3 citations · 5 across the 3 of their papers we have counts for
4 papers · 1 filter
Forecasting with a Panel Tobit Model
Laura Liu, Hyungsik Roger Moon, Frank Schorfheide
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross-section of short time series of censored observations. Our fully Bayesian approac…
Identification and Estimation of Partial Effects in Nonlinear Semiparametric Panel Models
Laura Liu, Alexandre Poirier, Ji-Liang Shiu
Average partial effects (APEs) are often not point identified in panel models with unrestricted unobserved individual heterogeneity, such as a binary response panel model with fixe…
Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective
Laura Liu
This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients as well as cr…
Forecasting with Dynamic Panel Data Models
Laura Liu, Hyungsik Roger Moon, Frank Schorfheide
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 for…