Department of Economics
100 S. Woodlawn Avenue
Bloomington, IN 47405
Institutional Affiliation: Indiana University
NBER Working Papers and Publications
|December 2019||Forecasting with a Panel Tobit Model|
with Hyungsik Roger Moon, Frank Schorfheide: w26569
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.
|September 2018||Forecasting with Dynamic Panel Data Models|
with Hyungsik Roger Moon, Frank Schorfheide: w25102
This paper considers the problem of forecasting a collection of short time series using cross sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under a correlated random effects distribution. This formula utilizes cross-sectional information to transform the unit-specific (quasi) maximum likelihood estimator into an approximation of the posterior mean under a prior distribution that equals the population distribution of the random coefficients. We show that the risk of a predictor based on a non-parametric kernel estimate of the Tweedie correction is asymptotically equivalent to the risk of a predictor that treats the correlated-random-effects distribution as known (ratio-optimality). Our empiric...
Published: Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Forecasting With Dynamic Panel Data Models," Econometrica, Econometric Society, vol. 88(1), pages 171-201, January. citation courtesy of