Prediction in the Random Effects Model with MA (q) Remainder Disturbances
Article first published online: 23 DEC 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 32, Issue 4, pages 333–338, July 2013
How to Cite
Baltagi, B. H. and Liu, L. (2013), Prediction in the Random Effects Model with MA (q) Remainder Disturbances. J. Forecast., 32: 333–338. doi: 10.1002/for.1271
- Issue published online: 19 JUN 2013
- Article first published online: 23 DEC 2011
- panel data;
- random effects;
- serial correlation;
- MA (q)
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.