denton: Benchmarking by means of the Denton method.

In palatej/rjd3bench: Interface to 'JDemetra+ 3.0' Seasonal Adjustment Software

Benchmarking by means of the Denton method.

Description

Denton method relies on the principle of movement preservation. There exist a few variants corresponding to different definitions of movement preservation: additive first difference (AFD), proportional first difference (PFD), additive second difference (ASD), proportional second difference (PSD), etc. The default and most widely adopted is the Denton PFD method.

Usage

denton(
  s = NULL,
  t,
  d = 1,
  mul = TRUE,
  nfreq = 4,
  modified = TRUE,
  conversion = c("Sum", "Average", "Last", "First", "UserDefined"),
  obsposition = 1
)

Arguments

s	Disaggregated series. If not NULL, it must be the same class as t.
t	Aggregation constraint. Mandatory. it must be either an object of class ts or a numeric vector.
d	Differencing order. 1 by default
mul	Multiplicative or additive benchmarking. Multiplicative by default
nfreq	Annual frequency of the disaggregated variable. Used if no disaggregated series is provided.
modified	Modified (TRUE) or unmodified (FALSE) Denton. Modified by default
conversion	Conversion rule. Usually "Sum" or "Average". Sum by default.
obsposition	Position of the observation in the aggregated period (only used with "UserDefined" conversion)

Value

The benchmarked series is returned

Examples

Y<-ts(qna_data$B1G_Y_data$B1G_FF, frequency=1, start=c(2009,1))

# denton PFD without high frequency series
y1<-rjd3bench::denton(t=Y, nfreq=4)

# denton ASD
x1<-y1+rnorm(n=length(y1), mean=0, sd=10)
y2<-rjd3bench::denton(s=x1, t=Y, d=2, mul=FALSE)

# denton PFD used for temporal disaggregation
x2 <- ts(qna_data$TURN_Q_data[,"TURN_INDEX_FF"], frequency=4, start=c(2009,1))
y3<-rjd3bench::denton(s=x2, t=Y)

palatej/rjd3bench documentation built on April 17, 2024, 12:12 a.m.