Repeated surveys and the Kalman filter

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Repeated surveys and the Kalman filter

Author Info

Lind, Jo Thori () (Dept. of Economics, University of Oslo)

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Jo Thori Lind

Abstract

The time series nature of repeated surveys is seldom taken into account. The few studies that take this into account usually smooth the period-wise estimates without using the cross sectional information. This leads to inefficient estimation. I present a statistical model of repeated surveys and construct a computationally simple estimator based on the Kalman filter which efficiently uses the whole underlying data set, but which is computationally very simple as we only need the first and second empirical moments of the data.

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Paper provided by Oslo University, Department of Economics in its series Memorandum with number 19/2004.

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Length: 19 pages
Date of creation: 27 Oct 2004
Date of revision:
Handle: RePEc:hhs:osloec:2004_019

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Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
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Web page: http://www.oekonomi.uio.no/indexe.html
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Article
- Jo Thori Lind, 2005. "Repeated surveys and the Kalman filter," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 418-427, December. [Downloadable!] (restricted)

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Microeconomic Data

References listed on IDEAS
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: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 177, April.
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. [Downloadable!] (restricted)

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