On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?
This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than 20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the period 1967-2001. Our results suggest that the choice of an estimation procedure has a substantial impact on the parameter estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects estimators clearly outperforms the pooled OLS estimator, (ii) both the fixed effects estimators and the hierarchical Bayes estimator exhibit the superior forecast performance, (iii) the fixed effects estimators outperform GMM and other instrumental variables estimators, (iv) forecasting performance of heterogenous estimators is mediocre in our data set.
|Date of creation:||Aug 2005|
|Publication status:||published in: Empirical Economics, 2006, 31(3), 735-754|
|Contact details of provider:|| Postal: IZA, P.O. Box 7240, D-53072 Bonn, Germany|
Phone: +49 228 3894 223
Fax: +49 228 3894 180
Web page: http://www.iza.org
|Order Information:|| Postal: IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany|
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.:
- Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models,"
Journal of Econometrics,
Elsevier, vol. 68(1), pages 29-51, July.
- M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
- Badi H. Baltagi & Georges Bresson & James M. Griffin & Alain Pirotte, 2003. "Homogeneous, heterogeneous or shrinkage estimators? Some empirical evidence from French regional gasoline consumption," Empirical Economics, Springer, vol. 28(4), pages 795-811, November.
- Badi H. Baltagi & Georges Bresson & James M. Griffin & Alain Pirotte, 2002. "Homogeneous, heterogeneous or shrinkage estimators? Some empirical evidence from French regional gasoline consumption," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-4, International Conferences on Panel Data.
- Burda, Michael C, 1995. "Migration and the Option Value of Waiting," CEPR Discussion Papers 1229, C.E.P.R. Discussion Papers.
- M. C. Burda, 1995. "Migration and the Option Value of Waiting," SFB 373 Discussion Papers 1995,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Burda,M.C., 1995. "Migration and the Option Value of Waiting," Papers 597, Stockholm - International Economic Studies.
- Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
- Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
- G. S. Maddala & Hongyi Li & V. K. Srivastava, 2001. "A Comparative Study of Different Shrinkage Estimators for Panel Data Models," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 1-30, May.
- Kajal Lahiri, 2005. "Analysis of Panel Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 1093-1095.
- Stark, Oded & Taylor, J Edward, 1991. "Migration Incentives, Migration Types: The Role of Relative Deprivation," Economic Journal, Royal Economic Society, vol. 101(408), pages 1163-1178, September.
- Stark, Oded & Taylor, J. Edward, 1990. "Migration Incentives, Migration Types: The Role Of Relative Deprivation," Working Papers 225854, University of California, Davis, Department of Agricultural and Resource Economics.
- Straubhaar Thomas, 2002. "Ost-West-Migrationspotenzial: Wie groß ist es? / East-West-Migration Potential: How many will go West?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(1), pages 22-41, February.
- Herbert Brücker & Philipp J. H. Schröder, 2012. "International Migration With Heterogeneous Agents: Theory and Evidence for Germany, 1967–2009," The World Economy, Wiley Blackwell, vol. 35(2), pages 152-182, 02.
- Herbert Brücker & Philipp J.H. Schroeder, 2011. "International Migration with Heterogeneous Agents: Theory and Evidence for Germany, 1967-2009," Norface Discussion Paper Series 2011027, Norface Research Programme on Migration, Department of Economics, University College London.
- Faini, Riccardo & Venturini, Alessandra, 1994. "Migration and Growth: The Experience of Southern Europe," CEPR Discussion Papers 964, C.E.P.R. Discussion Papers.
- Phillips, Peter C.B. & Sul, Donggyu, 2007. "Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 162-188, March.
- Phillips, Peter & Sul, Donggyu, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Working Papers 177, Department of Economics, The University of Auckland.
- Peter C.B. Phillips & Donggyu Sul, 2004. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Yale School of Management Working Papers ysm428, Yale School of Management.
- Peter C.B. Phillips & Donggyu Sul, 2003. "Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence," Cowles Foundation Discussion Papers 1438, Cowles Foundation for Research in Economics, Yale University, revised Jun 2004.
- Robertson, D & Symons, J, 1992. "Some Strange Properties of Panel Data Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(2), pages 175-189, April-Jun.
- Donald Robertson & James Symons, 1991. "Some Strange Properties of Panel Data Estimators," CEP Discussion Papers dp0044, Centre for Economic Performance, LSE.
- Banerjee, Biswajit & Kanbur, S M, 1981. "On the Specification and Estimation of Macro Rural-Urban Migration Functions: With an Application to Indian Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 43(1), pages 7-29, February.
- Badi H. Baltagi & Georges Bresson & Alain Pirotte, 2004. "Tobin q: Forecast performance for hierarchical Bayes, shrinkage, heterogeneous and homogeneous panel data estimators," Empirical Economics, Springer, vol. 29(1), pages 107-113, January.
- 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.
- Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
- Tom Doan, "undated". "LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias," Statistical Software Components RTS00111, Boston College Department of Economics.
- 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.
- 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.
- Hans-Werner Sinn & Gebhard Flaig & Martin Werding & Sonja Munz & Nicola Düll & Herbert Hofmann, 2001. "EU-Erweiterung und Arbeitskräftemigration : Wege zu einer schrittweisen Annäherung der Arbeitsmärkte," ifo Beiträge zur Wirtschaftsforschung, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 2.
- Swamy, P A V B & Arora, S S, 1972. "The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models," Econometrica, Econometric Society, vol. 40(2), pages 261-275, March.
- Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-1426, November.
- Boozer, Michael A., 1997. "Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995," Econometric Theory, Cambridge University Press, vol. 13(05), pages 747-754, October.
- Badi H. Baltagi & James M. Griffin & Weiwen Xiong, 2000. "To Pool Or Not To Pool: Homogeneous Versus Hetergeneous Estimations Applied to Cigarette Demand," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 117-126, February.
- Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 277-297.
- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Judson, Ruth A. & Owen, Ann L., 1999. "Estimating dynamic panel data models: a guide for macroeconomists," Economics Letters, Elsevier, vol. 65(1), pages 9-15, October.
- Tore Thonstad & Christian Riis & Kåre Bævre, 2001. "Norwegian cohort emigration," Journal of Population Economics, Springer;European Society for Population Economics, vol. 14(3), pages 473-489.
- Bauer, Thomas K. & Zimmermann, Klaus F., 1999. "Report No. 3: Assessment of Possible Migration Pressure and its Labour Market Impact Following EU Enlargement to Central and Eastern Europe," IZA Research Reports 3, Institute for the Study of Labor (IZA). Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:iza:izadps:dp1710. 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: (Mark Fallak)
If references are entirely missing, you can add them using this form.