A panel data approach to economic forecasting: the bias-corrected average forecast

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 o...

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Detalhes bibliográficos
Autores: Lima, Luiz Renato Regis de Oliveira, Issler, João Victor
Formato: artículo
Estado:Versión publicada
Fecha de publicación:2008
País:Brasil
Recursos:Fundação Getulio Vargas (FGV)
Repositorio:Repositório Institucional do FGV (FGV Repositório Digital)
Idioma:inglés
OAI Identifier:oai:repositorio.fgv.br:10438/731
Acesso em linha:http://hdl.handle.net/10438/731
Access Level:acceso abierto
Palavra-chave:Forecast combination
Forecast-combination puzzle
Common features
Panel data
Bias-corrected average forecast
Economia
Previsão econômica - Modelos econométricos
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oai_identifier_str oai:repositorio.fgv.br:10438/731
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spelling A panel data approach to economic forecasting: the bias-corrected average forecast Lima, Luiz Renato Regis de Oliveira Issler, João Victor Forecast combination Forecast-combination puzzle Common features Panel data Bias-corrected average forecast Economia Previsão econômica - Modelos econométricos 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 for the average bias and discuss the forecast-combination puzzle in small and large samples. Monte-Carlo simulations are conducted to evaluate the performance of the feasible bias-corrected average forecast in finite samples. An empirical exercise based upon data from a well known survey is also presented. Overall, theoretical and empirical results show promise for the feasible bias-corrected average forecast. Escola de Pós-Graduação em Economia da FGV 0104-8910 http://hdl.handle.net/10438/731
title A panel data approach to economic forecasting: the bias-corrected average forecast
spellingShingle A panel data approach to economic forecasting: the bias-corrected average forecast
Lima, Luiz Renato Regis de Oliveira
Forecast combination
Forecast-combination puzzle
Common features
Panel data
Bias-corrected average forecast
Economia
Previsão econômica - Modelos econométricos
title_short A panel data approach to economic forecasting: the bias-corrected average forecast
title_full A panel data approach to economic forecasting: the bias-corrected average forecast
title_fullStr A panel data approach to economic forecasting: the bias-corrected average forecast
title_full_unstemmed A panel data approach to economic forecasting: the bias-corrected average forecast
title_sort A panel data approach to economic forecasting: the bias-corrected average forecast
author Lima, Luiz Renato Regis de Oliveira
author_facet Lima, Luiz Renato Regis de Oliveira
Issler, João Victor
author_role author
author2 Issler, João Victor
author2_role author
topic Forecast combination
Forecast-combination puzzle
Common features
Panel data
Bias-corrected average forecast
Economia
Previsão econômica - Modelos econométricos
topic_facet Forecast combination
Forecast-combination puzzle
Common features
Panel data
Bias-corrected average forecast
Economia
Previsão econômica - Modelos econométricos
description 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 for the average bias and discuss the forecast-combination puzzle in small and large samples. Monte-Carlo simulations are conducted to evaluate the performance of the feasible bias-corrected average forecast in finite samples. An empirical exercise based upon data from a well known survey is also presented. Overall, theoretical and empirical results show promise for the feasible bias-corrected average forecast.
publishDate 2008
format article
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url http://hdl.handle.net/10438/731
language eng
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publisher Escola de Pós-Graduação em Economia da FGV
institution FGV
collection Repositório Institucional do FGV (FGV Repositório Digital)
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
instname_str Fundação Getulio Vargas (FGV)
bitstream_url_str_mv https://repositorio.fgv.br/bitstreams/aa9f7d2e-bb74-49ec-b8e0-56de36e5c4bd/download
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publishDateSort 2008
author_browse Issler, João Victor
Lima, Luiz Renato Regis de Oliveira
publisherStr Escola de Pós-Graduação em Economia da FGV
score 6,9303427

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