Forecasting with Panel Data

Badi Baltagi

No 91, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: This paper gives a brief survey of forecastiang with panel data. Starting with a simple error component regression model 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 panel data applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts.

Keywords: forecasting; BLUP; panel data; spatial dependence; serial correlation; heterogeneous panels. (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2007-02
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://surface.syr.edu/cpr/74/ (application/pdf)

Related works:
Journal Article: Forecasting with panel data (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:91

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