Re: [Gretl-users] The "fcast" command and panel data

Am 26.02.2019 um 00:42 schrieb Allin Cottrell: > Use of "fcast" with panel data is now enabled (to varying degrees) for > pooled OLS, fixed effects, random effects and dpanel. Thanks for the summary, Allin. > Caveat: It's not clear what we should do if the model specification > includes time dummies. At present we impute an out-of-sample time > effect equal to the mean of the in-sample time effects. This is > obviously debatable; feel free to debate it. Perhaps we should ban > such prediction altogether. Spontaneously I'd say yes, ban them. [Plus an argument for why] > Now to out-of-sample in the cross-sectional dimension. What are we > going to do with individual effects, for the fixed- and > random-effects estimators? For now, we set the predicted individual > effect to the global constant (for fixed effects) or to its > expected value of zero (for random effects). This is obviously > another debatable point, analogous to the out-of-sample time effect > case. Yes. Same answer from me for the fixed effects case. For random effects it's different IMHO, because it is explicitly treated as a random variable and as you say, its expectation in the cross-section is zero. [...]