Homogeneous, heterogeneous or shrinkage estimators? Some empirical evidence from French regional gasoline consumption
This paper contrasts the performance of heterogeneous and shrinkage estimators versus the more traditional homogeneous panel data estimators. The analysis utilizes a panel data set from 21 French regions over the period 1973–1998 and a dynamic demand specification to study the gasoline demand in France. Out-of-sample forecast performance as well as the plausibility of the various estimators are contrasted. Copyright Springer-Verlag 2003
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Volume (Year): 28 (2003)
Issue (Month): 4 (November)
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- Hsiao, C. & Pesaran, M. H. & Tahmiscioglu, A. K., 1998. "Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models," Cambridge Working Papers in Economics 9804, Faculty of Economics, University of Cambridge.
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