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Repeated surveys and the Kalman filter

Author

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  • Jo Thori Lind

Abstract

The 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

Suggested Citation

  • Jo Thori Lind, 2005. "Repeated surveys and the Kalman filter," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 418-427, December.
    • Handle: RePEc:ect:emjrnl:v:8:y:2005:i:3:p:418-427
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    Cited by:

    1. Du, Rex Yuxing & Kamakura, Wagner A., 2015. "Improving the statistical performance of tracking studies based on repeated cross-sections with primary dynamic factor analysis," International Journal of Research in Marketing, Elsevier, vol. 32(1), pages 94-112.
    2. Yury A. Kutoyants, 2025. "Hidden AR process and adaptive Kalman filter," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 77(1), pages 61-103, February.
    3. Krieg, Sabine & van den Brakel, Jan A., 2012. "Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends," Computational Statistics & Data Analysis, Elsevier, vol. 56(10), pages 2918-2933.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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; Data Access

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