On Empirical Best Linear Unbiased Predictor Under a Linear Mixed Model with Correlated Random Effects

Krzciuk Małgorzata K. ()
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Krzciuk Małgorzata K.: University of Economics in Katowice,Katowice, Poland

Econometrics. Advances in Applied Data Analysis, 2020, vol. 24, issue 2, 17-29

Abstract: The problem of small area prediction is considered under a Linear Mixed Model. The article presents a proposal of an empirical best linear unbiased predictor under a model with two correlated random effects. The main aim of the simulation analyses is a study of an influence of the occurrence of a correlation between random effects on properties of the predictor. In the article, an increase of the accuracy due to the correlation between random effects and an influence of model misspecification in cases of the lack of correlation between random effects are analyzed. The problem of the estimation of the Mean Squared Error of the proposed predictor is also considered. The Monte Carlo simulation analyses and the application were prepared in R language.

Keywords: Empirical Best Linear Unbiased Predictor; small area estimation; Monte Carlo simulation analyses (search for similar items in EconPapers)
JEL-codes: C15 C51 C53 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:eaiada:v:24:y:2020:i:2:p:17-29:n:2

DOI: 10.15611/eada.2020.2.02

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