No, I'm not in favour of a world government. A single government for the whole world, is a really impractical idea. One such 'world government' will find it very difficult to take decisions for the entire world.
Every country has it's own problems, it's own necessities and most importantly it's own people. People from different countries very in their ideas and it's very likely that there needs and goals will be conflicting. There's no way there can be a successful world government.
However in some cases , a world government is desirable too. For example to deal with issues that don't come under the jurisdiction of any one country. Seas and oceans , global warming etc are some such issues. 
If we ever have a world government then, it must be strictly given powers only to deal with the issues like those mentioned above. The United nations ( UN ), indirectly plays the role of a such a world government.
Representatives from each country can elect and form  a world government.