Issler, João Victor; Lima, Luiz Renato - In: Journal of Econometrics 152 (2009) 2, pp. 153-164
In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior...