Benchmarking following the Growth Rate Preservation Principle.

GRP is a method which explicitly preserves the period-to-period growth rates of the preliminary series. It corresponds to the method of Cauley and Trager (1981), using the solution proposed by Di Fonzo and Marini (2011). BFGS is used as line-search algorithm for the reduced unconstrained minimization problem.

Usage

grp(
  s,
  t,
  objective = c("Forward", "Backward", "Symmetric", "Log"),
  conversion = c("Sum", "Average", "Last", "First", "UserDefined"),
  obsposition = 1L,
  eps = 1e-12,
  iter = 500L,
  dentoninitialization = TRUE
)

Arguments

s: A preliminary series. It must be a "ts" object.
t: The low-frequency aggregation constraint. It must be a "ts" object.
objective: A character string specifying the objective function. For additional information on this, see the package vignette.
conversion: A character string specifying the conversion mode, typically "Sum" or "Average". The default is "Sum".
obsposition: An integer specifying the position of the observations of the low-frequency constraint within the benchmarked series (e.g. the 7th month of the year). This argument is used only when conversion = "UserDefined".
eps: A numeric value specifying the convergence tolerance. The BFGS algorithm proceeds until the reduction in the objective function is within this tolerance (default is 1e-12) or until the maximum number of iterations is reached.
iter: An integer giving the maximum number of iterations allowed in the BFGS algorithm. The default is 500.
dentoninitialization: Boolean. Indicates whether the series obtained via the modified Denton PFD method is used as the starting values for the GRP optimization procedure. The default is TRUE. If FALSE, the starting values are derived directly from the aggregation constraint (e.g. t/4 for quarterly series with annual constraint and conversion = "Sum").

Value

A "ts" object with the benchmarked series

References

Causey, B., and Trager, M.L. (1981). Derivation of Solution to the Benchmarking Problem: Trend Revision. Unpublished research notes, U.S. Census Bureau, Washington D.C. Available as an appendix in Bozik and Otto (1988).

Di Fonzo, T., and Marini, M. (2011). A Newton's Method for Benchmarking Time Series according to a Growth Rates Preservation Principle. IMF WP/11/179.

Daalmans, J., Di Fonzo, T., Mushkudiani, N. and Bikker, R. (2018). Growth Rates Preservation (GRP) temporal benchmarking: Drawbacks and alternative solutions. Statistics Canada.

Examples