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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 36:
Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples II

Claes-M. Cassel () and Peter Lundquist

Abstract: In Cassel and Lundquist (1990) the existence of sampling bias in estimating autocorrelation functions was discussed under a superpopulation model. One restriction of that model was that the time series model should not exhibit trend. In this paper we relax that restriction. The bias of a traditional estimator of the autocorrelation function is general of rather complicated nature. It depends on the sampling design, the time series model and the length of the sequence.

Keywords: Microbased time series analysis; superpopulation model; sampling error; autocorrelation function; (follow links to similar papers)

JEL-Codes: C32; C42; (follow links to similar papers)

21 pages, November 1994

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