UID:
edoccha_9958107708702883
Umfang:
1 online resource (63 p.)
ISBN:
1-4639-0190-9
,
1-4639-0033-3
,
1-283-56667-2
,
9786613879127
,
1-4639-0038-4
Serie:
IMF Working Papers
Inhalt:
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.
Anmerkung:
Description based upon print version of record.
,
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Growth Rates Preservation and Temporal Benchmarking; A. Modified Denton PFD; III. Gradient Vector and Hessian Matrix of the GRP criterion; IV. From a constrained to an unconstrained minimization problem; A. Eliminating the Linear Equality Constraints; B. Generating an Elimination Matrix by QR factorization; C. The Reduced Unconstrained Minimization Problem; V. Line-Search Algorithms for Unconstrained Minimization; A. Newton's Method with Hessian Modification; B. Steepest Descent and Quasi-Newton Methods
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C. Nonlinear Conjugate GradientVI. Projected Steepest Descent and Conjugate Gradient Directions; VII. Solvers' Efficiency and Quality; A. Performance Profiles; B. Denton (1971) series; C. EUQSA and MRTS series; VIII. Conclusions; APPENDIX A. Feasible direction according to Causey and Trager (1981); APPENDIX B. Performance Profiles; REFERENCES; Footnotes
,
English
Weitere Ausg.:
ISBN 1-4623-1129-6
Sprache:
Englisch
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