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

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Price:  $18.00

Author/Editor: Tommaso Di Fonzo, Marco Marini
Release Date: © July, 2011
ISBN : 978-1-46231-129-3
Stock #: WPIEA2011179
English
Stock Status: On back-order

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Description

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.




More publications in this series: Working Papers


More publications by: Tommaso Di Fonzo ; Marco Marini