UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
- 1 December 1999
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 15 (6) , 814-823
- https://doi.org/10.1017/s0266466699156020
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.Keywords
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