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 …

. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of … averaging over forecasts from different models. Second, we look at different estimation windows. We find that averaging over … estimation windows is at least as effective as averaging over different models and both complement each other. Third, we explore …

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

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

estimation efficiency while properly tackling the potential bias due to unobserved individual characteristics. We propose an … clean the bias in the unpaired sample. In a second step, corrected unpaired observations are used jointly with panel data …. This reduces the standard errors of the estimation coefficients and might increase their significance as well, otherwise …

The paper re-examines existing estimators for the panel data fixed effects ordered logit model, proposes a new one, and …