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

Author

Listed:
  • Cassel, Claes-M.

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

Abstract

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
    as

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    More about this item

    Keywords

    Microbased time series analysis; superpopulation; Generalised regression estimator;
    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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