Showing papers on "Multidimensional panel data published in 2006"
TL;DR: In this article, the iterated linear least squares estimator of Blundell and Robin (in J Appl Econometrics 14: 209-232 1999) was extended to panel data and applied to data drawn from a French Consumer Panel.
Abstract: In this paper, we extend to panel data the iterated linear least squares estimator of Blundell and Robin (in J Appl Econometrics 14: 209-232 1999). It is shown to be consistent when total expenditure and regression residuals are correlated, either because of simultaneity or because of unobserved heterogeneity. We propose separate tests for these two effects. Monte Carlo experiments are then conducted and the estimator is applied to data drawn from a French Consumer Panel.
23 citations
TL;DR: The authors give a brief survey of forecasting with panel data, starting with a simple error component regression model and surveying best linear unbiased prediction under various assumptions of the disturbance term, including various ARMA models as well as spatial auto-regressive models.
Abstract: This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression model and surveying best linear unbiased prediction under various assumptions of the disturbance term. This includes various ARMA models as well as spatial auto-regressive models. The paper also surveys how these forecasts have been used in panel data applications, running horse races between heterogeneous and homogeneous panel data models using out of sample forecasts.