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

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

JEL-codes: C32; C42

79 pages, November 1994

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