TITLE

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

AUTHOR(S)
McKenzie, David J.
PUB. DATE
June 2001
SOURCE
Econometrics Journal;Jun2001, Vol. 4 Issue 1, p89
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
6373977

 

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