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2013 | OriginalPaper | Chapter

45. Benchmarking and Movement Preservation: Evidences from Real-Life and Simulated Series

Authors : Tommaso Di Fonzo, Marco Marini

Published in: Advances in Theoretical and Applied Statistics

Publisher: Springer Berlin Heidelberg

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Abstract

The benchmarking problem arises when time series data for the same target variable are measured at different frequencies with different level of accuracy, and there is the need to remove discrepancies between annual benchmarks and corresponding sums of the sub-annual values. Two widely used benchmarking procedures are the modified Denton Proportionate First Differences (PFD) and the Causey and Trager Growth Rates Preservation (GRP) techniques. In the literature it is often claimed that the PFD procedure produces results very close to those obtained through the GRP procedure. In this chapter we study the conditions under which this result holds, by looking at an artificial and a real-life economic series, and by means of a simulation exercise.

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previous chapter The Determinants of Income Dynamics
next chapter Cumulation of Poverty Measures to Meet New Policy Needs
Appendix
Available only for authorised users
Footnotes
1
Empirical comparisons between the Cholette–Dagum regression-based benchmarking approach, which can be seen [5] as a generalization of the seminal contribution by Denton [6], and the Causey and Trager approach, are shown in Titova et al. [10].
 
2
For a recent survey on this issue, see Di Fonzo and Marini [8].
 
3
The median is more representative than the mean in the case of atypical values. We also calculated mean, standard deviation, minimum, and range of r 1 and r 2, available on request from the authors.
 
4
When the preliminary series were used as starting values, in 50 out of 25,000 cases (0.2%) the GRP procedure produced benchmarked series with r 2 > 1.
 
5
The index r 1 is greater than one for 488 out of 25,000 series (1,95%). The highest number of cases with r 1 > 1 (270) is observed for (σ e , μ) = (5, 0), followed by 101 cases for (σ e , μ) = (10, 0). The remaining cases are: 50 for (σ e , μ) = (15, 0), 15 for (σ e , μ) = (20, 0), 4 for (σ e , μ) = (25, 0), 20 for (σ e , μ) = (5, 15), 15 for (σ e , μ) = (10, 15), 8 for (σ e , μ) = (15, 15), 2 for (σ e , μ) = (20, 15), and 3 for (σ e , μ) = (25, 15).
 
Literature
1.
Bloem, A., Dippelsman, R., Mæhle, N.: Quarterly National Accounts Manual. Concepts, Data Sources, and Compilation. International Monetary Fund, Washington D.C. (2001)
2.
3.
Causey, B., Trager, M.L.: Derivation of Solution to the Benchmarking Problem: Trend Revision. Unpublished research notes, U.S. Census Bureau, Washington D.C. (1981). Available as an appendix in Bozik and Otto (1988)
4.
Cholette, P.A.: Adjusting sub-annual series to yearly benchmarks. Surv. Meth. 10, 35–49 (1984)
5.
Dagum, E.B., Cholette, P.A.: Benchmarking, Temporal Distribution, and Reconciliation Methods for Time Series. Springer, New York (2006)MATH
6.
Denton, F.T.: Adjustment of monthly or quarterly series to annual totals: An approach based on quadratic minimization. JASA 333, 99–102 (1971)
7.
Di Fonzo, T., Marini, M.: Simultaneous and two-step reconciliation of systems of time series: methodological and practical issues. JRSS C (Appl. Stat.) 60, 143–164 (2011a)
8.
9.
Luenberger, D.G.: Linear and Nonlinear Programming. Addison-Wesley, Reading (1984)MATH
10.
Titova, N, Findley, D., Monsell, B.C.: Comparing the Causey-Trager method to the multiplicative Cholette-Dagum regression-based method of benchmarking sub-annual data to annual benchmarks. In: JSM Proceedings, Business and Economic Statistics Section. American Statistical Association, Alexandria, VA (2010)
11.
Trager, M.L.: Derivation of Solution to the Benchmarking Problem: Relative Revision. Unpublished research notes, U.S. Census Bureau, Washington D.C. (1982) Available as an appendix in Bozik and Otto (1988)
12.
Metadata
Title
Benchmarking and Movement Preservation: Evidences from Real-Life and Simulated Series
Authors
Tommaso Di Fonzo
Marco Marini
Copyright Year
2013
Publisher
Springer Berlin Heidelberg
Book
Advances in Theoretical and Applied Statistics

Print ISBN: 978-3-642-35587-5

Electronic ISBN: 978-3-642-35588-2

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-3-642-35588-2_45

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