| Article ID: | iaor201112529 |
| Volume: | 30 |
| Issue: | 6 |
| Start Page Number: | 541 |
| End Page Number: | 564 |
| Publication Date: | Sep 2011 |
| Journal: | Journal of Forecasting |
| Authors: | Kouassi Eugene, Sango Joel, Bosson Brou J M, Teubissi Francis N, Kymn Kern O |
| Keywords: | statistics: regression |
In this paper we extend the Baillie and Baltagi (1999) paper. In particular, we derive six predictors for the two-way error components model, as well as their associated asymptotic mean squared error (AMSE) of multi-step prediction. In addition, we also provide both theoretical and simulation evidence as to the relative efficiency of our six alternative predictors. The adequacy of the prediction AMSE formula is also investigated by the use of Monte Carlo methods which indicate that the ordinary optimal predictors perform well for various accuracy criteria.