Arbeitspapier
Forecasting with spatial panel data
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 is compared with other forecasts ignoring spatial correlation, or ignoring heterogeneity due to the individual effects, using Monte Carlo experiments. In addition, we check the performance of these forecasts under misspecification of the spatial error process, various spatial weight matrices, and heterogeneous rather than homogeneous panel data models.
- Language
-
Englisch
- Bibliographic citation
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Series: IZA Discussion Papers ; No. 4242
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Subject
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Forecasting
BLUP
panel data
spatial dependence
heterogeneity
Prognoseverfahren
Panel
Räumliche Interaktion
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Baltagi, Badi H.
Bresson, Georges
Pirotte, Alain
- Event
-
Veröffentlichung
- (who)
-
Institute for the Study of Labor (IZA)
- (where)
-
Bonn
- (when)
-
2009
- Handle
- URN
-
urn:nbn:de:101:1-2009070340
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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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.
- Bresson, Georges
- Pirotte, Alain
- Institute for the Study of Labor (IZA)
Time of origin
- 2009
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