Unequally Spaced Panel Data Regressions with Ar(1) Disturbances
نویسندگان
چکیده
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+
منابع مشابه
Unequal spacing in dynamic panel data: Identification and estimation
We propose conditions under which parameters of fixed-effect dynamic models are identified with unequally spaced panel data. Under predeterminedness, weak stationarity, and empirically testable rank conditions, AR(1) parameters are identified given the availability of ‘‘two pairs of two consecutive time gaps’’, which generalizes ‘‘two pairs of two consecutive time periods’’. This result extends...
متن کاملDiscrete- vs. Continuous-Time Modeling of Unequally Spaced Experience Sampling Method Data
The Experience Sampling Method is a common approach in psychological research for collecting intensive longitudinal data with high ecological validity. One characteristic of ESM data is that it is often unequally spaced, because the measurement intervals within a day are deliberately varied, and measurement continues over several days. This poses a problem for discrete-time (DT) modeling approa...
متن کاملAlgorithms for Unequally Spaced Fast Laplace Transforms
Vol. 1 (2013) pp. 37-46. ALGORITHMS FOR UNEQUALLY SPACED FAST LAPLACE TRANSFORMS FREDRIK ANDERSSON⇤ Abstract. We develop fast algorithms for unequally spaced discrete Laplace transforms with complex parameters, which are approximate up to prescribed choice of computational precision. The algorithms are based on modifications of algorithms for unequally spaced fast Fourier transforms using Gauss...
متن کاملDevelopment of Unequally-Spaced Traffic Measurement Prediction Model
This paper presents the development of unequally-spaced or irregularly observed traffic measurement prediction model. Traffic measurements from detectors are usually observed or assumed to be equally-spaced (e.g., every 30 seconds and 1 minute) for transportation research. However, some traffic measurements may not be observed or assumed to be equally-spaced especially in arterial street and IT...
متن کاملSearching for biological rhythms: peak detection in the periodogram of unequally spaced data.
The classical power spectrum, computed in the frequency domain, outranks traditionally used periodograms derived in the time domain (such as the chi2 periodogram) regarding the search for biological rhythms. Unfortunately, classical power spectral analysis is not possible with unequally spaced data (e.g., time series with missing data). The Lomb-Scargle periodogram fixes this shortcoming. Howev...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 1999