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Time Series Analysis in Pooled Cross-Sections

Published online by Cambridge University Press:  18 October 2010

John J. Beggs
John J. Beggs
Affiliation:
Australian National University
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Abstract

This article proposes the use of spectral methods to pool cross-sectional replications (N) of time series data (T) for time series analysis. Spectral representations readily suggest a weighting scheme to pool the data. The asymptotically desirable properties of the resulting estimators seem to translate satisfactorily into samples as small as T = 25 with N = 5. Simulation results, Monte Carlo results, and an empirical example help confirm this finding. The article concludes that there are many empirical situations where spectral methods canbe used where they were previously eschewed.

Type
Articles
Information
Econometric Theory , Volume 2 , Issue 3 , December 1986 , pp. 331 - 349
Copyright
Copyright © Cambridge University Press 1986

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