Estimation and Prediction in the Random Effects Model with AR(p) Remainder Disturbances
This paper considers the problem of estimation and forecasting in a panel data model with random individual effects and AR(p) remainder disturbances. It utilizes a simple exact transformation for the AR(p) time series process derived by Baltagi and Li (1994) and obtains the generalized least squares estimator for this panel model as a least squares regression. This exact transformation is also used in conjunction with Goldberger’s (1962) result to derive an analytic expression for the best linear unbiased predictor. The performance of this predictor is investigated using Monte Carlo experiments and illustrated using an empirical example. Key Words: Prediction; Panel Data; Random Effects; Serial Correlation; AR(p) JEL Classification: C32
|Date of creation:||Jul 2012|
|Date of revision:|
|Contact details of provider:|| Postal: 426 Eggers Hall, Syracuse, New York USA 13244-1020|
Phone: (315) 443-3114
Fax: (315) 443-1081
Web page: http://www.maxwell.syr.edu/cpr.aspx
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marc Nerlove, 1968.
"Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross-Sections,"
Cowles Foundation Discussion Papers
257, Cowles Foundation for Research in Economics, Yale University.
- Nerlove, Marc, 1971. "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections," Econometrica, Econometric Society, vol. 39(2), pages 359-82, March.
- Frees, Edward W. & Miller, Thomas W., 2004. "Sales forecasting using longitudinal data models," International Journal of Forecasting, Elsevier, vol. 20(1), pages 99-114.
- Taub, Allan J., 1979. "Prediction in the context of the variance-components model," Journal of Econometrics, Elsevier, vol. 10(1), pages 103-107, April.
- Eugene Kouassi & Joel Sango & J. M. Bosson Brou & Francis N. Teubissi & Kern O. Kymn, 2011. "Prediction from the regression model with two‐way error components," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(6), pages 541-564, September.
- Maeshiro, Asatoshi, 1979. "On the Retention of the First Observations in Serial Correlation Adjustment of Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 259-65, February.
- Wansbeek, Tom & Kapteyn, Arie, 1983. "A note on spectral decomposition and maximum likelihood estimation in models with balanced data," Statistics & Probability Letters, Elsevier, vol. 1(4), pages 213-215, June.
- Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
- Badi H. Baltagi, 2007.
"Forecasting with Panel Data,"
Center for Policy Research Working Papers
91, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H. & Li, Qi, 1991. "A transformation that will circumvent the problem of autocorrelation in an error-component model," Journal of Econometrics, Elsevier, vol. 48(3), pages 385-393, June.
- Maeshiro, Asatoshi, 1976. "Autoregressive Transformation, Trended Independent Variables and Autocorrelated Disturbance Terms," The Review of Economics and Statistics, MIT Press, vol. 58(4), pages 497-500, November.
- Richard Schmalensee & Thomas M. Stoker & Ruth A. Judson, 1998. "World Carbon Dioxide Emissions: 1950-2050," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 15-27, February.
When requesting a correction, please mention this item's handle: RePEc:max:cprwps:138. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kelly Bogart)or (Katrina Wingle)
If references are entirely missing, you can add them using this form.