Suppose we have 23 observations, with time t=1,2,...,23. The dataset has 3
variable, t (time), x (independent) and y (dependent). The dependent
variable y is missing for the 3 observations in the middle:

1 x1 y1
... ...
10 x10 y10
11 x11 .
12 x12 .
13 x13 .
14 x14 y14
... ...
23 x23 y23

I run a simple AR(1) model, y on x, i.e., the error term follows an AR(1).

Then I delete two observations with missing dependent y.

Should I get the same regression parameter?