کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
999609 1481450 2013 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimation and prediction in the random effects model with AR(pp) remainder disturbances
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Estimation and prediction in the random effects model with AR(pp) remainder disturbances
چکیده انگلیسی

This paper considers the problem of estimation and forecasting in a panel data model with random individual effects and AR(pp) remainder disturbances. It utilizes a simple exact   transformation for the AR(pp) 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 29, Issue 1, January–March 2013, Pages 100–107
نویسندگان
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