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

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.
Publication date: July 2011
ISBN: 9781462311293
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Economics- Macroeconomics , Economics / General , International - Economics , time series , optimization , minimization , statistics , computation , survey , equation , probability , equations , economic statistics , standard deviation , mathematical programming , arithmetic , linear system , economic time series , mathematics , extrapolation , rate of change , linea

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