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Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity. (2024). Pesaran, Mohammad ; Timmermann, Allan ; Pick, Andreas.
In: Papers.
RePEc:arx:papers:2404.11198.

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  1. Baltagi, B.H. (2013) “Panel data forecasting” Ch. 18 in Elliott, G. and A. Timmermann, Handbook of Economic Forecasting, volume 2B. North Holland: Elsevier.
    Paper not yet in RePEc: Add citation now
  2. Gelfand, A.E., S.E. Hills, A. Racine-Poon, A.F.M. Smith (1996). Illustration of Bayesian inference in normal data models using Gibbs sampling. Journal of the American Statistical Association, 85, 972–985.
    Paper not yet in RePEc: Add citation now
  3. Goldberger, A.S. (1962) “Best linear unbiased prediction in the generalized linear regression model” Journal of the American Statistical Association 57, 369–375.
    Paper not yet in RePEc: Add citation now
  4. Hsiao C., M.H. Pesaran and A.K. Tahmiscioglu (1999) Bayes estimation of short-run coefficients in dynamic panel data models. Ch.11 in C. Hsiao, K. Lahiri, L.-F. Lee and M.H.Pesaran Analysis of panels and limited dependent variable models, Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  5. Lindley D.V. and A.F.M. Smith (1972) Bayesian estimates for the linear model. Journal of the Royal Statistical Society, Series B 34, 1-41.
    Paper not yet in RePEc: Add citation now

  6. Pesaran, M.H. (2015) Time Series and Panel Data Econometrics, Oxford University Press.

  7. Pesaran, M.H., R. Smith (1995) “Estimating long-run relationships from dynamic heterogeneous panels” Journal of Econometrics 68, 134–152.
    Paper not yet in RePEc: Add citation now

  8. Timmermann, A. (2006) “Forecast combinations” Ch. 4 in G. Elliott, C. W. J. Granger and A. Timmermann (Eds.) Handbook of Economic Forecasting, volume. 1, North Holland: Elsevier. S-25

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