Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples
AbstractAnalysts using data from official statistical authorities often neglect the fact that data frequently is collected using sample surveys. We study the impact of sampling error on the estimation of the autocorrelation function for a population total under a microbased superpopulation time series model. We show that uncritical use of data published by statistical agencies may result in biased estimators. The bias is caused by the sampling error and is different from aggregation bias, Theil (1954). A simulation study shows that the bias can be considerable.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 35.
Length: 20 pages
Date of creation: Nov 1994
Date of revision:
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Microbased time series analysis; superpopulation model; sampling error; autocorrelation function;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
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