Arbeitspapier
Forecasting with panel data
This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression and surveying best linear unbiased prediction under various assumptions of the disturbance term. This includes various ARMA models as well as spatial autoregressive models. The paper also surveys how these forecasts have been used in panal data applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper Series 1 ; No. 2006,25
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Subject
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Forecasting
BLUP
Panel Data
Spatial Dependence
Serial Correlation
Prognoseverfahren
Panel
Zeitreihenanalyse
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Baltagi, Badi H.
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2006
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Baltagi, Badi H.
- Deutsche Bundesbank
Time of origin
- 2006
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