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Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective

This article constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients as well as cross-sectional heteroscedasticity. The panel considered in this article features a large cross-sectional dimension N but short time series T. Due to the short T, traditional methods have difficulty in disentangling the heterogeneous parameters from the shocks, which contaminates the estimates of the heterogeneous parameters. To tackle this problem, I assume that there is an underlying distribution of heterogeneous parameters, model this distribution nonparametrically allowing for correlation between heterogeneous parameters and initial conditions as well as individual-specific regressors, and then estimate this distribution by combining information from the whole panel. Theoretically, I prove that in cross-sectional homoscedastic cases, both the estimated common parameters and the estimated distribution of the heterogeneous parameters achieve posterior consistency, and that the density forecasts asymptotically converge to the oracle forecast. Methodologically, I develop a simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved heterogeneous parameters. Monte Carlo simulations and an empirical application to young firm dynamics demonstrate improvements in density forecasts relative to alternative approaches.

Ketersediaan

Informasi Detail

Judul Seri

JOURNAL OF BUSINESS & ECONOMIC STATISTICS; Vol. 41, No. 2, April 2023

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 349-363

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

BAYESIAN
PANEL DATA
POSTERIOR CONSISTENCY
SEMIPARAMETRIC METHODS
DENSITY FORECASTS
YOUNG FIRM DYNAMICS

Info Detail Spesifik

https://doi.org/10.1080/07350015.2021.2021922

Pernyataan Tanggungjawab

Laura Liu

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