A panel data approach to economic forecasting: the bias-corrected average forecast

João Issler and Luiz Lima ()

No 642, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular it delivers a zero-limiting mean-squared error if the number of forecasts and the number of post-sample time periods is sufficiently large. We also develop a zero-mean test for the average bias. Monte-Carlo simulations are conducted to evaluate the performance of this new technique in finite samples. An empirical exercise, based upon data from well known surveys is also presented. Overall, these results show promise for the bias-corrected average forecast.

Date: 2007-01-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: A panel data approach to economic forecasting: The bias-corrected average forecast (2009)
Working Paper: A panel data approach to economic forecasting: the bias-corrected average forecast (2008)
Working Paper: A panel data approach to economic forecasting: the bias-corrected average forecast (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:642

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