  A novel approach to price indices, leading to an innovative solution in both
a multi-period or a multilateral framework, is presented. The index turns out
to be the generalized least squares solution of a regression model linking
values and quantities of the commodities. The index reference basket, which is
the union of the intersections of the baskets of all country/period taken in
pair, has a coverage broader than extant indices. The properties of the index
are investigated and updating formulas established. Applications to both real
and simulated data provide evidence of the better index performance in
comparison with extant alternatives.
