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UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES

Published online by Cambridge University Press:  01 December 1999

Badi H. Baltagi and
Ping X. Wu
Badi H. Baltagi
Affiliation:
Texas A&M University
Ping X. Wu
Affiliation:
University of Melbourne
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Abstract

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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.

Information

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 6 , December 1999, pp. 814 - 823
Copyright
© 1999 Cambridge University Press