Repeated Surveys and the Kalman Filter

10 Pages Posted: 3 Jan 2006

See all articles by Jo Thori Lind

Jo Thori Lind

University of Oslo - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Abstract

The time-series nature of repeated surveys is seldom taken into account. The few studies that do so smooth the period-wise estimates without using the cross-sectional information. This leads to inefficient estimation. We present a statistical model of repeated surveys and construct a computationally simple estimator based on the Kalman filter algorithm. The method efficiently uses the whole underlying data set, but only the first and second moments of the data are required for computational purposes.

Keywords: Surveys, Kalman filter, Time series

Suggested Citation

Lind, Jo Thori, Repeated Surveys and the Kalman Filter. Econometrics Journal, Vol. 8, No. 3, pp. 418-427, December 2005, Available at SSRN: https://ssrn.com/abstract=857575 or http://dx.doi.org/10.1111/j.1368-423X.2005.00172.x

Jo Thori Lind (Contact Author)

University of Oslo - Department of Economics ( email )

P.O. Box 1095 Blindern
N-0317 Oslo
Norway

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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