Time series reconciliation through flexible least squares estimation

In the paper we optimize a procedure developed recently to reconcile time series by flexible least squares. In the previous version of the procedure the author assumed prior knowledge of the weighting parameter μ of Kalaba and Tesfatsion’s so-called “incompatibility cost...

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Autor principal: Frank, Luis
Formato: Artículo publishedVersion
Lenguaje:Inglés
Publicado: CIMBAGE - IADCOM - Facultad de Ciencias Económicas - Universidad de Buenos Aires 2023
Materias:
CONCILIACION DE SERIES DE TIEMPO
MINIMOS CUADRADOS FLEXIBLES
EMAE
PRODUCTO INTERNO BRUTO
TIME SERIES RECONCILIATION
FLEXIBLE LEAST SQUARES
GROSS DOMESTIC PRODUCT
Acceso en línea:https://ojs.economicas.uba.ar/CIMBAGE/article/view/2682
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=cimbage&d=2682_oai
Aporte de:
Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
id I28-R145-2682_oai
record_format dspace
spelling I28-R145-2682_oai2025-02-11 Frank, Luis 2023-05-15 In the paper we optimize a procedure developed recently to reconcile time series by flexible least squares. In the previous version of the procedure the author assumed prior knowledge of the weighting parameter μ of Kalaba and Tesfatsion’s so-called “incompatibility cost function”. In the new version, this parameter is estimated from the sample using an iterative method based on the Newton-Raphson algorithm. We test the improved method by reconciling the monthly growth rates of the Monthly Economic Activity Estimator (EMAE) of Argentina with the quarterly growth rates of the Gross Domestic Product. The results suggest that optimal levels of μ would be close to 1 (thevalue suggested by Kalaba and Tesfatsion as prior value) but estimating μ from the sample instead of keeping it fixed at 1 hardly modifies the reconciled series. En el art´ıculo optimizamos un procedimiento desarrollado recientemente para conciliar series de tiempo por m´ınimos cuadrados flexibles. En la versi´on anterior del procedimiento el autor asum´ıa conocimiento previo del par´ametro de ponderaci´on μ de la llamada “funci´on de costo de incompatibilidad” de Kalaba y Tesfatsion. En la nueva versi´on, este par´ametro se estima a partir de la muestra mediante un m etodo iterativo basado en el algoritmo de Newton-Raphson. Probamos el nuevo m´etodo conciliando las tasas de crecimiento mensual del Estimador de Actividad Econ´omica Mensual (EMAE) de Argentina con las tasas de crecimiento trimestrales del Producto Interno Bruto. Los resultados sugieren que los niveles ´optimos de μ ser´ıan cercanos a 1 (el valor sugerido por Kalaba y Tesfatsion como valor a priori) y que estimar μ a partir de la muestra en vez de mantenerlo fijo en 1 apenas modifica la serie reconciliada.  application/pdf https://ojs.economicas.uba.ar/CIMBAGE/article/view/2682 10.56503/CIMBAGE/Vol.1/Nro.25(2023)p.1-14 eng CIMBAGE - IADCOM - Facultad de Ciencias Económicas - Universidad de Buenos Aires https://ojs.economicas.uba.ar/CIMBAGE/article/view/2682/3406 Derechos de autor 2023 Cuadernos del CIMBAGE Cuadernos del CIMBAGE; Vol. 1 No. 25 (2023): Cuadernos del CIMBAGE N°25 (Junio 2023); 1-14 Cuadernos del CIMBAGE; Vol. 1 Núm. 25 (2023): Cuadernos del CIMBAGE N°25 (Junio 2023); 1-14 1669-1830 1666-5112 CONCILIACION DE SERIES DE TIEMPO MINIMOS CUADRADOS FLEXIBLES EMAE PRODUCTO INTERNO BRUTO TIME SERIES RECONCILIATION FLEXIBLE LEAST SQUARES EMAE GROSS DOMESTIC PRODUCT Time series reconciliation through flexible least squares estimation Conciliación de series de tiempo a través de mínimos cuadrados flexibles info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=cimbage&d=2682_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Inglés
orig_language_str_mv eng
topic CONCILIACION DE SERIES DE TIEMPO
MINIMOS CUADRADOS FLEXIBLES
EMAE
PRODUCTO INTERNO BRUTO
TIME SERIES RECONCILIATION
FLEXIBLE LEAST SQUARES
EMAE
GROSS DOMESTIC PRODUCT
spellingShingle CONCILIACION DE SERIES DE TIEMPO
MINIMOS CUADRADOS FLEXIBLES
EMAE
PRODUCTO INTERNO BRUTO
TIME SERIES RECONCILIATION
FLEXIBLE LEAST SQUARES
EMAE
GROSS DOMESTIC PRODUCT
Frank, Luis
Time series reconciliation through flexible least squares estimation
topic_facet CONCILIACION DE SERIES DE TIEMPO
MINIMOS CUADRADOS FLEXIBLES
EMAE
PRODUCTO INTERNO BRUTO
TIME SERIES RECONCILIATION
FLEXIBLE LEAST SQUARES
EMAE
GROSS DOMESTIC PRODUCT
description In the paper we optimize a procedure developed recently to reconcile time series by flexible least squares. In the previous version of the procedure the author assumed prior knowledge of the weighting parameter μ of Kalaba and Tesfatsion’s so-called “incompatibility cost function”. In the new version, this parameter is estimated from the sample using an iterative method based on the Newton-Raphson algorithm. We test the improved method by reconciling the monthly growth rates of the Monthly Economic Activity Estimator (EMAE) of Argentina with the quarterly growth rates of the Gross Domestic Product. The results suggest that optimal levels of μ would be close to 1 (thevalue suggested by Kalaba and Tesfatsion as prior value) but estimating μ from the sample instead of keeping it fixed at 1 hardly modifies the reconciled series.
format Artículo
publishedVersion
author Frank, Luis
author_facet Frank, Luis
author_sort Frank, Luis
title Time series reconciliation through flexible least squares estimation
title_short Time series reconciliation through flexible least squares estimation
title_full Time series reconciliation through flexible least squares estimation
title_fullStr Time series reconciliation through flexible least squares estimation
title_full_unstemmed Time series reconciliation through flexible least squares estimation
title_sort time series reconciliation through flexible least squares estimation
publisher CIMBAGE - IADCOM - Facultad de Ciencias Económicas - Universidad de Buenos Aires
publishDate 2023
url https://ojs.economicas.uba.ar/CIMBAGE/article/view/2682
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=cimbage&d=2682_oai
work_keys_str_mv AT frankluis timeseriesreconciliationthroughflexibleleastsquaresestimation
AT frankluis conciliaciondeseriesdetiempoatravesdeminimoscuadradosflexibles
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