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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
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Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...
Persistent link: https://www.econbiz.de/10012492956
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Panel Data Gravity Models of International Trade
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2014
of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective … equations across pairs or regional units or even across cross-sectional units and time inevitably leads to a panel data …
Persistent link: https://www.econbiz.de/10010333385
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A generalized spatial panel data model with random effects
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2012
This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...
Persistent link: https://www.econbiz.de/10010288235
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in … addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed …
Persistent link: https://www.econbiz.de/10013316613
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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
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A Panel Data Model with Generalized Higher-Order Networks Effects
Baltagi, Badi H.; Ding, Sophia; Egger, Peter H. - 2021
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/10013315048
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Increasing longevity and social security reforms
Andersen, Torben M. - 2006
case where the unobserved common factors follow unit root processes and could be cointegrated. It is found that the … cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …
Persistent link: https://www.econbiz.de/10010263969
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Estimation and inference in large heterogeneous panels with a multifactor error structure
Pesaran, Mohammad Hashem - 2004
where the unobserved common factors are (possibly) correlated with exogenously given individual-specific regressors, and the …-section dimension (N) tends to infinity the differential effects of unobserved common factors are eliminated. The estimation procedure …, referred to as common correlated effects (CCE) estimators, are proposed and their asymptotic distribution as N tends to …
Persistent link: https://www.econbiz.de/10010276157
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George; Pesaran, Mohammad Hashem - 2005
factors by cross section averages of the observed variables as suggested by Pesaran (2004), and the other uses principal …
Persistent link: https://www.econbiz.de/10010276160