Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - In: Econometrica 88 (2020) 1, pp. 171-201
This paper considers the problem of forecasting a collection of short time series using crossâsectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under a correlated random effects distribution. This...