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

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  • MOUCHART, Michel
  • ROMBOUTS, Jeroen

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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Bibliographic Info

Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2003090.

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Date of creation: 00 Dec 2003
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Handle: RePEc:cor:louvco:2003090

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Related research

Keywords: panel data; forecast; nowcast; missing data; clustering; R&D data;

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References

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  1. David Hendry & Michael Clements, 2001. "Pooling of Forecasts," Economics Series Working Papers 2002-W09, University of Oxford, Department of Economics.
  2. Hendry, David F. & Clements, Michael P., 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 0082, European Central Bank.
  3. 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.
  4. Massimiliano Marcellino & James H. Stock & Mark W. Watson, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. 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.
  6. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
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Cited by:
  1. Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank, Research Centre.

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