Scandinavian Working Papers in Economics

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

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

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: 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

JEL-codes: C32; C42

21 pages, November 1994

Download statistics

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-03-27 10:24:37.