Forecasting with spatial panel data

Badi H. Baltagi, Georges Bresson, Alain Pirotte

Research output: Contribution to journalArticlepeer-review

41 Scopus citations


Various forecasts using panel data with spatial error correlation are compared using Monte Carlo experiments. The true data generating process is assumed to be a simple error component regression model with spatial remainder disturbances of the autoregressive or moving average type. The best linear unbiased predictor is compared with other forecasts ignoring spatial correlation, or ignoring heterogeneity due to the individual effects. In addition, the root mean squared error performance of these forecasts is examined under misspecification of the spatial error process, various spatial weight matrices, and heterogeneous rather than homogeneous panel data models.

Original languageEnglish (US)
Pages (from-to)3381-3397
Number of pages17
JournalComputational Statistics and Data Analysis
Issue number11
StatePublished - Nov 2012


  • BLUP
  • Forecasting
  • Heterogeneity
  • Panel data
  • Spatial dependence

ASJC Scopus subject areas

  • Statistics and Probability
  • Computational Mathematics
  • Computational Theory and Mathematics
  • Applied Mathematics


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