Estimation of Ar(1) Models with Unequally Spaced Pseudo-Panels

Posted: 6 Sep 2001

See all articles by David J. McKenzie

David J. McKenzie

World Bank - Development Research Group (DECRG); IZA Institute of Labor Economics

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. Non-linear least squares, minimum distance, and one-step estimators are used to impose the non-linear 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.

Keywords: Pseudo-panel, Repeated cross-sections, Synthetic cohorts, Irregular sampling, Unequal-spacing

Suggested Citation

McKenzie, David John, Estimation of Ar(1) Models with Unequally Spaced Pseudo-Panels. Available at SSRN: https://ssrn.com/abstract=281997

David John McKenzie (Contact Author)

World Bank - Development Research Group (DECRG) ( email )

1818 H. Street, N.W.
MSN3-311
Washington, DC 20433
United States

IZA Institute of Labor Economics ( email )

P.O. Box 7240
Bonn, D-53072
Germany

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