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Unequally Spaced Panel Data Regressions With Ar(1) Disturbances Author info | Abstract | Publisher info | Download info | Related research | Statistics Baltagi, Badi H.
Wu, Ping X.
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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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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_15Contact details of provider: Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK Fax: +44 (0)1223 325150 Email: Web page: http://journals.cambridge.org/jid_ECT
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