NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Forecasting with a Panel Tobit Model

Laura Liu, Hyungsik Roger Moon, Frank Schorfheide

NBER Working Paper No. 26569
Issued in December 2019
NBER Program(s):Economic Fluctuations and Growth Program, Monetary Economics Program

We use a dynamic panel Tobit model with heteroskedasticity to generate point, set, and density forecasts for a large cross-section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross-sectional distribution of heterogeneous coefficients and then implicitly use this distribution as prior to construct Bayes forecasts for the individual time series. We construct set forecasts that explicitly target the average coverage probability for the cross-section. We present a novel application in which we forecast bank-level charge-off rates for credit card and residential real estate loans, comparing various versions of the panel Tobit model.

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Document Object Identifier (DOI): 10.3386/w26569

 
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