forecasts for short dynamic panel data. We implement a nonparametric Bayesian approach to simultaneously identify coefficients … accurate estimates and score predictive gains over standard panel data estimators. With a data-driven group structure, the BGRE … standard panel data estimators …

This paper promotes the use of panel data in nowcasting. We shift the existing focus of the literature, which has … propose a mixed-frequency panel VAR model and a bias-corrected least squares (BCLS) estimator which attenuates the bias … inherent to fixed effects dynamic panel settings. We demonstrate how existing panel model selection and combination methods can …

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …