Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators. Some empirical evidence from US electricity and natural-gas consumption

Badi H. Baltagi, Georges Bresson, Alain Pirotte

Research output: Contribution to journalArticle

53 Scopus citations

Abstract

Maddala et al. [Journal of Business and Economic Statistics, 15 (1997) 90] obtained short-run and long-run elasticities of energy demand for each of 49 US states over the period 1970-1990. They showed that heterogeneous time series estimates for each state yield inaccurate signs for the coefficients, while panel data estimates are not valid because the hypothesis of homogeneity of the coefficients was rejected. Their preferred estimates are those obtained using the shrinkage estimator. This paper contrasts the out-of-sample forecast performance of heterogeneous, panel and shrinkage estimators using the Maddala et al. [Journal of Business and Economic Statistics 15 (1997) 90] electricity and natural gas data sets. Our results show that the homogeneous panel data estimates give the best out-of-sample forecasts.

Original languageEnglish (US)
Pages (from-to)375-382
Number of pages8
JournalEconomics Letters
Volume76
Issue number3
DOIs
StatePublished - Aug 19 2002
Externally publishedYes

Keywords

  • Heterogeneous estimators
  • Panel data
  • Shrinkage estimators
  • US electricity and natural-gas demand

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators. Some empirical evidence from US electricity and natural-gas consumption'. Together they form a unique fingerprint.

  • Cite this