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Prediction in the two-way random-effect model with heteroskedasticity

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Author Info
Eugene Kouassi (Resource Economics, West Virginia University, Morgantown, West Virginia, USA)
Kern O. Kymn (Division of Finance and Economics, West Virginia University, Morgantown, West Virginia, USA)
Abstract

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, and heteroskedasticity on the temporal term ). Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1016
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 27 (2008)
Issue (Month): 5 ()
Pages: 451-463
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Handle: RePEc:jof:jforec:v:27:y:2008:i:5:p:451-463

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