GEKS-Törnqvist Decomposition

This package focuses on one function GEKSdecomp, which decomposes the multilateral GEKS-Tornqvist index into the contributions of individual commodities. The calculation is based purely on the Decomposing Multilateral Price Indexes into the Contributions of Individual Commodities paper written by Michael Webster and Rory C. Tarnow-Mordi. It uses the techinque described under section 2.2 Decomposition of the CCD and GEKS Methods.

This package should be coupled with the GEKS package. Also see the alternates available for the FEWS (time product dummy) multilateral method FEWS package and TPD decomposition.

See the attached pdf, GEKS proofs to understand how the code was simplified for conditions where either price a or b is missing.

Installation

The GEKS decomposition function can be installed from GitHub using the following code

devtools::install_github("MjStansfi/GEKSdecomp")

# Once installed, the package can be loaded as usual
library(GEKSdecomp)

Usage

The primary function provided by the the package is the GEKS_decomp() function. Running ?GEKS_decomp() will give all the required information on how to use the function. An example of running the GEKS_decomp() the function is shown below.

Example

This pacakge includes the Turvey dataset as found in the Consumer Price Index Manual.

library(ggplot2)
ggplot(turvey, aes(x = month, y = price)) + 
  geom_line(aes(color = commodity)) + 
  geom_point(aes(color = commodity))+
  theme_bw() +
  ggtitle("Artificial prices of seasonal products Data created by R. Turvey")+
  annotate("rect", xmin=as.Date("1973-04-30"), xmax=as.Date("1973-05-31"), ymin=0, ymax=10, 
           alpha = .5)

The decomposition of the Turvey dataset with the contributions between 1973-04-30 and 1973-05-31 can be seen below.

#Make sure you restart your session if just installed

str(turvey)
#> 'data.frame':    176 obs. of  4 variables:
#>  $ month    : Date, format: "1970-01-31" "1970-01-31" ...
#>  $ commodity: Factor w/ 5 levels "Apples","Grapes",..: 1 2 3 1 2 3 1 2 3 1 ...
#>  $ price    : num  1.14 2.48 1.3 1.17 2.75 1.25 1.17 5.07 1.21 1.4 ...
#>  $ quantity : int  3086 82 10266 3765 35 9656 4363 9 7940 4842 ...

contributions <- with(
    turvey,
    GEKS_decomp(times = month,
               price = price,
               id = commodity,
               weight = price*quantity,
               custom_time = c("1973-04-30","1973-05-31"),
               window_length = NULL)
 )
#> Comparing change 1973-04-30 to 1973-05-31 
#> 1 / 5 2 / 5 3 / 5 4 / 5 5 / 5 

print(contributions)
#>          from         to           id   contrib   p_contrib
#> 1: 1973-04-30 1973-05-31       Apples 1.0349661  0.41102263
#> 2: 1973-04-30 1973-05-31       Grapes 0.9983307 -0.01998064
#> 3: 1973-04-30 1973-05-31      Oranges 1.0174108  0.20642793
#> 4: 1973-04-30 1973-05-31 Strawberries 1.0342314  0.40253008
#> 5: 1973-04-30 1973-05-31      Peaches 1.0000000  0.00000000