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

Author

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  • 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.

Suggested Citation

  • Eugene Kouassi & Kern O. Kymn, 2008. "Prediction in the two-way random-effect model with heteroskedasticity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 451-463.
  • Handle: RePEc:jof:jforec:v:27:y:2008:i:5:p:451-463 DOI: 10.1002/for.1016
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    References listed on IDEAS

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    1. MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
    2. Balestra, Pietro, 1980. "A note on the exact transformation associated with the first-order moving average process," Journal of Econometrics, Elsevier, vol. 14(3), pages 381-394, December.
    3. Taub, Allan J., 1979. "Prediction in the context of the variance-components model," Journal of Econometrics, Elsevier, vol. 10(1), pages 103-107, April.
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    Cited by:

    1. Baltagi, Badi H., 2013. "Panel Data Forecasting," Handbook of Economic Forecasting, Elsevier.

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