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Benchmarking Systems of Seasonally Adjusted Time Series

Author

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  • Tommaso di Fonzo
  • Marco Marini

Abstract

When a system of time series is seasonally adjusted, generally the accounting constraints originally linking the series are not fulfilled. To overcome this problem, we discuss an extension to a system of series linked by an accounting constraint of the classical univariate benchmarking procedure due to Denton (1971), which is founded on a movement preservation principle that is very relevant in this case. The presence of linear dependence between the variables makes it necessary to deal with the whole set of contemporaneous and temporal aggregation relationships. The cases of one-way classified (e.g., by regions or by industries) and of two-way classified (e.g., by regions and by industries) systems of series are studied. An empirical application to the Canadian retail trade series by province (12 series) and trade groups (18 series) is considered to show the capability of the proposed procedures.

Suggested Citation

  • Tommaso di Fonzo & Marco Marini, 2005. "Benchmarking Systems of Seasonally Adjusted Time Series," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2005(1), pages 89-123.
    • Handle: RePEc:oec:stdkaa:5km7v1835wr5
    DOI: 10.1787/jbcma-2005-5km7v1835wr5
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    Citations

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    Cited by:

    1. Nino Mushkudiani & Jacco Daalmans & Reinier Bikker, 2018. "Solving large‐data consistency problems at Statistics Netherlands using macro‐integration techniques," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 553-573, November.
    2. José Casals & Miguel Jerez & Sonia Sotoca, 2009. "Modelling and forecasting time series sampled at different frequencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(4), pages 316-342.
    3. Baoline Chen & Tommaso Di Fonzo & Thomas Howells & Marco Marini, 2018. "The statistical reconciliation of time series of accounts between two benchmark revisions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 533-552, November.

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