Estimation of monthly unemployment figures in a rotating panel; on the use of auxiliary series in structural times series models

The Dutch Labor Force Survey (LFS) is based on a rotating panel design. Recently an estimation procedure that is based on a multivariate structural time series model has been adopted to produce monthly official statistics about the labor force. This approach handles problems with rotation group bias and small sample sizes in an effective way and enables Statistics Netherlands to produce timely and accurate estimates about the labor market. In this paper the time series model is extended by incorporating an auxiliary series about people registered as unemployed in the register of the Office for Employment and Income. The information of the auxiliary series is used to improve the precision of the monthly unemployment figures by modelling the correlation between the trends of the LFS series and the auxiliary series of the registered unemployed labor force. It appears that the trend of the series of the registered unemployed labor force is cointegrated or almost cointegrated with the trend of the estimated unemployed labor force of the LFS for several domains. This results in a considerable decrease of the standard errors for the monthly unemployed labor force.