This chapter reviews the panel data forecasting literature. Starting with simple forecasts based on fixed and random … well as spatial autoregressive and moving average type disturbances. These forecasting methods are then studied in the … context of seemingly unrelated regressions. We highlight several forecasting empirical applications using panel data, as well …

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 … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …