BLUP in the panel regression model with spatially and serially correlated error components. (English) Zbl 1008.62095
Summary: This paper considers a panel data regression model with spatial and serial correlation. We derive the best linear unbiased predictors for a spatial error component model including remainder disturbances that follow an AR(1) process, an AR(2) process, a special AR(4) process for quarterly data or an MA(1) process.
MSC:
| 62M20 | Inference from stochastic processes and prediction |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
Keywords:
spatial autocorrelation; best linear unbiased prediction; serial correlation; error component modelReferences:
| [1] | Anselin, L., Spatial Econometrics (1988), Dordrecht: Kluwer, Dordrecht |
| [2] | Anselin, L.; Bera, A.; Ullah, A.; Giles, D. E.A., Spatial dependence in linear regression models with an introduction to spatial econometrics correlation: a suggested, Handbook of Applied Economic Statistics (1998), New York: Marcel Dekker, New York |
| [3] | Balestra, P., A note on the exact transformation associated with the first-order moving average process, Journal of Econometrics, 14, 381-394 (1980) · Zbl 0458.62079 · doi:10.1016/0304-4076(80)90034-2 |
| [4] | Baltagi, B. H., On the seemingly unrelated regressions with error components, Econometrica, 48, 1547-1551 (1980) · Zbl 0464.62104 · doi:10.2307/1912824 |
| [5] | Baltagi, B. H., Prediction with a two way error component regression model: Problem 88.1.1., Econometric Theory, 4, 171-171 (1989) |
| [6] | Baltagi, B. H., Econometric Analysis of Panel Data (1995), New York: Wiley, New York · Zbl 0836.62105 |
| [7] | Baltagi, B. H.; Li, Q., Prediction in the one-way error component model with serial correlation, Journal of Forecasting, 11, 561-567 (1992) · doi:10.1002/for.3980110605 |
| [8] | Baltagi, B. H.; Li, D.; Anselin, L.; Florax, R., Prediction in the panel data model with spatial correlation, Advances in Spatial Econometrics (1999), Heidelberg: Springer, Heidelberg |
| [9] | Cliff, A. D.; Ord, J. K., Spatial Processes Models and Application (1981), London: Pion, London · Zbl 0598.62120 |
| [10] | Goldberger, A. S., Best linear unbiased prediction in the generalized linear regression model, Journal of the American Statistical Association, 57, 369-375 (1962) · Zbl 0124.35502 · doi:10.2307/2281645 |
| [11] | Kelejian, H. H.; Robinson, D. P.; Anselin, L.; Florax, R., Spatial correlation: a suggested alternative to the autoregressive model, New Directions in Spatial Econometrics (1995), Berlin: Springer, Berlin · Zbl 0877.62100 |
| [12] | Lempers, F. B.; Kloek, T., On a simple transformation for second-order autocorrelated disturbances in regression analysis, Statistica Neerlandica, 27, 69-75 (1973) · Zbl 0258.62051 · doi:10.1111/j.1467-9574.1973.tb00210.x |
| [13] | Prais, S.J. and Winsten, C.B. (1954) Trends estimator and serial correlation, Cowles Commision Discussion Paper. University of Chicago. |
| [14] | Taub, A. J., Prediction in the context of the variance components model, Journal of Econometrics, 10, 103-108 (1979) · Zbl 0398.62075 · doi:10.1016/0304-4076(79)90068-X |
| [15] | Thomas, J. J.; Wallis, K. F., Seasonal variation in regression analysis, Journal of the Royal Statistical Society, 134, 67-72 (1971) |
| [16] | Wansbeek, T.; Kapteyn, A., The seperation of individual variation and systematic change in the analysis of panel data, Annales de I’INSEE, 30-31, 659-680 (1978) |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.
