Testing time series data compatibility for benchmarking

被引：2
|
作者：
Quennevillle, Benoit [1 ]
Gagne, Christian [1 ]
机构：
[1] STAT Canada, Ottawa, ON K1A 0T6, Canada
来源：
INTERNATIONAL JOURNAL OF FORECASTING | 2013年 / 29卷 / 04期
关键词：
Autoregressive process; Chi-square distribution; Likelihood ratio test; Score test; Wald test;
D O I：
10.1016/j.ijforecast.2011.10.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Compatibility testing determines whether two series, say a sub-annual and an annual series, both of which are subject to sampling errors, can be considered suitable for benchmarking. We derive statistical tests and discuss the issues with their implementation. The results are illustrated using the artificial series from Denton (1971) and two empirical examples. A practical way of implementing the tests is also presented. Crown Copyright (C) 2011 Published by Elsevier B.V. on behalf of International Institute of Forecasters. All rights reserved.
引用
收藏
页码：754 / 766
页数：13
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