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• W2093984136 abstract "The Kalman filter is a popular tool in engineering and economics. It is becoming popular in political science, touted for its abilities to reduce measurement error and produce more precise estimates of true public opinion. Its application to survey measures of public opinion varies in important ways compared to the traditionally understood Kalman filter. It makes a priori assumptions about the variance of the sampling error that would not usually be made and does so in a way that violates an important property of the Kalman filter. Consequently, the behavior of the filter modified for public opinion measures is less well-known. Through simulations we assess whether and to what extent filtering: reliably detects the characteristics of time series ; does so across series with different rates of autoregressive decay; and does so when the variance of the sampling error is unknown. We also examine whether the filtered data represents the level of true underlying variance and the extent to which filtering assists or hinders our ability to detect exogenous shocks. We learn a numbers of things. Most importantly, taking into account sampling error variance when filtering data can work well, though its performance does vary. First, filtering works best identifying time series characteristics when assuming a stationary process, even if the underlying process contains a unit root. Second, the performance of filtering drops off when we incorrectly specify the variance of the sampling error, and especially when we overestimate it. Third, when estimating exogenous shocks it is better to make no a priori assumptions regarding a measurement error variance unless we are absolutely certain we know what it is. In fact, applying the filter without specifying the measurement error variance is more often than not the best choice." @default.
• W2093984136 created "2016-06-24" @default.
• W2093984136 creator A5057601388 @default.
• W2093984136 creator A5085939626 @default.
• W2093984136 date "2009-09-01" @default.
• W2093984136 modified "2023-09-24" @default.
• W2093984136 title "On filtering longitudinal public opinion data: Issues in identification and representation of true change" @default.
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• W2093984136 doi "https://doi.org/10.1016/j.electstud.2009.05.014" @default.
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