Density Forecasts in Panel Data Models - laurayuliu.com

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Density Forecasts in Panel data Models :A Semiparametric Bayesian Perspective Laura Liu February 16, 2020AbstractThis paper constructs individual-specific Density Forecasts for a Panel of firms or householdsusing a dynamic linear model with common and heterogeneous coefficients and cross-sectionalheteroskedasticity. The Panel considered in this paper features a large cross-sectional dimensionNbut short time seriesT. Due to the shortT, traditional methods have difficulty in disen-tangling the heterogeneous parameters from the shocks, which contaminates the estimates ofthe heterogeneous parameters. To tackle this problem, I assume that there is an underlyingdistribution of heterogeneous parameters, model this distribution nonparametrically allowing forcorrelation between heterogeneous parameters and initial conditions as well as individual-specificregressors, and then estimate this distribution by pooling the information from the whole cross-section together.

Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective Laura Liuy August 18, 2018 Abstract This paper constructs individual-speci c density forecasts for a panel of rms or households

  Model, Data, Panels, Panel data models