Scandinavian Working Papers in Economics
Memorandum,
Oslo University, Department of Economics
No 19/2004: Repeated surveys and the Kalman filter
Jo Thori Lind ()
Additional contact information
Jo Thori Lind: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Abstract: The time series nature of repeated surveys is seldom taken into account. The few studies that take this into account usually smooth the period-wise estimates without using the cross sectional information. This leads to inefficient estimation. I present a statistical model of repeated surveys and construct a computationally simple estimator based on the Kalman filter which efficiently uses the whole underlying data set, but which is computationally very simple as we only need the first and second empirical moments of the data.
Keywords: Surveys; Kalman filter; time series
19 pages, October 27, 2004
Full text files
Memo-19-2004.pdf
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