This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

Assumption that says that the missing dependence is constant over time. Under this assumption and when panel data is available …

variable estimations in a large balanced panel of around 2,000 municipalities in the German state of Bavaria. Cost efficiency …

models that includes our household model. We cover fixed-T panel models where the response variable is an unknown monotonic …

In this paper, we study a varying-coefficient panel data model with nonstationarity, wherein a factor structure is … estimators and establish the corresponding theory. We evaluate the finite-sample performance of proposed estimation theory …

panel data setting with individual fixed effects. Our approach is based on cyclic monotonicity, which is a defining convex …

forecasts for short dynamic panel data. We implement a nonparametric Bayesian approach to simultaneously identify coefficients … accurate estimates and score predictive gains over standard panel data estimators. With a data-driven group structure, the BGRE … standard panel data estimators …

We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short …

panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …