Methodological aspects of time series back-calculation
AbstractThis 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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Bibliographic InfoPaper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2006_56.
Date of creation: 2006
Date of revision:
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Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia
Web page: http://www.unive.it/dip.economia
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benchmarking; retropolation; historical reconstruction; back-forecasting; missing past values; aggregation; disaggregation.;
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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- Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007.
"Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI,"
2007_19, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2007(3), pages 333-366.
- Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012.
"Combination schemes for turning point predictions,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 52(4), pages 402-412.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Papers 2012_15, Department of Economics, University of Venice "Ca' Foscari".
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
- 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.
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