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UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
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.
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Citations
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Metadata
- Authors
- Baltagi, B. H., & Wu, P. X.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1999-12
- Volume
- 15
- Issue
- 6
- Pages
- 814-823
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W2120739669
- Cited by
- 963
- References
- 0
- FWCI
- 8.72
- Type
- journal article
- Language
- en
- Open access
- closed
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How to cite
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- CoChat. (2026). Citation check: UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. https://app.cochat.ai/papers/10.1017/s0266466699156020
- The paper
- Baltagi, B. H., & Wu, P. X. (1999). UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES. Econometric Theory. https://doi.org/10.1017/s0266466699156020
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
