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

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  • Mouchart, Michel
  • Rombouts, Jeroen V.K.

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.

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File URL: http://www.sciencedirect.com/science/article/B6V92-4FNDRWM-1/2/79734af151224dad117a51f46e163065
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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 21 (2005)
Issue (Month): 3 ()
Pages: 577-594

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Handle: RePEc:eee:intfor:v:21:y:2005:i:3:p:577-594

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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford.
  2. David Hendry & Michael Clements, 2001. "Pooling of Forecasts," Economics Series Working Papers 2002-W09, University of Oxford, Department of Economics.
  3. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
  4. Danilov, D.L. & Magnus, J.R., 2002. "Forecast Accuracy after Pretesting with an Application to the Stock Market," Discussion Paper 2002-76, Tilburg University, Center for Economic Research.
  5. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
  6. Islam, Towhidul & Fiebig, Denzil G. & Meade, Nigel, 2002. "Modelling multinational telecommunications demand with limited data," International Journal of Forecasting, Elsevier, vol. 18(4), pages 605-624.
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Cited by:
  1. Badi H. Baltagi, 2008. "Forecasting with panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.

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