Benchmarking, temporal distribution, and reconciliation methods for time series.
Before their official release by statistical agencies, time series data are subject to several adjustments intended to increase efficiency, reduce bias, replace missing values, correct errors, facilitate analysis and fulfill cross-sectional additivity constraints. This book is a very detailed course on statistical methods for such adjustments, focused on benchmarking, interpolation, temporal distribution, calendarization, and reconciliation. The goal of the authors is to point out the properties and limitations of existing procedures ranging from ad hoc to regression-based methods, to signal extraction based models. They also bring together the scattered literature on these topics and present them using a consistent notation and a unified view. The book consists of fourteen chapters and five appendices. It starts with a general introduction of the topics discussed. Chapter 2 is intended as a general introduction to time series analysis. Chapters 3, 4 and 5 discuss the additive and multiplicative regression-based model developed by \textit{P.A. Cholette} and \textit{E.B. Dagum} [Int. Stat. Rev. 62, No.3, 365-377 (1994; Zbl 0831.62062)]. Chapter 6 deals with the classical Denton method for benchmarking and interpolation based on the principle of movement preservation by \textit{F.T. Denton} [J. Am. Stat. Assoc. 66, 99-102 (1971; Zbl 0216.22801)]. Chapter 7 focuses on interpolation, temporal distribution and extrapolation. The presented methods include ad hoc procedures, regression-model based, ARIMA model based, the procedures of \textit{G.C. Chow} and \textit{A.-L. Lin} [Rev. Econ. Stat. 53, 372--375 (1971); J. Am. Stat. Assoc. 71, 719--721 (1976; Zbl 0342.62018)], and its dynamic extensions. Chapter 8 provides an overview of benchmarking methods which are based on signal extraction. In chapter 9, the problem of calendarization is examined. Chapter 10 discusses a unified regression-based framework for signal extraction, benchmarking and interpolation developed by \textit{E.B. Dagum, P.A. Cholette} and \textit{Z.-G. Chen} [Int. Stat. Rev. 66, No. 3, 245-269 (1998; Zbl 0952.62080)]. The last chapters 11 to 14 deal with adjustments for systems of time series, namely reconciliation or balancing. These chapters provide analytical solutions which enable implementation for large systems of series.The appendices A, B and C contain proofs of important theorems and a number of matrix algebra results. Appendices D and E discuss various seasonal and trading-day regressors for regression-based models. Each chapter of the book is self-contained and illustrates the methods discussed with a large number of real data examples. The book can be recommended as a very useful textbook for students as well as a reference book for researchers and practitioners in the field.
- A Unified View of Signal Extraction, Benchmarking, Interpolation and Extrapolation of Time Series
- scientific article; zbMATH DE number 3852254
- Seasonal adjustment of daily time series
- Time series analysis and its applications. With R examples
- scientific article; zbMATH DE number 1447423
- A course in time series analysis. Lectures of the ECAS '97, Madrid, Spain, September 15--19, 1997
- Time series analysis
- scientific article; zbMATH DE number 842531
- Benchmarking Time Series with Autocorrelated Survey Errors
- Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
- Single- and two-stage cross-sectional and time series benchmarking procedures for small area estimation
- Adjusting for calendar effects of real retail trade turnover time series
- Seasonal adjustment methods and real time trend-cycle estimation
- Bench-Marking Time Series with Reliable Bench-Marks
- A Unified View of Signal Extraction, Benchmarking, Interpolation and Extrapolation of Time Series
- scientific article; zbMATH DE number 2016103 (Why is no real title available?)
- Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization
- Benchmarked Estimators for a Small Area Mean Under a Onefold Nested Regression Model
- Benchmarking, Temporal Disaggregation, and Reconciliation of Systems of Time Series
- On the sequential benchmarking of subannual series to annual totals
- Entropy‐based benchmarking methods
- Temporal disaggregation of economic time series: The view from the trenches
- Retropolating some relevant series of Mexico's System of National Accounts at constant prices: The case of Mexico City's GDP
- Maximum likelihood estimation framework for table‐balancing adjustments
- The statistical reconciliation of time series of accounts between two benchmark revisions
- Solving large‐data consistency problems at Statistics Netherlands using macro‐integration techniques
- Seasonal adjustment subject to accounting constraints
- Reconciliation of seasonally adjusted data with applications to the Swedish quarterly national accounts
- The all-Russian classifiers are an important tool for describing and modeling types of economic activity
- Sparse temporal disaggregation
- Reconciliation of systems of time series according to a growth rates preservation principle
- A non-parametric iterative smoothing method for benchmarking and temporal distribution
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