This paper develops new methods for testing equal predictive accuracy in panels of forecasts that exploit information in the time series and cross-sectional dimensions of the data. Using a common factor setup, we establish conditions on cross-sectional dependencies in forecast errors which allow...

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and time (T) dimensions and varying degrees of...

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and time (T) dimensions and varying degrees of...