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Microbased Time Series Analysis: An efficient estimator of population parameters, using AR(1)-series and auxiliary information


  • Cassel, Claes-M.

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


An estimator of population parameters for cross sectional analysis is suggested. The estimator is basically the generalised regression estimator (TGR) but with an adjustment derived from optimal predictors of AR(1)-series. The P- properties of the estimator are studied and the efficiency of the estimator is compared to that of TGR. It is shown to be more efficient than TGR in some circumstances.

Suggested Citation

  • Cassel, Claes-M., 1994. "Microbased Time Series Analysis: An efficient estimator of population parameters, using AR(1)-series and auxiliary information," SSE/EFI Working Paper Series in Economics and Finance 41, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0041

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    References listed on IDEAS

    1. Kenneth Rogoff, 1985. "The Optimal Degree of Commitment to an Intermediate Monetary Target," The Quarterly Journal of Economics, Oxford University Press, vol. 100(4), pages 1169-1189.
    2. Obstfeld, Maurice, 1997. "Destabilizing effects of exchange-rate escape clauses," Journal of International Economics, Elsevier, vol. 43(1-2), pages 61-77, August.
    3. Persson, Torsten & Tabellini, Guido, 1993. "Designing institutions for monetary stability," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 53-84, December.
    4. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-491, June.
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    More about this item


    Microbased time series analysis; superpopulation; Generalised regression estimator;

    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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