some panel work we may want to do
by Riccardo (Jack) Lucchetti
OK, this message is meant to summarise a few things we discussed in
today's meeting for the benefit of Artur and Sven and also, so that we
don't forget.
The starting point was B. Revell's message on out-of-sample forecasting
in panel datasets, which spurred a discussion on several different
points (all panel-related):
* out-of sample forecasting for panel estimators _in the time dimension_
may be tricky for FE and/or dynamic models, so maybe we could start from
providing this facility for static models estimated with random effects,
and proceed from there.
* forecasting _a unit_ may pose different problems. Again, this should
not be a problem if the estimator is RE (and the model is static); what
we should do if the estimator is FE is less clear and we may want to put
this aside for the moment.
* related to out-of-sample forecasting is the issue of extending the
"dataset addobs" command to panel datasets. At present, this works by
appending empty units, provided the parameter is an integer multiple of
$pd, but it may be interesting to provide a way to add time periods. It
could be nice to make this the object of a collective coding session
next week. This would also have the benefit of illustrating some
characteristics of the DATASET struct, that appears pretty much
everywhere in libgretl.
* we may provide a new option to the panel command to have CRE
estimator, which is basically RE with cross-sectional means added and
returns the FE estimator for time-varying regressors. I find it of some
pedagogical value (J. Wooldridge is quite a fan), and besides, it
implies very little extra computational effort from what we do already.
In fact, I'm providing an example in my book that the attached script
illustrates.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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