Abstract
Summary The Denton method is widely used by statistical agencies to benchmark time series (i.e. to adjust them to annual benchmarks). This method does not take into account: (a) the presence of bias, and (b) the presence of autocorrelation and heteroscedasticity in the survey errors. This paper introduces a regression benchmarking method which incorporates (a) and (b) and calculates the relative efficiency with respect to the Denton method, under the assumption of various types of ARMA processes for the survey errors. The results are illustrated with the Canadian Retail Trade series.
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