Journal
JOURNAL OF FORECASTING
Volume 27, Issue 2, Pages 153-173Publisher
WILEY
DOI: 10.1002/for.1047
Keywords
forecasting; BLUP; panel data; spatial dependence; serial correlation; heterogeneous panels
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This paper gives a brief survey of forecasting with panel data. It begins with a simple error component regression model and surveys the best linear unbiased prediction under various assumptions of the disturbance term. This includes various ARMA models as well as spatial autoregressive models. The paper also surveys how these forecasts have been used in panel data applications, running horse races between heterogeneous and homogeneous panel data models using out-of-sainple forecasts. Copyright (c) 2008 John Wiley & Sons, Ltd.
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