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

July 1, 2011

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Marco Marini, and Tommaso Di Fonzo. A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle, (USA: International Monetary Fund, 2011) accessed November 12, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Artificial intelligence, Technology

Keywords: Artificial intelligence, Benchmarked estimate, Benchmarking, Benchmarking procedure, BFGS performance, Global, GRP criterion, GRP procedure, Hessian matrix, Linearly equality constrained non-linear optimization, Minimization problem, Movement preservation, Newton’s method, Objective function, Optimization procedure, Time series, WP

Publication Details

Pages:

42
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2011/179
Stock No:

WPIEA2011179
ISBN:

9781462311293
ISSN:

1018-5941

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