[Gretl-users] some panel work we may want to do

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. ------------------------------------------------------- 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 -------------------------------------------------------