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

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

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 (search for similar items in EconPapers)
JEL-codes: C32 C42 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1994-11
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0036

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