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Forecasting with panel data

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  • Badi H. Baltagi

Abstract

This paper gives a brief survey of forecasting with panel data. It begins with a simple error component regression model and surveys the 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 panel data applications, running horse races between heterogeneous and homogeneous panel data models using out-of-sample forecasts. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1047
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 27 (2008)
Issue (Month): 2 ()
Pages: 153-173

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Handle: RePEc:jof:jforec:v:27:y:2008:i:2:p:153-173

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Citations

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Cited by:
  1. Bloom, David E. & Canning, David & Fink, Gunther & Finlay, Jocelyn E., 2007. "Does age structure forecast economic growth?," International Journal of Forecasting, Elsevier, vol. 23(4), pages 569-585.
  2. Badi H. Baltagi & Long Liu, 2012. "Estimation and Prediction in the Random Effects Model with AR(p) Remainder Disturbances," Center for Policy Research Working Papers 138, Center for Policy Research, Maxwell School, Syracuse University.
  3. Baltagi B-H & Bresson G. & Pirotte A., 2007. "Forecasting with Spatial Panel Data," Working Papers ERMES 0710, ERMES, University Paris 2.
  4. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
  5. Hampel, Katharina & Kunz, Marcus & Schanne, Norbert & Wapler, Rüdiger & Weyh, Antje, 2007. "Regional employment forecasts with spatial interdependencies," IAB Discussion Paper 200702, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  6. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
  7. Das, Debasish Kumar, 2012. "Determinants of current account imbalances in the global economy: A dynamic panel analysis," MPRA Paper 42419, University Library of Munich, Germany.
  8. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007,23, Christian-Albrechts-University of Kiel, Department of Economics.
  9. Christoph Jeßberger, 2011. "Multilateral Environmental Agreements up to 2050: Are They Sustainable Enough?," Ifo Working Paper Series Ifo Working Paper No. 98, Ifo Institute for Economic Research at the University of Munich.

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