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Unequally Spaced Panel Data Regressions With Ar(1) Disturbances

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Author Info
Baltagi, Badi H.
Wu, Ping X.

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Abstract

This paper deals with the estimation of unequally spaced panel data regression models with AR(1) remainder disturbances. A feasible generalized least squares (GLS) procedure is proposed as a weighted least squares that can handle a wide range of unequally spaced panel data patterns. This procedure is simple to compute and provides natural estimates of the serial correlation and variance components parameters. The paper also provides a locally best invariant test for zero first-order serial correlation against positive or negative serial correlation in case of unequally spaced panel data.

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File URL: http://journals.cambridge.org/abstract_S0266466699156020
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 15 (1999)
Issue (Month): 06 (December)
Pages: 814-823
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Handle: RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15

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