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Activity Number: 427 - Contributed Poster Presentations:Government Statistics Section
Type: Contributed
Date/Time: Tuesday, July 31, 2018 : 2:00 PM to 3:50 PM
Sponsor: Government Statistics Section
Abstract #327150
Title: Time Series Reconciliation Through Flexible Least Squares Estimation
Author(s): Luis Frank*
Companies: University of Buenos Aires
Keywords: Time series reconciliation; flexible least squares; EMAE; Gross Domestic Product; GDP; Argentina
Abstract:

The research improves the current flexible least squares procedure for time series reconciliation. This kind of estimation was already introduced by the author but assuming a priori knowledge of a key weighting parameter. The improved procedure allows the estimation of the weighting paramater from the sample data by means of the Newton-Raphson iterative method. Encouraging results arise from the reconciliation of the monthly growth rates of Argentina's Monthly Economic Activity Estimator (EMAE) and the quarterly growth rates of the Gross Domestic Product.


Authors who are presenting talks have a * after their name.

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