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

Author

Listed:
  • Cassel, Claes-M.

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

  • Lundquist, Peter

Abstract

Analysts using data from official statistical authorities often neglect the fact that data frequently is collected using sample surveys. We study the impact of sampling error on the estimation of the autocorrelation function for a population total under a microbased superpopulation time series model. We show that uncritical use of data published by statistical agencies may result in biased estimators. The bias is caused by the sampling error and is different from aggregation bias, Theil (1954). A simulation study shows that the bias can be considerable.

Suggested Citation

  • Cassel, Claes-M. & Lundquist, Peter, 1994. "Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples," SSE/EFI Working Paper Series in Economics and Finance 35, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0035
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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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