Forecasting with panel data

Badi H. Baltagi

doi:10.1002/for.1047

Forecasting with panel data

Badi H. Baltagi

Department of Economics

Research output: Contribution to journal › Article › peer-review

328 Scopus citations

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.

Original language	English (US)
Pages (from-to)	153-173
Number of pages	21
Journal	Journal of Forecasting
Volume	27
Issue number	2
DOIs	https://doi.org/10.1002/for.1047
State	Published - Mar 2008

Keywords

BLUP
Forecasting
Heterogeneous panels
Panel data
Serial correlation
Spatial dependence

ASJC Scopus subject areas

Modeling and Simulation
Computer Science Applications
Strategy and Management
Statistics, Probability and Uncertainty
Management Science and Operations Research

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10.1002/for.1047

Cite this

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KW - Serial correlation

KW - Spatial dependence

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Forecasting with panel data

Abstract

Keywords

ASJC Scopus subject areas

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