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Prediction in the two‐way random‐effect model with heteroskedasticity
Author(s) -
Kouassi Eugene,
Kymn Kern O.
Publication year - 2008
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.1016
Subject(s) - heteroscedasticity , econometrics , context (archaeology) , extension (predicate logic) , term (time) , variance (accounting) , autoregressive conditional heteroskedasticity , mathematics , computer science , statistics , economics , physics , volatility (finance) , paleontology , accounting , quantum mechanics , biology , programming language
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 (heteroskedasticity on the individual term, heteroskedasticity on the composite term ϵ it , and heteroskedasticity on the temporal term). Copyright © 2008 John Wiley & Sons, Ltd.