Clustered panel data models: an efficient approach for nowcasting from poor data

Michel Mouchart and Jeroen Rombouts

No 2003090, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Nowcasting regards the inference on the present realization of random variables, on the basis of information available until a recent past. This paper proposes a modelling strategy aimed at a best use of the data for nowcasting based on panel data with severe deficiencies, namely short times series and many missing data. The basic idea consists of introducing a clustering approach into the usual panel data model specification. A case study in the field of R&D variables illustrates the proposed modelling strategy.

Keywords: panel data; forecast; nowcast; missing data; clustering; R&D data (search for similar items in EconPapers)
JEL-codes: C23 C51 C53 (search for similar items in EconPapers)
Date: 2003-12
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Journal Article: Clustered panel data models: an efficient approach for nowcasting from poor data (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2003090

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