Forecasting with panel data |
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Authors: | Badi H Baltagi |
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Institution: | 1. Department of Economics and Center for Policy Research, Syracuse University, Syracuse, New York, USA;2. Department of Economics, University of Leicester, Leicester, UK |
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Abstract: | This paper gives a brief survey of forecasting with panel data. It begins with a simple error component regression model and surveys the 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. Copyright © 2008 John Wiley & Sons, Ltd. |
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Keywords: | forecasting BLUP panel data spatial dependence serial correlation heterogeneous panels |
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