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Forecasting with panel data : estimation uncertainty versus parameter heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive …
Persistent link: https://www.econbiz.de/10013176894
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Restrictions search for panel VARs
Camehl, Annika - 2016
As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well suited for global spillover analyses. However, PVARs require restrictions to ensure the feasibility of the estimation. The present paper uses a selection prior for a data-based...
Persistent link: https://www.econbiz.de/10011552976
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Restrictions Search for Panel VARs
Schnücker, Annika - 2016
As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well suited for global spillover analyses. However, PVARs require restrictions to ensure the feasibility of the estimation. The present paper uses a selection prior for a data-based...
Persistent link: https://www.econbiz.de/10012979763
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Model Uncertainty in Panel Vector Autoregressive Models
Koop, Gary - 2014
We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities...
Persistent link: https://www.econbiz.de/10013048434
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Responses to monetary policy shocks in the east and the west of Europe: a comparison
Jarociński, Marek - 2008
This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...
Persistent link: https://www.econbiz.de/10011605016
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Responses to monetary policy shocks in the east and the west of Europe : a comparison
Jarociński, Marek - 2008
This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...
Persistent link: https://www.econbiz.de/10003825885
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Estimating the Production Function for the Brazilian Industrial Sector : A Bayesian Panel VAR Approach
Lima Filho, Roberto - 2014
The scope of this paper is to estimate the production function for the Brazilian industrial sector from a longitudinal panel of the industrial sector (Annual Industrial Survey produced by the Institute of Geography and Statistics – PIA/IBGE – and the Ministry of Labour and Employment's...
Persistent link: https://www.econbiz.de/10013059629
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Estimating the production function for the Brazilian industrial sector : a Bayesian panel VAR approach
Lima Filho, Roberto Ivo da Rocha - In: Cogent business & management 9 (2022) 1, pp. 1-16
The scope of this paper is to estimate the production function for the Brazilian industrial sector from a longitudinal panel of the industrial sector (Annual Industrial Survey produced by the Institute of Geography and Statistics-PIA/IBGE-and the Ministry of Labour and Employment's Annual...
Persistent link: https://www.econbiz.de/10014420394
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Improving the Finite-Sample Estimators of Cointegrated Panel Models
Sender, Samuel J. - 2014
Though ordinary least square (OLS) estimates are super-consistent with cointegrated variables, their finite-T bias can be large in the presence of endogenous feedback. Fully modified OLS (FMOLS) are parsimonious tools to measure the cointegrating [long-run] slope between integrated variables in...
Persistent link: https://www.econbiz.de/10013064659
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Fixed-b Estimation and Inference in Heterogenous Dynamic Cointegrated Panels
Sender, Samuel J. - 2017
We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...
Persistent link: https://www.econbiz.de/10012970628