Baltagi, Badi H.; Liu, Long - In: International Journal of Forecasting 29 (2013) 1, pp. 100-107
This paper considers the problem of estimation and forecasting in a panel data model with random individual effects and AR(p) remainder disturbances. It utilizes a simple exact transformation for the AR(p) time series process derived by Baltagi and Li (1994) and obtains the generalized least...