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Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

Persistent link: https://www.econbiz.de/10013266655

Revisiting the Great Ratios Hypothesis

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2022

The idea that certain economic variables are roughly constant in the long-run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical models in economics as conditions for balanced growth,...

Persistent link: https://www.econbiz.de/10013177659

Large Panel Data Models with Cross-Sectional Dependence: A Survey

Chudik, Alexander; Pesaran, M. Hashem - 2013

This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...

Persistent link: https://www.econbiz.de/10010319385

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...

Persistent link: https://www.econbiz.de/10011307129

Does Financial Inclusion Enhance per Capita Income in the Least Developed Countries?

Afonso, António; Blanco-Arana, M. Carmen - 2024

Financial inclusion is a key factor for economic growth in most developing countries. This paper examines the relationship between financial inclusion and Gross Domestic Product (GDP) per capita in the Least Developed Countries (LDCs) using panel data for the period 1990-2021. The empirical...

Persistent link: https://www.econbiz.de/10014534365

A Panel Data Model with Generalized Higher-Order Networks Effects

Baltagi, Badi H.; Ding, Sophia; Egger, Peter H. - 2020

Many data situations require the consideration of network effects among the cross-sectional units of observation. In this paper, we present a generalized panel model which accounts for two features: (i) three types of network effects on the right-hand side of the model, namely through weighted...

Persistent link: https://www.econbiz.de/10012425559

Twin Deficits through the Looking Glass: Time-Varying Analysis in the Euro Area

Afonso, António; Coelho, José Carlos - 2022

Using two measures of the fiscal position, the cyclically adjusted primary budget balance (CAPB) and the total budget balance, we assess the Twin Deficit Hypothesis for the Euro Area in the period 1995-2020. Furthermore, we estimate time-varying coefficients of the current account balance...

Persistent link: https://www.econbiz.de/10013177593

Dynamics of First-Time Patenting Firms

Nilsen, Øivind Anti; Raknerud, Arvid - 2022

This paper investigates firm dynamics in the period before, during, and after an event consisting of a first published patent application. The analysis is based on patent data from the Norwegian Industrial Property Office merged with data from several business registers covering a period of...

Persistent link: https://www.econbiz.de/10013427713

Dynamic Models of R&D, Innovation and Productivity: Panel Data Evidence for Dutch and French Manufacturing

Raymond, Wladimir; Mairesse, Jacques; Mohnen, Pierre; … - 2013

This paper introduces dynamics in the R&D to innovation and innovation to productivity relationships, which have mostly been estimated on cross-sectional data. It considers four nonlinear dynamic simultaneous equations models that include individual effects and idiosyncratic errors correlated...

Persistent link: https://www.econbiz.de/10010317010

The U.S. dollar exchange rate and the demand for oil

De Schryder, Selien; Peersman, Gert - 2013

Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate leads to a significant decline in oil demand for a sample of 65 oil-importing countries. The estimated effect turns out to be much larger than the impact of a shift in the...

Persistent link: https://www.econbiz.de/10010291653

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