TY  - RPRT
        AU  - Baltagi, Badi H.
AU  - Bresson, Georges
AU  - Pirotte, Alain
        TI  - Forecasting with Spatial Panel Data
        PY  - 2009/Jun/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 4242
        UR  - https://www.iza.org/index.php/publications/dp4242
        AB  - This paper compares various forecasts using panel data with spatial error correlation. The true data generating process is assumed to be a simple error component regression model with spatial remainder disturbances of the autoregressive or moving average type. The best linear unbiased predictor is compared with other forecasts ignoring spatial correlation, or ignoring heterogeneity due to the individual effects, using Monte Carlo experiments. In addition, we check the performance of these forecasts under misspecification of the spatial error process, various spatial weight matrices, and heterogeneous rather than homogeneous panel data models.
        KW  - BLUP
KW  - panel data
KW  - spatial dependence
KW  - forecasting
KW  - heterogeneity
        ER  -