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

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  • Mr. Marco Marini
  • Mr. 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

  • Mr. Marco Marini & Mr. Tommaso Di Fonzo, 2011. "A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle," IMF Working Papers 2011/179, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2011/179
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=25101
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    References listed on IDEAS

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    1. Pierre A. Cholette & Norma B. Chhab, 1991. "Converting Aggregates of Weekly Data into Monthly Values," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(3), pages 411-422, November.
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    Cited by:

    1. Mr. Marco Marini & Mr. Tommaso Di Fonzo, 2012. "On the Extrapolation with the Denton Proportional Benchmarking Method," IMF Working Papers 2012/169, International Monetary Fund.
    2. International Monetary Fund, 2013. "Algeria: Selected Issues Paper," IMF Staff Country Reports 2013/048, International Monetary Fund.

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