-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

This paper develops new model selection methods for forecasting panel data using a set of least squares (LS) vector …

We use a dynamic panel Tobit model with heteroskedasticity to generate point, set, and density forecasts for a large … and residential real estate loans, comparing various versions of the panel Tobit model …

This paper promotes the use of panel data in nowcasting. We shift the existing focus of the literature, which has … propose a mixed-frequency panel VAR model and a bias-corrected least squares (BCLS) estimator which attenuates the bias … inherent to fixed effects dynamic panel settings. We demonstrate how existing panel model selection and combination methods can …