Marini, Marco.
A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle Marco Marini. [electronic resource] / Marco Marini. - Washington, D.C. : International Monetary Fund, 2011. - 1 online resource (42 p.) - IMF Working Papers; Working Paper ; No. 11/179 . - IMF Working Papers; Working Paper ; No. 11/179 .
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.
1462311296 : 18.00 USD
1018-5941
10.5089/9781462311293.001 doi
Benchmarking
Computation
Estimating
Linearly Equality Constrained Non-Linear Optimization
Methodology for Collecting
Minimization
Thailand
A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle Marco Marini. [electronic resource] / Marco Marini. - Washington, D.C. : International Monetary Fund, 2011. - 1 online resource (42 p.) - IMF Working Papers; Working Paper ; No. 11/179 . - IMF Working Papers; Working Paper ; No. 11/179 .
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.
1462311296 : 18.00 USD
1018-5941
10.5089/9781462311293.001 doi
Benchmarking
Computation
Estimating
Linearly Equality Constrained Non-Linear Optimization
Methodology for Collecting
Minimization
Thailand