A Newton’s Method for Benchmarking Time Series according to a Growth Rates Preservation Principle; by Tommaso Di Fonzo and Marco Marini; IMF Working Paper 11/179; July 1, 2011
نویسندگان
چکیده
This work presents a new technique for temporally benchmarking a time series according to the growth rates preservation principle (GRP) by Causey and Trager (1981). A procedure is developed which (i) transforms the original constrained problem into an unconstrained one, and (ii) applies a Newton’s method exploiting the analytic Hessian of the GRP objective function. We show that the proposed technique is easy to implement, computationally robust and efficient, all features which make it a plausible competitor of other benchmarking procedures (Denton, 1971; Dagum and Cholette, 2006) also in a dataproduction process involving a considerable amount of series. JEL Classification Numbers: C22, C61, C82
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New Procedures for the Reconciliation of Time Series
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