We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross-section of short …-sectional distribution of heterogeneous coefficients and then implicitly use this distribution as prior to construct Bayes forecasts for the … individual time series. In addition to density forecasts, we construct set forecasts that explicitly target the average coverage …

density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed …

density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed …