Forecasting with panel data

Badi Baltagi

No 2006,25, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: 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.

Keywords: Forecasting; BLUP; Panel Data; Spatial Dependence; Serial Correlation (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Date: 2006
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 (16)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/19654/1/200625dkp.pdf (application/pdf)

Related works:
Journal Article: Forecasting with panel data (2008)
Working Paper: Forecasting with Panel Data (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:4754

Access Statistics for this paper

More papers in Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().