Estimation of AR(1) models with unequally spaced pseudo-panels
AbstractSurveys 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 InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 4 (2001)
Issue (Month): 1 ()
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