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UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES

  • Badi H. Baltagi (a1) and Ping X. Wu (a2)
    • Published online: 01 December 1999
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.

Copyright
Corresponding author
Address correspondence to: Badi H. Baltagi, Department of Economics, Texas A&M University, College Station, TX 77843-4228, USA; e-mail: Badi@econ.tamu.edu.
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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