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Prediction in a Generalized Spatial Panel Data Model with Serial Correlation

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  • Badi H. Baltagi
  • Long Liu

Abstract

This paper considers the generalized spatial panel data model with serial correlation proposed by Lee and Yu (2012) which encompasses a lot of the spatial panel data models considered in the literature, and derives the best linear unbiased predictor (BLUP) for that model. This in turn provides valuable BLUP for several spatial panel models as special cases.
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Suggested Citation

  • Badi H. Baltagi & Long Liu, 2016. "Prediction in a Generalized Spatial Panel Data Model with Serial Correlation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(7), pages 573-591, November.
    • Handle: RePEc:wly:jforec:v:35:y:2016:i:7:p:573-591
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    Cited by:

    1. Xianning WANG & Jingrong DONG & Zhi XIAO & Guanjie HE, 2019. "A novel spatial mixed frequency forecasting model with application to Chinese regional GDP," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 54-77, June.

    More about this item

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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