forecasts for short dynamic panel data. We implement a nonparametric Bayesian approach to simultaneously identify coefficients … accurate estimates and score predictive gains over standard panel data estimators. With a data-driven group structure, the BGRE … standard panel data estimators …

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 … develop a simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of …

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 … simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …

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 … estimation of unobserved heterogeneous parameters. Monte Carlo simulations and an application to young firm dynamics demonstrate …

We use a dynamic panel Tobit model with heteroskedasticity to generate point, set, and density forecasts for a large … and residential real estate loans, comparing various versions of the panel Tobit model …

We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short …

forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …

panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …

panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coeffcients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …