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

Marco Marini and Tommaso Di Fonzo

No 2011/179, IMF Working Papers from International Monetary Fund

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.

Keywords: WP; objective function; Benchmarking; Movement preservation; Linearly equality constrained non-linear optimization; Newton’s method; benchmarking procedure; BFGS performance; Hessian matrix; GRP criterion; GRP procedure; minimization problem; time series; benchmarked estimate; optimization procedure; Artificial intelligence; Global (search for similar items in EconPapers)
Pages: 42
Date: 2011-07-01
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Citations: View citations in EconPapers (2)

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