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Forecasting with Panel Data

This paper gives a brief survey of forecastiang with panel data. Starting with a simple error component regression model and surveying 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.

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Paper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 91.

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Length: 37 pages
Date of creation: Feb 2007
Date of revision:
Handle: RePEc:max:cprwps:91
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