摘要：This paper, on the
first hand, deals with the problem of estimation of Laspeyre price index number
when the errors are assumed to be generated from AR(2) process. The general
expression of hat matrix and DFBETA measure to find the influential consumer
commodities in stochastic Laspeyre price model with AR(2) errors are developed
on the other. The hat values show the noteworthy findings that the
corresponding weights of consumer items have large influence on the parameter
estimates for simple Laspeyre price index number and are not affected by the
parameter of autoregressive process of order two. While, DFBETA measures are
the functions of both weights and autocorrelation parameters. Lastly, an
example is presented with reference to price data of Pakistan, and shows its
practical importance in financial time series.
关键词：Hat Matrix; DFBETA; Laspeyre Price Index Number; Influential Observation; Autoregressive Process
