Factor structural time series models for official statistics with an application to hours worked in Germany

Roland Weigand, Susanne Wanger and Ines Zapf
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Roland Weigand: Institute for Employment Research (IAB), Nuremberg, Germany
Susanne Wanger: Institute for Employment Research (IAB), Nuremberg, Germany
Ines Zapf: Institute for Employment Research (IAB), Nuremberg, Germany
Authors registered in the RePEc Author Service: Roland Jucknewitz

No 201522, IAB-Discussion Paper from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]

Abstract: "We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The methods add to the toolbox of official statisticians, constructing timely regular statistics from different data sources. In this context, we discuss typical measurement features such as survey errors, statistical breaks, different sampling frequencies and irregular observation patterns, and describe their statistical treatment. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in Germany, which enter the statistics on hours worked in the national accounts." (Author's abstract, IAB-Doku) ((en))

Keywords: Bundesrepublik Deutschland; Methode; Methodenliteratur; Schätzung; IAB-Arbeitszeitrechnung; Überstunden; Zeitreihenanalyse; Arbeitsvolumen; Arbeitszeit; Arbeitszeitkonto (search for similar items in EconPapers)
JEL-codes: C14 C32 C51 C53 C58 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2015
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published in/as: Journal of Official Statistics, (2017), o. Sz., doi:10.1515/jos-2018-0012

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Persistent link: https://EconPapers.repec.org/RePEc:iab:iabdpa:201522

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