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

McKenzie, David J.
June 2001
Econometrics Journal;Jun2001, Vol. 4 Issue 1, p89
Academic Journal
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. Nonlinear least squares, minimum distance, and one-step estimators are used to impose the nonlinear 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.


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