Forecasting with Panel Data

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse University. Center for Policy ResearchFollow

Description/Abstract

This paper gives a brief survey of forecasting 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.

Document Type

Working Paper

Date

2007

Keywords

forecasting, BLUP, panel data, spatial dependence, serial correlation, heterogeneous panels.

Language

English

Series

Working Papers Series

Disciplines

Mathematics

Additional Information

Harvest from RePEc at http://repec.org

Recommended Citation

Baltagi, Badi H., "Forecasting with Panel Data" (2007). Center for Policy Research. 74.
https://surface.syr.edu/cpr/74

Source

Metadata from RePEc

Creative Commons License

This work is licensed under a Creative Commons Attribution 3.0 License.