This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression and … applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts. …

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 constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting … series panel data structures and we find that it empirically outperforms the unstructured machine learning methods. We obtain … oracle inequalities for the pooled and fixed effects sparse-group LASSO panel data estimators recognizing that financial and …

This paper promotes the use of panel data in nowcasting. We shift the existing focus of the literature, which has … propose a mixed-frequency panel VAR model and a bias-corrected least squares (BCLS) estimator which attenuates the bias … inherent to fixed effects dynamic panel settings. We demonstrate how existing panel model selection and combination methods can …

We propose a new forecast combination method for panel data vector autoregressions that permit limited forms of … Mallows C_{p} criterion modified for application to the panel data setting. The forecast combination method performs well in …