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<p>This paper considers the problem of transforming and estimating a two-way error components model with double <i>MA</i>(1) disturbances. A first transformation is proposed, which yields a simple generalized least-squares estimator for this model. A second transformation is then used to derive an analytic expression for the best linear unbiased predictor for the <i>i</i>-th cross-sectional unit, <i>h</i> periods ahead. Some intensive Monte Carlo experiments are then used to examine the performance of the proposed approach.</p>

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Transformation and Estimation of the Two-Way Error Components Models with Double MA(1) Disturbances

  • 期刊论文

  • 发表日期：

    2026年2月11日

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  • Serge Kelik Tayim,
  • Patrice Takam Soh,
  • Eugene Kouassi,
  • Simeon Fotso

摘要

This paper considers the problem of transforming and estimating a two-way error components model with double MA(1) disturbances. A first transformation is proposed, which yields a simple generalized least-squares estimator for this model. A second transformation is then used to derive an analytic expression for the best linear unbiased predictor for the i-th cross-sectional unit, h periods ahead. Some intensive Monte Carlo experiments are then used to examine the performance of the proposed approach.