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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
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Density forecasts in panel data models : a semiparametric Bayesian perspective
Liu, Laura - 2018
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/10011932215
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Forecasting with a Panel Tobit Model
Liu, Laura - 2020
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 …
Persistent link: https://www.econbiz.de/10012846192
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Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective
Liu, Laura - 2020
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/10012840510
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Forecasting with Bayesian Grouped Random Effects in Panel Data
Zhang, Boyuan - 2020
forecasts for short dynamic panel data. We implement a nonparametric Bayesian approach to simultaneously identify coefficients … accurate estimates and score predictive gains over standard panel data estimators. With a data-driven group structure, the BGRE … standard panel data estimators …
Persistent link: https://www.econbiz.de/10012824627
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Forecasting with a panel Tobit model
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 117-159
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short …
Persistent link: https://www.econbiz.de/10014306360
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Forecasting with Dynamic Panel Data Models
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - 2016
panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under … Carlo study. In an empirical application we use the predictor to forecast revenues for a large panel of bank holding …
Persistent link: https://www.econbiz.de/10014034574
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Cost-Effective Estimation of the Population Mean Using Prediction Estimators
Fujii, Tomoki - 2013
This paper considers the prediction estimator as an efficient estimator for the population mean. The study may be viewed as an earlier study that proved that the prediction estimator based on the iteratively weighted least squares estimator outperforms the sample mean. The analysis finds that a...
Persistent link: https://www.econbiz.de/10011395792
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Cost-effective Estimation of the Population Mean Using Prediction Estimators
Fujii, Tomoki; Weide, Roy van der - 2013
This paper considers the prediction estimator as an efficient estimator for the population mean. The study may be viewed as an earlier study that proved that the prediction estimator based on the iteratively weighted least squares estimator outperforms the sample mean. The analysis finds that a...
Persistent link: https://www.econbiz.de/10012560114
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Cost-Effective Estimation of the Population Mean Using Prediction Estimators
Fujii, Tomoki - 2017
This paper considers the prediction estimator as an efficient estimator for the population mean. The study may be viewed as an earlier study that proved that the prediction estimator based on the iteratively weighted least squares estimator outperforms the sample mean. The analysis finds that a...
Persistent link: https://www.econbiz.de/10012974216