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

7 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\}",

year = "2002",

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doi = "10.1007/s00362-002-0123-x",

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AU - Song, Seuck Heun

AU - 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.

KW - Best linear unbiased prediction

KW - Error component model

KW - Spatial and Serial autocorrelation

UR - https://www.scopus.com/pages/publications/0036823692

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DO - 10.1007/s00362-002-0123-x

M3 - Article

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SN - 0932-5026

VL - 43

SP - 551

EP - 566

JO - Statistical Papers

JF - Statistical Papers

IS - 4

ER -

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

Abstract

Keywords

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