Benchmarking by State Space Models

James Durbin and B. Quenneville

International Statistical Review, 1997, vol. 65, issue 1, 23-48

Abstract: We have a monthly series of observations which are obtained from sample surveys and are therefore subject to survey errors. We also have a series of annual values, called benchmarks, which are either exact or are substantially more accurate than the survey observations; these can be either annual totals or accurate values of the underlying variable at a particular month. The benchmarking problem is the problem of adjusting the monthly series to be consistent with the annual values. We provide two solutions to this problem. The first of these is a two‐stage method in which we first fit a state space model to the monthly data alone and then combine the results obtained at this stage with the benchmark data. In the second solution we construct a single series from the monthly and annual values together and fit a state space model to this series in a single stage. The treatment is extended to series which behave multiplicatively. The methods are illustrated by applying them to Canadian retail sales sereis. Nous avons une série d'observations mensuelles provenant d'une enquéte par échantillonnage et nous avons aussi I'information sur les propriéteacute;s de I'erreur d'échantillonanage. de plus aous quelques valeurs annuelles qui sont très précises, par exemple, le vrai total annucl des valcurs mensuelles. cet article discute du problème de I'adjustement des valeurs mensuelles afin de les donnécs annuelles.

Date: 1997
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