UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES

Badi Baltagi and Ping X. Wu

Econometric Theory, 1999, vol. 15, issue 6, 814-823

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.

Date: 1999
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