Prediction in the two-way random-effect model with heteroskedasticity

Eugene Kouassi and Kern O. Kymn
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Eugene Kouassi: Resource Economics, West Virginia University, Morgantown, West Virginia, USA, Postal: Resource Economics, West Virginia University, Morgantown, West Virginia, USA
Kern O. Kymn: Division of Finance and Economics, West Virginia University, Morgantown, West Virginia, USA, Postal: Division of Finance and Economics, West Virginia University, Morgantown, West Virginia, USA

Journal of Forecasting, 2008, vol. 27, issue 5, 451-463

Abstract: In this paper we extend Taub (1979) approach for prediction in the context of the variance components model. The extension obtained is based on the two-way random-effect model with heteroskedasticity. Prediction functions are then obtained in three heteroskedasticity cases (heteroskedasticity on the individual term, heteroskedasticity on the composite term, and heteroskedasticity on the temporal term ). Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:27:y:2008:i:5:p:451-463

DOI: 10.1002/for.1016

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