Microbased Time Series Analysis: Estimating the autocorrelation function using survey samples

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

No 35, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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 (search for similar items in EconPapers)
JEL-codes: C32 C42 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1994-11
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0035

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