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