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

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

Claes M. Cassel and Peter Lundquist
Vol.1994(36)
SSE/EFI Working Paper Series in Economics and Finance, 36, Stockholm School of Economics (SSE)
1994

Abstract

microbased time series analysis superpopulation model sampling error; autocorrelation function C32 C42
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.

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