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Forecasting with Spatial Panel Data
Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - Institute for the Study of Labor (IZA) - 2009
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/10005030892
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Seemingly Unrelated Regressions with Spatial Error Components
Baltagi, Badi H.; Pirotte, Alain - Center for Policy Research, Maxwell School - 2010
This paper considers various estimators using panel data seemingly unrelated regressions (SUR) with spatial error correlation. The true data generating process is assumed to be SUR with spatial error of the autoregressive or moving average type. Moreover, the remainder term of the spatial...
Persistent link: https://www.econbiz.de/10008836644
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Forecasting with panel data : estimation uncertainty versus parameter heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
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
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The predictive power of equilibrium exchange rate models
Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020
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
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The generalized dynamic factor model: One-sided estimation and forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - 2003
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …
Persistent link: https://www.econbiz.de/10010328558
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The predictive power of equilibrium exchange rate models
Ca' Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020
better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …
Persistent link: https://www.econbiz.de/10012389561
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Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
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/10013266655
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Analysing and forecasting price dynamics across euro area countries and sectors : a panel VAR approach
Dées, Stéphane; Güntner, Jochen - 2014
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
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The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002
This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …
Persistent link: https://www.econbiz.de/10005661541
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Dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2005
macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be …
Persistent link: https://www.econbiz.de/10010295783