可信度。本文从理论上系统地分析了CPD法中存在的价格异方差问题,并引入一种消除异方差的WLS估计方法。然后以2011年ICP居民实际消费支出各大类商品的价格数据为例,实证说明WLS估计的CPD法能显著提高各国购买力平价数据的可靠性;相对而言,存在异方差的CPD法会系统性高估发展中国家的居民实际消费支出水平。

The CPD method is an important method of multilateral price comparisons in the International Comparison Program（ICP）, and the method of multilateral price comparisons will directly influence the reliability of each country＇s purchasing power parities data published by ICP. This paper in theory analyses the price heteroscedasticity in CPD method, and introduces a WLS estimation method to eliminate heteroscedasticity. Then, using the price data of the real consumption expenditure by households in 2011 ICP, it empirically proves that the CPD method under the WLS estimation can improve the reliability of each country＇ s purchasing power parities data; relatively, the CPD method with heteroseedastieity will systematically overvalue the real consumption expenditure in developing countries.