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Microbased Time Series Analysis: Optimal prediction of aggregated AR(1)- series from survey samples II


  • Cassel, Claes-M.

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

  • Lundquist, Peter


Using a microbased superpopulation approach (see Cassel and Lundquist (1991), (1990))the question of optimal predictors of a population total of AR(1) series is analysed. Only a sample of the individual timeseries in the population is observed. From the sample the population total is predicted. Sampling aspects as well as aspects concerning the time series models are taken into account.

Suggested Citation

  • Cassel, Claes-M. & Lundquist, Peter, 1994. "Microbased Time Series Analysis: Optimal prediction of aggregated AR(1)- series from survey samples II," SSE/EFI Working Paper Series in Economics and Finance 39, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0039

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    More about this item


    Microbased time series analysis; superpopulation model; sampling error; autocorrelation function; optimal prediction;

    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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