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Forecasting with panel data

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  • Baltagi, Badi H.

Abstract

This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression 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 panal data applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts.

Suggested Citation

  • Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:4754
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    More about this item

    Keywords

    Forecasting; BLUP; Panel Data; Spatial Dependence; Serial Correlation;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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