Evaluating panel data forecasts under independent realization

@article{GreenawayMcGrevy2015EvaluatingPD,
  title={Evaluating panel data forecasts under independent realization},
  author={Ryan Greenaway-McGrevy},
  journal={J. Multivariate Analysis},
  year={2015},
  volume={136},
  pages={108-125}
}
Independent realization is a commonly used shortcut for deriving forecast properties. It is also an unrealistic assumption in many empirical applications. In this paper we consider the effect of the assumption when deriving the properties of panel data forecasts. To do so, we derive and compare the asymptotic forecast loss of a set of vector autoregressions (VARs) under both independent and same-sample realization. We show that adopting the independent realization assumption can result in an… CONTINUE READING

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