Prediction in a Generalized Spatial Panel Data Model with Serial Correlation

被引：6

作者：

Baltagi, Badi H. ^{[1
,2
,3
]}

Liu, Long ^{[4
]}

机构：

[1] Syracuse Univ, Ctr Policy Res, Maxwell Sch, 426 Eggers Hall, Syracuse, NY 13244 USA

[2] Syracuse Univ, Dept Econ, 426 Eggers Hall, Syracuse, NY 13244 USA

[3] Univ Leicester, Dept Econ, Leicester, Leics, England

[4] Univ Texas San Antonio, Coll Business, Dept Econ, One UTSA Circle, San Antonio, TX 78249 USA

来源：

JOURNAL OF FORECASTING | 2016年 / 35卷 / 07期

基金：

美国国家卫生研究院;

关键词：

prediction; panel data; fixed effects; random effects; serial correlation; spatial error correlation; REGRESSION; GROWTH;

D O I：

10.1002/for.2410

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers the generalized spatial panel data model with serial correlation proposed by Lee and Yu (Spatial panels: random components versus fixed effects. International Economic Review 2012; 53: 1369-1412.), which encompasses many of the spatial panel data models considered in the literature, and derives the best linear unbiased predictor (BLUP) for that model. This in turn provides valuable BLUP for several spatial panel models as special cases. Copyright (C) 2016 John Wiley & Sons, Ltd.

引用

页码：573 / 591

页数：19

共 22 条

[1]

Allen R. G., 1998, FAO Irrigation and Drainage Paper

[2]

Anselin L., 2008, The econometrics of panel data: Fundamentals and recent developments in theory and practice, DOI [DOI 10.1007/978-3-540-75892-1_19, 10.1007/978-3-540-75892-1_19]

[3]

Baltagi B.H., 2004, ADV SPATIAL ECONOMET, P283, DOI DOI 10.1007/978-3-662-05617-2_13

[4]

Baltagi B.H., 2006, SPATIAL EC ANAL, V1, P175, DOI DOI 10.1080/17421770601009817

[5] Forecasting with panel data [J].

Baltagi, Badi H. .

JOURNAL OF FORECASTING, 2008, 27 (02) :153-173

[6] Testing for serial correlation, spatial autocorrelation and random effects using panel data [J].

Baltagi, Badi H. ;

Song, Seuck Heun ;

Jung, Byoung Cheol ;

Koh, Won .

JOURNAL OF ECONOMETRICS, 2007, 140 (01) :5-51

[7]

Baltagi BH, 2013, HBK ECON, P995, DOI 10.1016/B978-0-444-62731-5.00018-X

[8] Estimating and Forecasting with a Dynamic Spatial Panel Data Model [J].

Baltagi, Badi H. ;

Fingleton, Bernard ;

Pirotte, Alain .

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2014, 76 (01) :112-138

[9] Prediction in the Random Effects Model with MA (q) Remainder Disturbances [J].

Baltagi, Badi H. ;

Liu, Long .

JOURNAL OF FORECASTING, 2013, 32 (04) :333-338

[10] Estimation and prediction in the random effects model with AR(p) remainder disturbances [J].

Baltagi, Badi H. ;

Liu, Long .

INTERNATIONAL JOURNAL OF FORECASTING, 2013, 29 (01) :100-107

← 1 2 3 →