This article considers model averaging in the class of the integer-valued autoregressive (INAR) processes. The INAR process is a class of structural models that can be used to model dependent count data in fields such as medicine, economics, finance and marketing. It specifies the data...

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data regressions with a long time dimension. We propose a novel optimal pooling averaging estimator that makes an explicit trade-off between efficiency gains from pooling and bias due to...