✦ LIBER ✦

Prediction from the regression model with two-way error components

✍ Scribed by Eugene Kouassi; Joel Sango; J. M. Bosson Brou; Francis N. Teubissi; Kern O. Kymn

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 212 KB
Volume: 30
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.1176

No coin nor oath required. For personal study only.

✦ Synopsis

In this paper we extend the Baillie and Baltagi (1999) paper (Prediction from the regression model with one-way error components. In Analysis of Panels and Limited Dependent Variables Models, Hsiao C, Lahiri K, Lee LF, Pesaran H (eds). Cambridge University Press, Cambridge, UK). In particular, we derive six predictors for the two-way error components model, as well as their associated asymptotic mean squared error (AMSE) of multi-step prediction. In addition, we also provide both theoretical and simulation evidence as to the relative effi ciency of our six alternative predictors. The adequacy of the prediction AMSE formula is also investigated by the use of Monte Carlo methods which indicate that the ordinary optimal predictors perform well for various accuracy criteria.

📜 SIMILAR VOLUMES

Prediction from the One-Way Error Compon

Prediction from the One-Way Error Components Model with AR(1) Disturbances

✍ Eugene Kouassi; Joel Sango; J.M. Bosson Brou; Francis N. Teubissi; Kern O. Kymn 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 149 KB

## ABSTRACT In this paper we extend the works of Baillie and Baltagi (1999, in __Analysis of Panels and Limited Dependent Variables Models__, Hsiao C __et al.__ (eds). Cambridge University Press: Cambridge, UK; 255–267) and generalize certain results from the Baltagi and Li (1992, __Journal of Fore

Prediction in the one-way error componen

Prediction in the one-way error component model with serial correlation

✍ Badi H. Baltagi; Ql Li 📂 Article 📅 1992 🏛 John Wiley and Sons 🌐 English ⚖ 329 KB

This paper derives the best linear unbiased predictor for a one-way error component model with serial correlation. A transformation derived by Baltagi and Li (1991) is used to show how the forecast can be easily computed from the GLS estimates and residuals. This result is useful for panel data appl

Prediction in the two-way random-effect

Prediction in the two-way random-effect model with heteroskedasticity

✍ Eugene Kouassi; Kern O. Kymn 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 227 KB

## Abstract In this paper we extend Taub (1979) approach for prediction in the context of the variance components model. The extension obtained is based on the two‐way random‐effect model with heteroskedasticity. Prediction functions are then obtained in three heteroskedasticity cases (heteroskedas

Prediction of blood levels after multipl

Prediction of blood levels after multiple doses from single-dose blood level data: Data generated with two-compartment open model analyzed according to the one-compartment open model

✍ John G. Wagner; Carl M. Metzler 📂 Article 📅 1969 🏛 John Wiley and Sons 🌐 English ⚖ 667 KB