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Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples II

Author

Listed:
  • Cassel, Claes-M.

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Lundquist, Peter

Abstract

In Cassel and Lundquist (1990) the existence of sampling bias in estimating autocorrelation functions was discussed under a superpopulation model. One restriction of that model was that the time series model should not exhibit trend. In this paper we relax that restriction. The bias of a traditional estimator of the autocorrelation function is general of rather complicated nature. It depends on the sampling design, the time series model and the length of the sequence.

Suggested Citation

  • Cassel, Claes-M. & Lundquist, Peter, 1994. "Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples II," SSE/EFI Working Paper Series in Economics and Finance 36, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0036
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    More about this item

    Keywords

    Microbased time series analysis; superpopulation model; sampling error; autocorrelation function;
    All these keywords.

    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; State Space Models
    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods

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