Arbeitspapier
Repeated surveys and the Kalman filter
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 2004,19
- Klassifikation
-
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
- Thema
-
Surveys
Kalman filter
time series
Zeitreihenanalyse
Schätztheorie
Zustandsraummodell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lind, Jo Thori
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lind, Jo Thori
- University of Oslo, Department of Economics
Entstanden
- 2004
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