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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.