In this paper we extend Taub (1979) approach for prediction in the context of the variance components model. The extension obtained is based on the two-way random-effect model with heteroskedasticity. Prediction functions are then obtained in three heteroskedasticity cases (heteroskedasticity on...

ABSTRACTThis paper extends the ‘remarkable property’ of Breusch (Journal of Econometrics 1987; <b>36</b>: 383–389) and Baltagi and Li (Journal of Econometrics 1992; <b>53</b>: 45–51) to the three‐way random components framework. Indeed, like its one‐way and two‐way counterparts, the three‐way random...