Repeated surveys and the Kalman filter
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.
|Date of creation:||27 Oct 2004|
|Contact details of provider:|| Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway|
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- 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 177-177, 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.
- 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 163-175, April.
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