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Microbased Time Series Analysis: Comparing the technique of pooling time series and cross-sectional data with a microbased superpopulation approach

Author

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  • Cassel, Claes-M.

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

Abstract

The purpose of this paper is to point out the similarities and differences between the traditional econometric approach used for analysing cross-sectional time series data and the microbased superpopulation approach. The superpopulation approach is applicable when a probability sample of units is actually drawn from a population of units and followed over time. When this situation is at hand the superpopulation approach offers a flexible way of dealing with the choice of estimation technique for analysing macrorelations. In the superpopulation approach the dummy variable technique is used for estimation conditional on the sample. Population parameters which are not identical for each unit in the population are estimated unconditionally using survey sampling principles. Questions regarding the efficiency of the estimators are discussed.

Suggested Citation

  • Cassel, Claes-M., 1994. "Microbased Time Series Analysis: Comparing the technique of pooling time series and cross-sectional data with a microbased superpopulation approach," SSE/EFI Working Paper Series in Economics and Finance 42, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0042
    as

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    More about this item

    Keywords

    Time series; cross-sectional data; superpopulation approach;
    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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