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Methodological aspects of time series back-calculation

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Author Info

  • Massimiliano Caporin

    ()
    (Department of Economics, Università di Padova)

  • Domenico Sartore

    ()
    (Department of Economics, University Of Venice Ca’ Foscari)

Abstract

This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.

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File URL: http://www.unive.it/media/allegato/DIP/Economia/Working_papers/Working_papers_2006/WP_DSE_Caporin_Sartore_56_06.pdf
File Function: First version, 2006
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Bibliographic Info

Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2006_56.

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Length: 16
Date of creation: 2006
Date of revision:
Handle: RePEc:ven:wpaper:2006_56

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Related research

Keywords: benchmarking; retropolation; historical reconstruction; back-forecasting; missing past values; aggregation; disaggregation.;

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Cited by:
  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
  2. repec:hal:journl:halshs-00423890 is not listed on IDEAS
  3. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, Department of Economics, University of Venice "Ca' Foscari".

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