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

被引：5

作者：

Song, SH

Jung, BC

机构：

[1] Korea Univ, Dept Stat, Sungbuk Ku, Seoul 136701, South Korea

[2] Ewha Womans Univ, Dept Stat, Seodaemun Ku, Seoul 120750, South Korea

来源：

STATISTICAL PAPERS | 2002年 / 43卷 / 04期

关键词：

error component model; spatial and serial autocorrelation; best linear unbiased prediction;

D O I：

10.1007/s00362-002-0123-x

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：551 / 566

页数：16

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