This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … 20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the … period 1967-2001. Our results suggest that the choice of an estimation procedure has a substantial impact on the parameter …

This paper compares various forecasts using panel data with spatial error correlation. The true data generating process … rather than homogeneous panel data models. …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …

This paper presents the quantile estimation of house price between two years, 2004 and 2007 (a boom house price period …

The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004 …

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a … Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking …