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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)

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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.dse.unive.it/fileadmin/templates/dse/wp/WP/WP_DSE_Caporin_Sartore_56_06.pdf
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Publisher Info
Paper provided by University of Venice "Ca' Foscari", Department of Economics in its series Working Papers with number 2006_56.

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

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Related research
Keywords: 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: General - - - General
C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

References listed on IDEAS
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  1. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November. [Downloadable!] (restricted)
  2. Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February. [Downloadable!] (restricted)
    Other versions:
  3. Santos Silva, J. M. C. & Cardoso, F. N., 2001. "The Chow-Lin method using dynamic models," Economic Modelling, Elsevier, vol. 18(2), pages 269-280, April. [Downloadable!] (restricted)
  4. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August. [Downloadable!] (restricted)
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Statistics
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