Prediction in the random effects model with MA (q) remainder disturbances

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


This paper considers the problem of forecasting in a panel data model with random individual effects and MA (q) remainder disturbances. It utilizes a recursive transformation for the MA (q) process derived by Baltagi and Li (Econometric Theory 1994; 10: 396-408) which yields a simple generalized least-squares estimator for this model. This recursive transformation is used in conjunction with Goldberger's result (Journal of the American Statistical Association 1962; 57: 369-375) to derive an analytic expression for the best linear unbiased predictor, for the ith cross-sectional unit, s periods ahead.

Original languageEnglish (US)
Pages (from-to)333-338
Number of pages6
JournalJournal of Forecasting
Issue number4
StatePublished - Jul 2013


  • MA (q)
  • panel data
  • prediction
  • random effects
  • serial 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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