Methodological aspects of time series back-calculation

Massimiliano Caporin and Domenico Sartore

No 2006_56, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.

Keywords: benchmarking; retropolation; historical reconstruction; back-forecasting; missing past values; aggregation; disaggregation. (search for similar items in EconPapers)
JEL-codes: C10 C50 C82 (search for similar items in EconPapers)
Pages: 16
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2006_56

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