Forecasting with dynamic spatial panel data: practical implementation methods

Autores/as

  • Bernard Fingleton University of Cambridge

DOI:

https://doi.org/10.17811/ebl.3.4.2014.194-207

Resumen

This paper addresses the issue of how in practice one might predict given that the data generating process is a dynamic spatial panel model. One period ahead predictions are calculated using various alternative predictors, some of which are misspecified, and their relative performance evaluated.

Citas

Anderson, T.W. and Hsiao, C. (1981). ‘Estimation of dynamic models with error components’, Journal of the American Statistical Association, Vol. 76, pp. 598–606.

Anderson, T.W. and Hsiao, C. (1982). ‘Formulation and estimation of dynamic models using panel data’, Journal of Econometrics, Vol. 18, pp. 47–82.

Arellano, M. and Bond, S. (1991). ‘Some tests of specification for panel data: Monte Carlo evidence and an application to employment’, Review of Economic Studies, Vol. 58, pp. 277–297.

Fingleton, B. (2009). ‘Prediction Using Panel Data Regression with Spatial Random Effects’, International Regional Science Review, Vol. 32, pp. 195-220.

Baltagi, B.H., Fingleton, B. and Pirotte, A. (2013). ‘Estimating and Forecasting with a Dynamic Spatial Panel Model’, Oxford Bulletin of Economics and Statistics Vol. 76, pp. 112–138.

Baltagi, B.H., Fingleton, B. and Pirotte, A. (2011). ‘Estimating and Forecasting with a Dynamic Spatial Panel Model’, Spatial Economics Research Centre (LSE), Discussion Paper 95.

Baltagi, B.H., Bresson, G. and Pirotte, A. (2012). ‘Forecasting with spatial panel data’, Computational Statistics and Data Analysis, Vol. 56, pp. 3381-3397.

Chamberlain, G. (1984). ‘Panel data’, in Griliches Z. and Intriligator ,M. (eds), The Handbook of Econometrics, Chapter 22, North-Holland, Amsterdam, pp. 1247–1318.

Debarsy, N., Ertur, C. and LeSage, J.P. (2012). ‘Interpreting dynamic space–time panel data models’, Statistical Methodology, Vol. 9, pp. 158–171.

Goldberger, A.S. (1962). ‘Best linear unbiased prediction in the generalized linear regression model’, Journal of the American Statistical Association, Vol. 57, pp. 369–375.

Kapoor, M., Kelejian, H.H. and Prucha, I.R. (2007). ‘Panel data models with spatially correlated error components’, Journal of Econometrics, Vol. 140, pp. 97–130.

Kelejian, H.H., Prucha, I.R. (1999). ‘A generalized moments estimator for the autoregressive parameter in a spatial model’, International Economic Review, Vol. 40, pp. 509–533.

Sevestre, P. and Trognon, A. (1996). ‘Dynamic linear models’, in Màtyàs L. and Sevestre P. (eds)., The Econometrics of Panel Data: A Handbook of Theory with Applications, Chapter 7, Kluwer Academic Publishers, Dordrecht, pp. 121–144.

Descargas

Publicado

2014-12-30

Cómo citar

Fingleton, B. (2014). Forecasting with dynamic spatial panel data: practical implementation methods. Economics and Business Letters, 3(4), 194–207. https://doi.org/10.17811/ebl.3.4.2014.194-207