A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle

Author/Editor:

Marco Marini ; Tommaso Di Fonzo

Publication Date:

July 1, 2011

Electronic Access:

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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.

Series:

Working Paper No. 11/179

Subject:

English

Publication Date:

July 1, 2011

ISBN/ISSN:

9781462311293/1018-5941

Stock No:

WPIEA2011179

Format:

Paper

Pages:

42

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