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Wiley InterScience | |||||
  Econometrics JournalVolume 8 Issue 3, Pages 418 - 427 Published Online: 25 Nov 2005 Journal compilation © 2009 Royal Economic Society. Published on behalf of the Royal Economic Society
Abstract | References | Full Text: HTML, PDF (Size: 94K) | Related Articles | Citation Tracking  Repeated surveys and the Kalman filter Copyright 2005 Royal Economic Society KEYWORDS
Surveys
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Kalman filter
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Time series
ABSTRACTSummary 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. Received: May 2004 | 
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