Forecasting with spatial panel data

Badi Baltagi, Georges Bresson and Alain Pirotte

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3381-3397

Abstract: Various forecasts using panel data with spatial error correlation are compared using Monte Carlo experiments. 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. In addition, the root mean squared error performance of these forecasts is examined under misspecification of the spatial error process, various spatial weight matrices, and heterogeneous rather than homogeneous panel data models.

Keywords: Forecasting; BLUP; Panel data; Spatial dependence; Heterogeneity (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (31)

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Related works:
Working Paper: Forecasting with Spatial Panel Data (2009)
Working Paper: Forecasting with Spatial Panel Data (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3381-3397

DOI: 10.1016/j.csda.2010.08.006

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