Prediction in a Generalized Spatial Panel Data Model with Serial Correlation

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticle

3 Scopus citations

Abstract

This paper considers the generalized spatial panel data model with serial correlation proposed by Lee and Yu (Spatial panels: random components versus fixed effects. International Economic Review 2012; 53: 1369–1412.), which encompasses many of the spatial panel data models considered in the literature, and derives the best linear unbiased predictor (BLUP) for that model. This in turn provides valuable BLUP for several spatial panel models as Special Cases.

Original languageEnglish (US)
Pages (from-to)573-591
Number of pages19
JournalJournal of Forecasting
Volume35
Issue number7
DOIs
StatePublished - Nov 1 2016

Keywords

  • fixed effects
  • panel data
  • prediction
  • random effects
  • serial correlation
  • spatial error correlation

ASJC Scopus subject areas

  • Modeling and Simulation
  • Computer Science Applications
  • Strategy and Management
  • Statistics, Probability and Uncertainty
  • Management Science and Operations Research

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