Typically, labor statistics are collected tediously by the staff of Bureau of Labor Statistics by visiting, faxing and calling different stores, offices and online retailers in 90 cities across the nation and getting back nearly 80,000 prices for different items. This costs about $250MM per year and takes at least several weeks to put together.
Two economists at MIT Alberto Cavallo and Roberto Rigobon developed software that scours the web for prices, since most of the prices are now online and reports on the prices. No calling, No faxing or any other manual labor. This led to the quick collection of data though much tweaking is required to get the data in order.
This technology has led to the formation of a company called Pricestats. Interestingly, they publish the US and Argentina series of Indices and they are interesting to look at from the point of view of watching the daily inflation number instead of the monthly or yearly number. The one thing that is a startling is that it not only matches very closely with the CPI (Consumer price index numbers) that are issued by the US government at intervals but also that it gives a much smoother curve since the data can be harvested very quickly.
This has also been licensed to another company called State Street whose graph can be seen by clicking on this link.