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Reestimation Result of Hedonic Regression Model (CGPI, Passenger Cars)

(AGENPARL) -Tokyo ven 09 novembre 2018 Scope of applicat
ion
Gasoline cars
hybrid
vehicles and plug
in hybrid
electric
vehicles
(sedan
station
wagon
, minivan
, SUV
, and hatchback
class
Passenger cars
in Producer Price Index (PPI), Export Price Index
(EPI), and Import Price
Index (IPI)
Dataset
Source:
The retail price
data
are provided
the
Goo

by the PROTO
CORPORATION
and the average discount rate
are
provided
with
the
Monthly
Car Magazine JIKAYOSHA
by
the Naigai Publishing Corp.
The price data on
passenger car
s are compiled by multiplying
the
retail prices and average
discount rates.
specification
data are provided with
the
Goo

as well
Other important
specifications unlisted in th
the
specification sheet of
each passenger car.
umber of
observations (
release
period
(from
3rd
uarter
201
to
uarter
Model selection
Based on the results of likelihood ratio tests, the double Box
Cox model is
selected.
Suggested period of
application
From
October 201
onward
Frequency
of
estimation
very October

ini passenger cars
, etc.
are excluded from observations.
The m
odel
estimated by mixing up price data
of both domestic goods and imported goods.
Hedonic regression model is assumed to be the general function form expressed as follows:
Bank of Japan

P
.
O
.

BOX 30
, NIHONBASHI

TOKYO 10
3

8
660
, J
APAN

TEL. +81

3

3279

1111

=
��(Table)
Suggested Period of Application
Estimated Model
Box-Cox Parameter of Dependent Variable
-0.280
0.150
Intercept
3,472.763
1,664.131
Sedans & Station Wagons
2.433
Box-Cox Parameter
1.066
Minivans
1.360E-05
0.039
Box-Cox Parameter
3.400
2.770
Sedans & Station Wagons
2.543E-09
9.512E-08
Box-Cox Parameter
1.372
1.637
Minivans
1.606E-09
1.754E-09
Box-Cox Parameter
1.455
2.097
SUVs
6.841E-09
3.147
Box-Cox Parameter
1.330
0.002
Hatchbacks
7.152E-18
1.951E-26
Box-Cox Parameter
3.351
5.773
Sedans & Station Wagons
2.846E-04
5.993
Box-Cox Parameter
0.647
0.003
Minivans
0.007
3.825E-07
Box-Cox Parameter
6.240E-06
3.384
SUVs
5.880E-06
3.243
Box-Cox Parameter
1.337
0.040
Hatchbacks
0.008
4.408
Box-Cox Parameter
3.621E-06
0.018
Dummy Variables
Car Configuration
Minivans
-1,162.565
2,275.621
SUVs
0.006
819.239
Hatchbacks
-2,306.764
2,019.161
Motor
Hybrid Vehicles
0.393
Plug-in Hybrid Electric Vehicles
2.137
Powertrain
AWD (Full time or Part time)
0.002
0.846
FR (Front-engine, rear-wheel-drive)
0.002
Standard Equipment
Leather Seats
0.001
1.003
Side Airbags
4.504E-04
0.559
Power Seats
0.002
0.869
Aluminum Wheel
0.002
LED Headlamp
0.001
Privacy Glass
0.782
Limited Slip Differential (LSD)
0.002
0.630
Advanced Emergency Braking System (AEBS)
0.358
Adaptive Cruise Control (ACC)
0.405
Adaptive Cruise Control (ACC)
0.001
Lane Departure Warning System (LDWS)
0.001
0.184
Adaptive Front-Lighting System (AFS)
0.001
0.624
Parking Assist
0.001
Brand
Brand A
-0.002
-1.557
Brand B
-0.003
-1.353
Brand C
-0.523
Brand D
-1.803
Brand E
-0.001
-1.237
Brand F
0.004
2.648
Brand G
0.003
-0.896
Brand H
-0.611
Brand I
0.006
2.987
Brand J
0.008
4.723
Brand K
0.006
3.825
R-squared
0.957
0.962
Adjusted R-squared
0.956
0.961
Standard Error of Regression
0.002
0.792
Mean of Dependent Variable
3.509
52.810
1,155
994
(from 3Q 2016 to 2Q 2018)
(from 3Q 2015 to 2Q 2017)
Tests for Double Box-Cox Model
: Double Box-Cox)
: Semi Box-Cox (λ
=1)
85.560
220.310
: Log Linear (λ

=0)
273.705
158.589
: Semi Log Linear (λ
=0,λ
=1)
130.257
238.038
: Linear (λ

=1)
1,905.192
641.781
Notes: 1. ***, ** and * denote significance at the 1%, 5% and 10% levels, respectively.
Notes:
2. The specification of Double Box-Cox Model is determined based on the result of likelihood ratio test.
Notes: 2.
The likelihood ratio statistics is distributed as chi-squared with degrees of freedom equal to the number of restraints.
Notes:
3. The intercept terms of the vehicle model dummy variables and continuous variables are used as explanatory variables in the model estimation.
Notes:
4. The equivalent inertia weight of a vehicle is measured as its curb weight with an additional 110kg of weight to a vehicle, which is set to chassis
Notes: 4.
dynamometer while measuring its fuel efficiency under JC08 emission test cycle.
Notes:
5. Sedans & Station Wagons are set to the baseline of the car configuration dummy variable.
Notes:
6. In addition to the explanatory variables listed above, the model includes release period dummy variables.
Number of Observations
(release period)
This Time Estimation
October 2018-
Double Box-Cox Model
Estimation Result for Passenger Cars
Last Time Estimation
October 2017-September 2018
Double Box-Cox Model
Room Space (
Fuel Efficiency JC08 (km/l)
×Equivalent Inertia Weight (kg)
Horsepower (PS)

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