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Methodological aspects of time series back-calculation

  • Massimiliano Caporin


    (Department of Economics, Università di Padova)

  • Domenico Sartore


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

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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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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  1. Andreas Beyer & Jurgen A. Doornik & David F. Hendry, 2000. "Reconstructing Aggregate Euro-zone Data," Journal of Common Market Studies, Wiley Blackwell, vol. 38(4), pages 613-624, November.
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