Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends

DOI10.1016/j.csda.2012.02.008zbMath1254.91672OpenAlexW2011844780MaRDI QIDQ1927075

Sabine Krieg, Jan A. van den Brakel

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.02.008

zbMATH Keywords

Kalman filtercointegrationstate-space modelssmall area estimationcommon factor models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

Special issue on small area estimation ⋮ Measuring Discontinuities in Time Series Obtained with Repeated Sample Surveys

Uses Software

• Ox
• SsfPack
• STAMP

Cites Work

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• Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
• Towards small area estimation at Statistics Netherlands
• Intervention analysis with state-space models to estimate discontinuities due to a survey redesign
• Model assisted survey sampling
• Analysis of Repeated Surveys Using a Dynamic Linear Model
• Repeated surveys and the Kalman filter
• Time series analysis for repeated surveys
• Analysis of Repeated Surveys Using Time Series Methods
• The Application of Time Series Methods to the Analysis of Repeated Surveys
• Time Series Analysis of Repeated Surveys: The State-space Approach
• Small‐area estimation by combining time‐series and cross‐sectional data
• Small Area Estimation-New Developments and Directions

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