Prediction in the Random Effects Model with MA (q) Remainder Disturbances |
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| Authors: | Badi H Baltagi Long Liu |
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| Institution: | 1. Center for Policy Research, Syracuse University, , NY, USA;2. Department of Economics, College of Business, University of Texas at San Antonio, , TX, USA |
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| Abstract: | 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 ith cross‐sectional unit, s periods ahead. Copyright © 2011 John Wiley & Sons, Ltd. |
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| Keywords: | prediction panel data random effects serial correlation MA (q) |
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