Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 35: Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples

Claes-M. Cassel () and Peter Lundquist
Additional contact information
Claes-M. Cassel: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden

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.

Keywords: Microbased time series analysis; superpopulation model; sampling error; autocorrelation function

JEL-codes: C32; C42

20 pages, November 1994

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