Forecasting with panel data

Badi H. Baltagi

doi:10.1002/for.1047

journal article Jan 21, 2008

Forecasting with panel data

Badi H. Baltagi

Journal of Forecasting Vol. 27 No. 2 pp. 153-173 · Wiley

View at Publisher Save 10.1002/for.1047

Abstract

AbstractThis 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‐sample forecasts. Copyright © 2008 John Wiley & Sons, Ltd.

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