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Free University of Bozen-Bolzano

Location Room BZ E4.23, Universitätsplatz 1 - Piazza Università, 1, 39100 Bozen-Bolzano

Departments Press and Events

Contact Sabine Zanin
SchoolofEconomics@unibz.it

29 Jan 2018 12:30-13:30

Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective

Laura Liu, Federal Reserve Board, Washington

Location Room BZ E4.23, Universitätsplatz 1 - Piazza Università, 1, 39100 Bozen-Bolzano

Departments Press and Events

Contact Sabine Zanin
SchoolofEconomics@unibz.it

Here is the link tothe paper: http://laurayuliu.com/research/Working_Papers/Panel_Dfcst/panel_dfcst_paper.pdf


Abstract: This paper constructs individual-specific density forecastsfor a dynamic panel data model with common and heterogeneous coefficients andcross-sectional heteroskedasticity. Due to the short time dimension,traditional methods have difficulty in disentangling the heterogeneousparameters from the shocks, which contaminates the estimates of theheterogeneous parameters. To tackle this problem, I assume that there is anunderlying distribution of heterogeneous parameters, model this distributionnon-parametrically allowing for correlated random effects, and then estimatethis distribution by pooling the information from the whole cross-sectiontogether.