Data for: Asymmetric fuel price responses under heterogeneity

Abstract of associated article: We explore the effect of cross-sectional aggregation of data on estimation and test of asymmetric retail fuel price responses to wholesale price shocks. The analysis is performed on data collected daily from individual fuel stations in the Spanish metropolitan areas of Madrid and Barcelona. While the standard OLS estimator is applied to an error correction model in the case of the aggregated time series, we use the mean group approaches developed by Pesaran and Smith (1995) and Pesaran (2006) to estimate the short- and long-run micro-relations under heterogeneity. We found remarkable differences between the results of estimations using aggregated and disaggregated data, which are highly robust to both datasets considered. Our findings could help to explain many of the results in the literature on this research topic. On the one hand, they suggest that the typical estimation with aggregated data clearly tends to overestimate the persistence of shocks. On the other hand, we show that aggregation may generate a loss of efficiency in econometric estimates that is sufficiently large to hide the existence of the “rockets and feathers” phenomenon.关联论文摘要：本研究探讨数据截面聚合对零售燃油价格针对批发价格冲击的不对称响应的估计与检验的影响。本分析基于从西班牙马德里与巴塞罗那都会区的个体加油站每日采集的数据开展。针对聚合时间序列情形，我们采用标准普通最小二乘（Ordinary Least Squares, OLS）估计量构建误差修正模型；同时，针对个体异质性场景，我们运用佩萨兰与史密斯（Pesaran and Smith, 1995）以及佩萨兰（Pesaran, 2006）提出的均值组方法，对短期与长期微观关系进行估计。研究发现，使用聚合数据与分解数据得到的估计结果存在显著差异，且该差异在所采用的两组数据集下均表现出高度稳健性。本研究结果有助于解释该研究主题相关文献中的诸多结论。一方面，研究表明采用聚合数据的常规估计方法明显倾向于高估冲击的持续性。另一方面，研究表明聚合操作可能会导致计量经济学估计的效率损失，且该损失程度足以掩盖“火箭与羽毛”现象的存在。