TITLE:
Double Autocorrelation in Two Way Error Component Models
AUTHORS:
J. M. Bosson Brou, Eugene Kouassi, Kern O. Kymn
KEYWORDS:
Two Way Random Effect Model, Double Autocorrelation, GLS, FGLS
JOURNAL NAME:
Open Journal of Statistics,
Vol.1 No.3,
October
20,
2011
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.