Asymptotically efficient model selection for panel data forecasting

DOI10.1017/S0266466618000294zbMATH Open1420.62486OpenAlexW2899192361WikidataQ129013587 ScholiaQ129013587MaRDI QIDQ4967795FDOQ4967795

Authors: Ryan Greenaway-McGrevy 

Publication date: 11 July 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000294

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zbMATH Keywords

model selectionforecasting panel data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

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• The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
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• Model selection in the presence of incidental parameters
• Prediction in the context of the variance-components model
• Discrete orthogonal polynomials on equidistant nodes
• Lag length selection in panel autoregression
• Prediction from the regression model with one-way error components

Cited In (7)

• Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
• Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
• Multistep forecast selection for panel data
• Panel data nowcasting
• Non-asymptotic tests of model performance
• On asymptotic risk of selecting models for possibly nonstationary time-series
• A predictive approach for selection of diffusion index models

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