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

Baltagi Badi H. | Zendy; Liu Long | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Premium

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

Author(s) -

Baltagi Badi H.,

Liu Long

Publication year - 2013

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.1271

Subject(s) - remainder , estimator , transformation (genetics) , econometrics , mathematics , simple (philosophy) , statistics , random effects model , expression (computer science) , econometric model , computer science , arithmetic , medicine , biochemistry , chemistry , philosophy , meta analysis , epistemology , gene , programming language

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.

This content is not available in your region!

Continue researching here.

Having issues? You can contact us here

Accelerating Research