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

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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.

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Authors and Affiliations

  1. Department of Statistics, Korea University, 5-1 Anam-Dong, 136-701, Sungbuk-Ku, Seoul, Korea

    Seuck Heun Song

  2. Department of Statistics, Ewha Womans University, 1 Daehyun-Dong, 120-750, Seodaemun-Ku, Seoul, Korea

    Byoung Cheol Jung

Authors
  1. Seuck Heun Song
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  2. Byoung Cheol Jung
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Song, S.H., Jung, B.C. BLUP in the panel regression model with spatially and serially correlated error components. Statistical Papers 43, 551–566 (2002). https://doi.org/10.1007/s00362-002-0123-x

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  • DOI: https://doi.org/10.1007/s00362-002-0123-x

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