Time Series Analysis in Pooled Cross-Sections
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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.
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2016 ◽
Vol 50
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pp. 41-57
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2013 ◽
Vol 10
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pp. 20130048
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2009 ◽
Vol 40
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pp. 81-86
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2016 ◽
Vol 20
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pp. 61-94
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1989 ◽
Vol 46
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pp. 650-659
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