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A robust method for microforecasting and estimation of random effects

Giacomini, Raffaella; Lee, Sokbae; Sarpietro, Silvia - 2023

We propose a method for forecasting individual outcomes and estimating random effects in linear panel data models and … value-added models when the panel has a short time dimension. The method is robust, trivial to implement and requires …

Persistent link: https://www.econbiz.de/10014335942

On the estimation and forecasting of international migration : how relevant is heterogeneity across countries?

Brücker, Herbert (contributor); … - 2005

20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the … migration ; panel data ; forecasting …

Persistent link: https://www.econbiz.de/10003053134

To Pool or Not to Pool : What Is a Good Strategy for Parameter Estimation and Forecasting in Panel Regressions?

Wang, Wendun - 2018

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data …

Persistent link: https://www.econbiz.de/10012927647

Estimating fixed effects : perfect prediction and bias in binary response panel models, with an application to the hospital readmissions reduction program

Kunz, Johannes; Staub, Kevin E.; Winkelmann, Rainer - 2017

The maximum likelihood estimator for the regression coefficients, β, in a panel binary response model with fixed …

Persistent link: https://www.econbiz.de/10011764680

On the Estimation and Forecasting of International Migration : How Relevant is Heterogeneity Across Countries?

Brücker, Herbert; Siliverstovs, Boriss - 2021

20 estimators common in the panel data literature using the data on migration to Germany from 18 source countries in the …

Persistent link: https://www.econbiz.de/10013318340

Robust Forecasting

Christensen, Timothy; Moon, Hyungsik Roger; … - 2020

of forecast distributions. We show that for a large class of models including semiparametric panel data models for …

Persistent link: https://www.econbiz.de/10014090507

Does Accounting for Spatial Effects Help Forecasting the Growth of Chinese Provinces?

Girardin, Eric; Kholodilin, Konstantin - 2009

provinces simultaneously. Beside the usual panel data models, we use panel models that explicitly account for spatial dependence …

Persistent link: https://www.econbiz.de/10014046018

Clustering Huge Number of Financial Time Series : A Panel Data Approach with High-Dimensional Predictors and Factor Structures

Ando, Tomohiro - 2016

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

Persistent link: https://www.econbiz.de/10013004036

Density Forecasts in Panel Models : A Semiparametric Bayesian Perspective

Liu, Laura - 2017

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 …

Persistent link: https://www.econbiz.de/10012956589

Robust Value at Risk Prediction : Appendix

Mancini, Loriano - 2010

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo...

Persistent link: https://www.econbiz.de/10013138328