Prediction in the oneway error component model with serial correlation Academic Article uri icon


  • This paper derives the best linear unbiased predictor for a oneway error component model with serial correlation. A transformation derived by Baltagi and Li (1991) is used to show how the forecast can be easily computed from the GLS estimates and residuals. This result is useful for panel data applications which utilize the error component specification and exhibit serial correlation in the remainder disturbance term. Analytical expressions for this predictor are given when the remainder disturbances follow (1) an AR(1) process, (2) an AR(2) process, (3) a special AR(4) process for quarterly data, and (4) an MA(1) process. Copyright 1992 John Wiley & Sons, Ltd.

published proceedings

  • Journal of Forecasting

author list (cited authors)

  • Baltagi, B. H., & Li, Q. l.

citation count

  • 31

complete list of authors

  • Baltagi, Badi H||Li, Ql

publication date

  • January 1992