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.
Benchmarking and movement preservation: evidences from real-life and simulated series
DI FONZO, TOMMASO;
2013
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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