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Estimation of AR(1) models with unequally spaced pseudo-panels

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  • DAVID J. MCKENZIE

Abstract

Surveys in developing countries are often taken at unequally spaced intervals. This paper provides for the estimation of dynamic pseudo-panel models with such data. Non-linear least squares, minimum distance, and one-step estimators are used to impose the non-linear parameter restrictions which occur in dynamic models over unequally spaced periods. Consistency and asymptotic normality of the estimators is established. A small-scale Monte Carlo simulation study corroborates the results. The paper also shows how these methods can be applied to allow estimation of dynamic models with irregularly spaced genuine panel data.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 4 (2001)
Issue (Month): 1 ()
Pages: 40

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Handle: RePEc:ect:emjrnl:v:4:y:2001:i:1:p:40

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Related research

Keywords: Pseudo-panel; Repeated cross-sections; Synthetic cohorts; Irregular sampling; Unequal-spacing.;

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Cited by:
  1. Colin Black & David C. Broadstock & Alan Collins & Lester C. Hunt, 2006. "Food Superstores, Food Deserts and Traffic Generation in the UK: A Semi-Parametric Regression Approach," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 112, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
  2. Hanig, Ross, 2006. "The Returns to Wages for Mexican Workers in a Post NAFTA World: Has the Gap in Returns to Wages Grown Between Mexican Workers in the U.S. and their Domestic Counterparts?," 2006 Annual meeting, July 23-26, Long Beach, CA 21385, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  3. Badi Baltagi & Seuck Song, 2006. "Unbalanced panel data: A survey," Statistical Papers, Springer, vol. 47(4), pages 493-523, October.

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