Methodological Aspects of Time Series Back-Calculation

17 Pages Posted: 12 Dec 2006

See all articles by Massimiliano Caporin

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Domenico Sartore

Ca Foscari University of Venice - Dipartimento di Economia

Date Written: December 2006

Abstract

This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems. Furthermore, we explore the relevant problems and the possible solutions associated with a retropolation exercise, evidencing that linear models could be the preferred representation for the production of the needed data. The methodology is designed with a focus on economic time series but it could be considered even for other statistical areas. An empirical example is presented: we analyze the back-calculation of Eu15 Industrial Production Index comparing our approach with the Eurostat official one.

Keywords: benchmarking, retropolation, historical reconstruction, back-forecasting, missing past values, aggregation, disaggregation

JEL Classification: C10, C82, C50

Suggested Citation

Caporin, Massimiliano and Sartore, Domenico, Methodological Aspects of Time Series Back-Calculation (December 2006). University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 56/06, Available at SSRN: https://ssrn.com/abstract=950923 or http://dx.doi.org/10.2139/ssrn.950923

Massimiliano Caporin (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

Domenico Sartore

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

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