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

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  • Marco Marini
  • Tommaso Di Fonzo

Abstract

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.

Suggested Citation

  • Marco Marini & Tommaso Di Fonzo, 2011. "A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle," IMF Working Papers 11/179, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:11/179
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