Integrating Expenditure and Income Data: What to Do with the Statistical Discrepancy?

Beaulieu, J. Joseph; Bartelsman, Eric J.

doi:10.2139/ssrn.622341

Cited by 3 publications

(2 citation statements)

References 17 publications

(10 reference statements)

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“…accounting balances, which may not be positive. In this case, |B j,t | should be considered instead of B j,t as the denominator in expression (11) (Beaulieu and Bartelsman (2004), Chen (2006) and Dagum and Cholette (2006), page 274):…”

Section: Two-step Reconciliation Proceduresmentioning

confidence: 99%

Simultaneous and Two-Step Reconciliation of Systems of Time Series: Methodological and Practical Issues

Fonzo

Marini

2010

Journal of the Royal Statistical Society Series C: Applied Statistics

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The reconciliation of systems of time series subject to both temporal and contemporaneous constraints can be solved in such a way that the temporal profiles of the original series be preserved ‘at best’ (the movement preservation principle). A new feasible simultaneous reconciliation procedure is presented, which exploits the sparsity of the linear system to be solved. A two-step reconciliation strategy might be more suitable in the case of large systems.We compare the results of the simultaneous and two-step approaches for two data sets from real life

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Section: Two-step Reconciliation Proceduresmentioning

confidence: 99%

Simultaneous and Two-Step Reconciliation of Systems of Time Series: Methodological and Practical Issues

Fonzo

Marini

2010

Journal of the Royal Statistical Society Series C: Applied Statistics

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“…Given that deriving (preliminary) reconciled estimates to start the algorithm may be an additional complication for practitioners, we view this feature as another clear advantage of the IP method. 5 The superscripts 'BB' and 'ST ' denote distinctive normalization factors of the squared differences at the numerator, as proposed byBeaulieu and Bartelsman (2004), andStuckey et al (2004), respectively.…”

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confidence: 99%

Reconciliation of systems of time series according to a growth rates preservation principle

Fonzo

Marini

2015

Stat Methods Appl

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We propose new simultaneous and two-step procedures for reconciling systems of time series subject to temporal and contemporaneous constraints according to a growth rates preservation (GRP) principle. The techniques exploit the analytic gradient and Hessian of the GRP objective function, making full use of all the derivative information at disposal. We apply the new GRP procedures to two systems of economic series, and compare the results with those of reconciliation procedures based on the proportional first differences (PFD) principle, widely used by data-producing agencies. Our experiments show that (1) the nonlinear GRP problem can be efficiently solved through an interior-point optimization algorithm, and (2) GRP-based procedures preserve better the growth rates than PFD solutions, especially for series with high temporal discrepancy and high volatility

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The Income- and Expenditure-Side Estimates of U.S. Output Growth

Nalewaik¹

2010

eca

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The two official measures of U.S. economic output, gross domestic product (GDP) and gross domestic income (GDI), have shown markedly different business cycle fluctuations over the past 25 years, with GDI showing a more pronounced cycle than GDP. This paper reports a broad range of results that indicate that GDI better reflects the business cycle fluctuations in true output growth. Results on revisions to the estimates, and correlations with numerous other cyclically sensitive variables, are particularly favorable to GDI. The most recent GDI data show the 2007-09 downturn to have been considerably worse than is reflected in GDP. 1. Online appendices for all papers in this issue may be found on the Brookings Papers webpage (www.brookings.edu/economics/bpea), under "Conferences and Papers." Source: Author's calculations using BEA data. a. "Initial" estimates are those in the third BEA release for each quarter. 4. This presentation was suggested to me by William Wascher. 5. The line plots the predicted values from regressing the 13 Q4-over-Q4 growth rates of real GDP(E) on a constant and the gap between the initial estimates of Q4-over-Q4 GDP(I) and GDP(E) growth. The coefficient on the gap is 0.98, with a standard error of 0.44 and an adjusted R 2 of 0.25. I also experimented with corrections that removed the effects of major methodological changes from the revisions; this modification increased the R 2 .

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Integrating Expenditure and Income Data: What to Do with the Statistical Discrepancy?

Cited by 3 publications

References 17 publications

Simultaneous and Two-Step Reconciliation of Systems of Time Series: Methodological and Practical Issues

Simultaneous and Two-Step Reconciliation of Systems of Time Series: Methodological and Practical Issues

Reconciliation of systems of time series according to a growth rates preservation principle

The Income- and Expenditure-Side Estimates of U.S. Output Growth

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