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Unequally Spaced Panel Data Regressions With Ar(1) Disturbances

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  • Baltagi, Badi H.
  • Wu, Ping X.

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.

Suggested Citation

  • Baltagi, Badi H. & Wu, Ping X., 1999. "Unequally Spaced Panel Data Regressions With Ar(1) Disturbances," Econometric Theory, Cambridge University Press, vol. 15(6), pages 814-823, December.
    • Handle: RePEc:cup:etheor:v:15:y:1999:i:06:p:814-823_15
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