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

✍ Scribed by Badi H. Baltagi; Ql Li

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 329 KB
Volume: 11
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980110605

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✦ Synopsis

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 applications which utilize the error component specification and exhibit serial correlation in the remainder disturbance term. Analytical expressions for this predictor are given when the remainder disturbances follow (1) an AR(1) process, (2) an AR(2) process, (3) a special AR(4) process for quarterly data, and (4) an MA(1) process.

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