The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model <italic>y</italic><italic>null</italic> = α + β<italic>y</italic>_null + <italic>u</italic><italic>null</italic>. Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain...

Many regression models have two dimensions, say time (<italic>t</italic> = 1,…,<italic>T</italic>) and households (<italic>i</italic> = 1,…,<italic>N</italic>), as in panel data, error components, or spatial econometrics. In estimating such models we need to specify the structure of the error variance matrix <italic>Ω</italic>, which is of dimension <italic>T N</italic> × <italic>T N</italic>. If <italic>T N</italic> is...