Time Series Analysis in Pooled Cross-Sections
合并横截面重复序列中的时间序列分析
This article proposes the use of spectral methods to pool cross-sectional replications ( N ) of time series data ( T ) for time series analysis. Spectral representations readily suggest a weighting scheme to pool the data. The asymptotically desirable properties of the resulting estimators seem to translate satisfactorily into samples as small as T = 25 with N = 5. Simulation results, Monte Carlo results, and an empirical example help confirm this finding. The article…