Small continuous surveys and the Kalman filter

Arbeitspapier

The time series nature of repeated surveys is seldom taken into account. I present a statistical model of repeated surveys and construct a computationally feasible estimator based on the Kalman filter. The novelty is that the estimator efficiently uses the whole underlying data set. However, for computational purposes, we only need the first and second empirical moments of the data.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers ; No. 333

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Forecasting Models; Simulation Methods ; Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
• Subject: Surveys ; Kalman filter ; time series.

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lind, Jo Thori
• Event: Veröffentlichung
• (who): Statistics Norway, Research Department
• (where): Oslo
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/192315
• Last update: 10.03.2025, 11:43 AM CET