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This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression and …
Persistent link: https://www.econbiz.de/10010295814
This paper compares various forecasts using panel data with spatial error correlation. The true data generating process is assumed to be a simple error component regression model with spatial remainder disturbances of the autoregressive or moving average type. The best linear unbiased predictor...
Persistent link: https://www.econbiz.de/10010268987
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better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …
Persistent link: https://www.econbiz.de/10012139745
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 …
Persistent link: https://www.econbiz.de/10013176894
This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …
Persistent link: https://www.econbiz.de/10010411883
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...
Persistent link: https://www.econbiz.de/10015373862
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The quasi-simplex model makes use of at least three repeated measures of the same variable to estimate its reliability. The model has rather strict assumptions about how various parameters in the model are related to each other. Previous studies have outlined how several of the assumptions of...
Persistent link: https://www.econbiz.de/10010251137
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...
Persistent link: https://www.econbiz.de/10011305389