A panel data approach to economic forecasting: the bias-corrected average forecast

• Autor(a) principal: Issler, João Victor
• Data de Publicação: 2007
• Outros Autores: Lima, Luiz Renato Regis de Oliveira
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/894
• topic: Panel-data econometrics; Pooling of forecasts; Forecast-combination puzzle; Common features; Economia; Economia; Previsão econômica - Modelos econométricos

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular it delivers a zero-limiting mean-squared error if the number of forecasts and the number of post-sample time periods is sufficiently large. We also develop a zero-mean test for the average bias. Monte-Carlo simulations are conducted to evaluate the performance of this new technique in finite samples. An empirical exercise, based upon data from well known surveys is also presented. Overall, these results show promise for the bias-corrected average forecast.