A Panel Data Approach to Economic Forecasting : The Bias-Corrected Average Forecast

@inproceedings{Issler2008APD,
  title={A Panel Data Approach to Economic Forecasting : The Bias-Corrected Average Forecast},
  author={Jo{\~a}o Victor Issler and Luiz Renato Lima},
  year={2008}
}
  • João Victor Issler, Luiz Renato Lima
  • Published 2008
In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular, it is asymptotically equivalent to the conditional expectation, i.e., has an optimal limiting mean-squared error. We also develop a zeromean test… CONTINUE READING
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