BLUP in the panel regression model with spatially and serially correlated error components

Seuck Heun Song; Byoung Cheol Jung

doi:10.1007/s00362-002-0123-x

BLUP in the panel regression model with spatially and serially correlated error components

Seuck Heun Song, Byoung Cheol Jung

Department of Statistics

Korea University

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	551-566
Number of pages	16
Journal	Statistical Papers
Volume	43
Issue number	4
DOIs	https://doi.org/10.1007/s00362-002-0123-x
State	Published - Oct 2002

Keywords

Best linear unbiased prediction
Error component model
Spatial and Serial autocorrelation

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10.1007/s00362-002-0123-x

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title = "BLUP in the panel regression model with spatially and serially correlated error components",

abstract = "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.",

keywords = "Best linear unbiased prediction, Error component model, Spatial and Serial autocorrelation",

author = "Song, {Seuck Heun} and Jung, {Byoung Cheol}",

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AB - 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.

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EP - 566

JO - Statistical Papers

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BLUP in the panel regression model with spatially and serially correlated error components

Abstract

Keywords

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