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A Newton’s Method for Benchmarking Time Series according to a Growth Rates Preservation Principle

Author/Editor: Di Fonzo, Tommaso | Marini, Marco
Authorized for Distribution: July 1, 2011
Electronic Access: Free Full Text (PDF file size is 1,468KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: 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 data-production process involving a considerable amount of series.
 
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Series: Working Paper No. 11/179
Subject(s): Time series
Author's keyword(s): Benchmarking | Movement preservation | Linearly equality constrained non-linear optimization | Newton’s method.
 
English  
    Published:   July 1, 2011        
            Format:   Paper
    Stock No:   WPIEA2011179   Pages:   42
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
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