Document Type

Working Paper

Date

7-2012

Embargo Period

10-8-2012

Keywords

Prediction, Panel Data, Random Effects, Serial Correlation, AR(p)

Disciplines

Economics | Public Affairs, Public Policy and Public Administration

Description/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.

Source

local input

Creative Commons License

Creative Commons Attribution 3.0 License
This work is licensed under a Creative Commons Attribution 3.0 License.

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