Estimation of AR(1) models with unequally spaced pseudo-panels

David McKenzie

Econometrics Journal, 2001, vol. 4, issue 1, 40

Abstract: Surveys 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.

Keywords: Pseudo-panel; Repeated cross-sections; Synthetic cohorts; Irregular sampling; Unequal-spacing. (search for similar items in EconPapers)
Date: 2001
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