UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
具有 AR(1) 扰动的不等间隔面板数据回归
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…