Microbased Time Series Analysis: Estimating the autocorrelation function using survey sampling IV
AbstractAnalysts using data from official statistical authorities often neglect the fact that data frequently are collected using sample surveys. In this paper the impact of sampling error on the estimation of the autocovariance and the autocorrelation function is studied under a micro based superpopulation time series model. 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. Different estimators are investigated theoretically as well as with the help of simulations.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 40.
Length: 79 pages
Date of creation: Nov 1994
Date of revision:
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More information through EDIRC
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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