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

Seuck Heun Song, Byoung Cheol Jung

Research output: Contribution to journalArticlepeer-review

5 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 languageEnglish
Pages (from-to)551-566
Number of pages16
JournalStatistical Papers
Volume43
Issue number4
DOIs
StatePublished - Oct 2002

Keywords

  • Best linear unbiased prediction
  • Error component model
  • Spatial and Serial autocorrelation

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