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Forecasting with panel data

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Badi H. Baltagi

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

Volume (Year): 27 (2008)
Issue (Month): 2 ()
Pages: 153-173
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
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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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  18. Baltagi, Badi H. & Griffin, James M., 1997. "Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline," Journal of Econometrics, Elsevier, vol. 77(2), pages 303-327, April. [Downloadable!] (restricted)
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  33. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2002. "Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators: Some empirical evidence from US electricity and natural-gas consumption," Economics Letters, Elsevier, vol. 76(3), pages 375-382, August. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. David E. Bloom & David Canning & Günther Fink & Jocelyn Finlay, 2006. "Does Age Structure Forecast Economic Growth?," PGDA Working Papers 2006, Program on the Global Demography of Aging. [Downloadable!]
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  2. Golosnoy, Vasyl & Herwartz, Helmut, 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. [Downloadable!]
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