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The generalized dynamic factor model: One-sided estimation and forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - 2003

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10010328558

The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10005661541

Tendencies in the Romania's Regional Economic Development during the Period 1991-2004

Andrei, Tudorel; Iacob, Andreea Iluzia; Vlad, Liviu Bogdan - Volkswirtschaftliche Fakultät, … - 2007

The objective of this paper represents the analysis of the way the Romania's economic integration in the EU will influence the regional specialization and industrial activities localization within NUTS (the eight regions of Romania) during the period 1991-2004, using absolute measures...

Persistent link: https://www.econbiz.de/10005836485

Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors

Powell, David - RAND - 2010

Unconditional quantile treatment effects are difficult to estimate in the presence of fixed effects. Panel data are frequently used because fixed effects or differences are necessary to identify the parameters of interest. The inclusion of fixed effects or differencing of data, however,...

Persistent link: https://www.econbiz.de/10008828515

The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - Laboratory of Economics and Management (LEM), Scuola … - 2003

This paper proposes a new forecasting method that exploits information from a largepanel of time series. The method is …

Persistent link: https://www.econbiz.de/10005650062

Forecasting with spatial panel data

Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - 2009

This paper compares various forecasts using panel data with spatial error correlation. The true data generating process is assumed to be a simple error component regression model with spatial remainder disturbances of the autoregressive or moving average type. The best linear unbiased predictor...

Persistent link: https://www.econbiz.de/10010268987

The predictive power of equilibrium exchange rate models

Ca' Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …

Persistent link: https://www.econbiz.de/10012389561

Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

Persistent link: https://www.econbiz.de/10013266655

Forecasting with Spatial Panel Data

Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - Institute for the Study of Labor (IZA) - 2009

Persistent link: https://www.econbiz.de/10005030892

Forecasting with Panel Data

Baltagi, Badi H. - Center for Policy Research, Maxwell School - 2007

This paper gives a brief survey of forecastiang with panel data. Starting with a simple error component regression model and surveying best linear unbiased prediction under various assumptions of the disturbance term. This includes various ARMA models as well as spatial autoregressive models....

Persistent link: https://www.econbiz.de/10005698389