Double Autocorrelation in Two Way Error Component Models

J. M. Bosson Brou, Eugene Kouassi, Kern O. Kymn

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DOI: 10.4236/ojs.2011.13022                

Abstract

In this paper, we extend the works by [1-5] accounting for autocorrelation both in the time specific effect as well as the remainder error term. Several transformations are proposed to circumvent the double autocorrelation problem in some specific cases. Estimation procedures are then derived.

Keywords

Two Way Random Effect Model, Double Autocorrelation, GLS, FGLS

Conflicts of Interest

The authors declare no conflicts of interest.

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