UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES

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.

[1]  Kenneth J. White,et al.  Testing for Autocorrelation with Missing Observations , 1978 .

[2]  Maxwell L. King,et al.  Locally Best Invariant Tests of the Error Covariance Matrix of the Linear Regression Model , 1985 .

[3]  Alok Bhargava,et al.  Serial Correlation and the Fixed Effects Model , 1982 .

[4]  M. King.  The alternative Durbin-Watson test: An assessment of Durbin and Watson's choice of test statistic , 1981 .

[5]  Wayne A. Fuller,et al.  Estimation of linear models with crossed-error structure , 1974 .

[6]  Jean-Marie Dufour,et al.  Optimal Invariant Tests for the Autocorrelation Coefficient in Linear Regressions with Stationary and Nonstationary Ar(1) Errors , 1989 .

[7]  Thomas S. Shively,et al.  Testing for autoregressive disturbances in a time series regression with missing observations , 1993 .

[8]  J. Durbin,et al.  Testing for serial correlation in least squares regression. II. , 1950, Biometrika.

[9]  Tom Wansbeek,et al.  A simple way to obtain the spectral decomposition of variance components models for balanced data , 1982 .

[10]  Maxwell L. King,et al.  CRITICAL VALUE APPROXIMATIONS FOR TESTS OF LINEAR REGRESSION DISTURBANCES , 1985 .

[11]  T. Wansbeek,et al.  Estimation in a linear model with serially correlated errors when observations are missing , 1985 .

[12]  Jean-Marie Dufour,et al.  Durbin-Watson Tests for Serial Correlation in Regressions with Missing Observations , 1985 .

[13]  Thomas S. Shively,et al.  Fast Evaluation of the Distribution of the Durbin-Watson and other Invariant Test Statistics in Time Series Regression , 1990 .

[14]  Robert J. Willis,et al.  Dynamic Aspects of Earning Mobility , 1978 .

[15]  Badi H. Baltagi,et al.  Incomplete panels: A comparative study of alternative estimators for the unbalanced one-way error component regression model , 1994 .

[16]  Tom Wansbeek,et al.  Estimation of the error-components model with incomplete panels , 1989 .

[17]  H. Theil.  Principles of econometrics , 1971 .

[18]  Badi H. Baltagi,et al.  A transformation that will circumvent the problem of autocorrelation in an error-component model , 1991 .

[19]  Maxwell L. King,et al.  A point optimal test for autoregressive disturbances , 1985 .

[20]  P. Robinson.  Testing for serial correlation in regression with missing observations , 1985 .