SSE/EFI Working Paper Series in Economics and Finance
Microbased Time Series Analysis: Estimating the autocorrelation function using survey sampling IV
Abstract: Analysts using data from official statistical authorities
often neglect the fact that data frequently are collected using sample
surveys. In this paper the impact of sampling error on the estimation of
the autocovariance and the autocorrelation function is studied under a
micro based superpopulation time series model. 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.
Different estimators are investigated theoretically as well as with the
help of simulations.
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)
79 pages, November 1994
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