Panel data forecasting

Research output: Chapter in Book/Report/Conference proceedingChapter

8 Scopus citations

Abstract

This chapter reviews the panel data forecasting literature. Starting with simple forecasts based on fixed and random effects panel data models. Next, these forecasts are extended to allow for various ARMA type structure on the disturbances, as well as spatial autoregressive and moving average type disturbances. These forecasting methods are then studied in the context of seemingly unrelated regressions. We highlight several forecasting empirical applications using panel data, as well as several Monte Carlo studies that compare various forecasting methods using panel data. The chapter concludes with suggestions for further work in this area.

Original languageEnglish (US)
Title of host publicationHandbook of Economic Forecasting
PublisherElsevier
Pages995-1024
Number of pages30
DOIs
StatePublished - 2013

Publication series

NameHandbook of Economic Forecasting
Volume2
ISSN (Print)1574-0706

Keywords

  • Fixed effects
  • Heterogeneous panels
  • Random effects
  • Seemingly unrelated regressions
  • Serial correlation
  • Spatial dependence

ASJC Scopus subject areas

  • Economics and Econometrics

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  • Cite this

    Baltagi, B. H. (2013). Panel data forecasting. In Handbook of Economic Forecasting (pp. 995-1024). (Handbook of Economic Forecasting; Vol. 2). Elsevier. https://doi.org/10.1016/B978-0-444-62731-5.00018-X