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Prediction in the Random Effects Model with MA (q) Remainder Disturbances

✍ Scribed by Badi H. Baltagi; Long Liu

Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 98 KB
Volume: 32
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.1271

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✦ Synopsis

ABSTRACT

This paper considers the problem of forecasting in a panel data model with random individual effects and MA (q) remainder disturbances. It utilizes a recursive transformation for the MA (q) process derived by Baltagi and Li (Econometric Theory 1994; 10: 396–408) which yields a simple generalized least‐squares estimator for this model. This recursive transformation is used in conjunction with Goldberger's result (Journal of the American Statistical Association 1962; 57: 369–375) to derive an analytic expression for the best linear unbiased predictor, for the __i__th cross‐sectional unit, s periods ahead. Copyright © 2011 John Wiley & Sons, Ltd.

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