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

Oleh:

Mckenzie, David J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 4 no. 1 (2001), page 89-108.
Topik: Pseudo-panel; Repeated cross-sections; Synthetic cohorts; Irregular sampling; Unequal-spacing.
Fulltext: 89.pdf (428.39KB)

Isi artikel

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 da

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