Repeated surveys and the Kalman filter
AbstractThe time-series nature of repeated surveys is seldom taken into account. The few studies that do so smooth the period-wise estimates without using the cross-sectional information. This leads to inefficient estimation. We present a statistical model of repeated surveys and construct a computationally simple estimator based on the Kalman filter algorithm. The method efficiently uses the whole underlying data set, but only the first and second moments of the data are required for computational purposes. Copyright 2005 Royal Economic Society
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 8 (2005)
Issue (Month): 3 (December)
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Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pfeffermann, Danny, 1991. "Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 163-75, April.
- Andrew Harvey & Chia-Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309.
- Pfeffermann, Danny, 1991. "Estimation and Seasonal Adjustment of Population Means Using Data from Repeated Surveys: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 177, April.
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