A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle
AbstractThis 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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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 11/179.
Date of creation: 01 Jul 2011
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-22 (All new papers)
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