Forecasting with Unobserved Heterogeneity
Forecasting based on random intercepts models requires imputation of the individual permanent effects to the simulated individuals. When these individuals enter the simulation with a history of past outcomes this involves sampling from conditional distributions, which might be unfeasible. I present a method for drawing individual permanent effects from a conditional distribution which only requires to invert the corresponding estimated unconditional distribution. While the algorithms currently available in the literature require polynomial time, the proposed method only requires matching two ranks and works therefore in N lnN time.
|Date of creation:||2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.laboratoriorevelli.it/
More information through EDIRC
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.:
- Constantijn W.A. Panis, 2003. "Microsimulations in the Presence of Heterogeneity," Working Papers wp048, University of Michigan, Michigan Retirement Research Center.
- Li, Jinjing & O'Donoghue, Cathal, 2012. "A methodological survey of dynamic microsimulation models," MERIT Working Papers 002, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
When requesting a correction, please mention this item's handle: RePEc:cca:wplabo:123. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Giovanni Bert)
If references are entirely missing, you can add them using this form.