UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
针对不等间距面板数据回归模型中的AR(1)扰动项，提出一种可行的广义最小二乘估计方法，并给出序列相关性检验。
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.