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Estimation and prediction in the random effects model with AR(p) remainder disturbances

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  • Baltagi, Badi H.
  • Liu, Long

Abstract

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.

Suggested Citation

  • Baltagi, Badi H. & Liu, Long, 2013. "Estimation and prediction in the random effects model with AR(p) remainder disturbances," International Journal of Forecasting, Elsevier, vol. 29(1), pages 100-107.
    • Handle: RePEc:eee:intfor:v:29:y:2013:i:1:p:100-107
    DOI: 10.1016/j.ijforecast.2012.07.001
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    Cited by:

    1. Seth Nana Kwame Appiah-Kubi & Karel Malec & Sandra Boatemaa Kutin & Mansoor Maitah & Michael Chanda Chiseni & Joseph Phiri & Zdeňka Gebeltová & Sylvie Kobzev Kotásková & Kamil Maitah, 2020. "Foreign Ownership in Sub-Saharan Africa: Do Governance Structures Matter?," Sustainability, MDPI, vol. 12(18), pages 1-15, September.
    2. Simões, Paulo Fernando Mahaz & Souza, Reinaldo Castro & Calili, Rodrigo Flora & Pessanha, José Francisco Moreira, 2020. "Analysis and short-term predictions of non-technical loss of electric power based on mixed effects models," Socio-Economic Planning Sciences, Elsevier, vol. 71(C).
    3. Seth Nana Kwame Appiah-Kubi & Karel Malec & Mansoor Maitah & Sandra Boatemaa Kutin & Ludmila Pánková & Joseph Phiri & Orhan Zaganjori, 2020. "The Impact of Corporate Governance Structures on Foreign Direct Investment: A Case Study of West African Countries," Sustainability, MDPI, vol. 12(9), pages 1-15, May.
    4. Badi H. Baltagi & Long Liu, 2020. "Forecasting with unbalanced panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 709-724, August.
    5. Seth Nana Kwame Appiah-Kubi & Karel Malec & Joseph Phiri & Mansoor Maitah & Zdeňka Gebeltová & Luboš Smutka & Vojtech Blazek & Kamil Maitah & Jitka Sirohi, 2021. "Impact of Tax Incentives on Foreign Direct Investment: Evidence from Africa," Sustainability, MDPI, vol. 13(15), pages 1-12, August.
    6. Ayele, Getaneh Mihret, 2021. "The Effect of Everything But Arms Trade Preference on the Exports of Ethiopia: Empirical Evidence Using Gravity Model," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 30(02), October.

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    More about this item

    Keywords

    Prediction; Panel data; Random effects; Serial correlation; AR(p);
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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