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Forecasting with spatial panel data
Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - 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/10010268987
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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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U.S. metropolitan house price dynamics
Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2017
Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...
Persistent link: https://www.econbiz.de/10011875693
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Continuous-Time Modelling with Spatial Dependence
Oud, Johan H.L.; Folmer, Henk; Patuelli, Roberto; … - 2011
(Spatial) panel data are routinely modelled in discrete time (DT). However, there are compelling arguments for continuous time (CT) modelling of (spatial) panel data. Particularly, most social processes evolve in CT, so that statistical analysis in DT is an oversimplification, gives an...
Persistent link: https://www.econbiz.de/10010326440
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Continuous-Time Modelling with Spatial Dependence
Oud, Johan H.L.; Folmer, Henk; Patuelli, Roberto; … - Tinbergen Institute - 2011
(Spatial) panel data are routinely modelled in discrete time (DT). However, there are compelling arguments for continuous time (CT) modelling of (spatial) panel data. Particularly, most social processes evolve in CT, so that statistical analysis in DT is an oversimplification, gives an...
Persistent link: https://www.econbiz.de/10009201135
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Continuous-Time Modelling with Spatial Dependence
Oud, Johan H.L.; Folmer, Henk; Patuelli, Roberto; … - Rimini Centre for Economic Analysis (RCEA) - 2008
(Spatial) panel data are routinely modelled in discrete time (DT). However, there are compelling arguments for continuous time (CT) modelling of (spatial) panel data. Particularly, most social processes evolve in CT, so that statistical analysis in DT is an oversimplification, gives an...
Persistent link: https://www.econbiz.de/10005091128
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A Spatial-Dependence Continuous-Time Model for Regional Unemployment in Germany
Oud, Johan H. L.; Folmer, Henk; Patuelli, Roberto; … - USI Università della Svizzera italiana - 2008
This paper analyzes patterns of regional labour market development in Germany over the period 2000-2003 by means of a spatial-dependence continuous-time model. (Spatial) panel data are routinely modelled in discrete time. However, there are compelling arguments for continuous time modelling of...
Persistent link: https://www.econbiz.de/10004989698
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Continuous-Time Modelling with Spatial Dependence
Oud, Johan H.L.; Folmer, Henk; Patuelli, Roberto; … - Tinbergen Instituut - 2011
This discussion paper led to an article in <I>Geographical Analysis</I> (2012). Volume 44, issue 1, pages 29-46.<P> (Spatial) panel data are routinely modelled in discrete time (DT). However, there are compelling arguments for continuous time (CT) modelling of (spatial) panel data. Particularly, most...</p></i>
Persistent link: https://www.econbiz.de/10011257042
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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