Testing time series data compatibility for benchmarking

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.

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Year of publication:	2013
Authors:	Quennevillle, Benoît ; Gagné, Christian
Published in:	International Journal of Forecasting. - Elsevier, ISSN 0169-2070. - Vol. 29.2013, 4, p. 754-766
Publisher:	Elsevier
Subject:	Autoregressive process \| Chi-square distribution \| Likelihood ratio test \| Score test \| Wald test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709410