Repeated surveys and the Kalman filter

Jo Lind

No 19/2004, Memorandum from Oslo University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: C22 C53 C81 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2004-10-27
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sv.uio.no/econ/english/research/unpubli ... 004/Memo-19-2004.pdf (application/pdf)

Related works:
Journal Article: Repeated surveys and the Kalman filter (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:osloec:2004_019

Access Statistics for this paper

More papers in Memorandum from Oslo University, Department of Economics Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Mari Strønstad Øverås ().