Académique Documents
Professionnel Documents
Culture Documents
Badi H. Baltagi
(Syracuse University)
Discussion Paper
Series 1: Economic Studies
No 25/2006
Discussion Papers represent the authors personal opinions and do not necessarily reflect the views of the
Deutsche Bundesbank or its staff.
Editorial Board: Heinz Herrmann
Thilo Liebig
Karl-Heinz Tdter
9:30 - 10:45 Multiple structural breaks, forecasting and present value calculations
Hashem Pesaran (University of Cambridge)
Deutsche Bundesbank
Protocol and Conferences, K 100
Tel: +49 69 9566-4066/-2864, Fax: +49 69 9566 4027
Mobile: +49 177 7382251, E-mail: conferences@bundesbank.de
12:15 14:00 Lunch
Deutsche Bundesbank
Protocol and Conferences, K 100
Tel: +49 69 9566-4066/-2864, Fax: +49 69 9566 4027
Mobile: +49 177 7382251, E-mail: conferences@bundesbank.de
Saturday, 6 May 2006
9:30 - 10:45 Did the ECB make a difference for Euro area business cycle?
Fabio Canova* (Universitat Pompeu Fabra)
Matteo Ciccarelli (European Central Bank)
Eva Ortega (Bank of Spain)
11:00 - 12:15 Bayesian density forecasting with best performing priors determined
by entropic tilting
Charles Whiteman* (University of Iowa)
Kurt Lewis (University of Iowa)
Deutsche Bundesbank
Protocol and Conferences, K 100
Tel: +49 69 9566-4066/-2864, Fax: +49 69 9566 4027
Mobile: +49 177 7382251, E-mail: conferences@bundesbank.de
14:45 - 16:00 Forecasting using a large number of predictors
Lucrezia Reichlin (European Central Bank)
Deutsche Bundesbank
Protocol and Conferences, K 100
Tel: +49 69 9566-4066/-2864, Fax: +49 69 9566 4027
Mobile: +49 177 7382251, E-mail: conferences@bundesbank.de
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Non-technical summary
This paper provides a brief overview of forecasting with panel data. First, it discusses
what the best linear unbiased prediction is when various assumptions are made about the error
term, i. e. one-way error components, whereby the error term entails an unobservable individ-
ual effect; two-way error components, where the error term entails an unobservable individual
effect and a time-specific effect; serial correlation in the error term; error terms with spatial
correlation. Second, the paper considers heterogeneous data models versus homogeneous data
models. It reviews numerous papers and discusses the conditions under which heterogeneous
or homogeneous panel estimators perform better and in which cases pooling techniques are
preferable to single country forecasts. Finally, the paper points to several outstanding issues
and indicates the work which needs to be done if further progress is to be made in forecasting
in a panel environment.
Nicht-technische Zusammenfassung
Dieses Papier gibt einen kurzen berblick ber die Prognose mit Paneldaten. Zunchst
diskutiert es den besten linearen unverzerrten Schtzer wenn verschiedene Annahmen hin-
sichtlich des Fehlerterms gegeben sind: Der Fehlerterm enthlt einen unbeobachtbaren indivi-
duellen Effekt; der Fehlerterm enthlt sowohl einen unbeobachtbaren individuellen als auch
einen zeitspezifischen Effekt; der Fehlerterm ist zeitlich korreliert; der Fehlerterm ist rumlich
korreliert. Anschlieend betrachtet das Papier Modelle mit heterogenen und homogenen Da-
ten. Es gibt einen berblick ber viele Papiere und diskutiert, unter welchen Bedingungen
homogene oder heterogene Panelschtzer sich als berlegen erwiesen haben und wo sich Poo-
lingtechniken gegenber Einzelgleichungsanstzen bei der Prognose als berlegen gezeigt
haben. Schlielich wirft das Papier mehrere offene Fragen auf und zeigt welche Arbeiten
noch zu erledigen sind, um bei der Prognose mit Paneldaten Fortschritte zu machen.
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28
The following Discussion Papers have been published since 2005:
Series 1: Economic Studies
29
11 2005 Firm-level evidence on international Robin Brooks
stock market comovement Marco Del Negro
30
22 2005 The Role of Contracting Schemes for the
Welfare Costs of Nominal Rigidities over
the Business Cycle Matthias Paustian
31
32 2005 Determinants of current account developments
in the central and east European EU member
states consequences for the enlargement of Sabine Herrmann
the euro erea Axel Jochem
32
1 2006 The dynamic relationship between the Euro
overnight rate, the ECBs policy rate and the Dieter Nautz
term spread Christian J. Offermanns
2 2006 Sticky prices in the euro area: a summary of lvarez, Dhyne, Hoeberichts
new micro evidence Kwapil, Le Bihan, Lnnemann
Martins, Sabbatini, Stahl
Vermeulen, Vilmunen
6 2006 Bond pricing when the short term interest rate Wolfgang Lemke
follows a threshold process Theofanis Archontakis
33
11 2006 The role of real wage rigidity and labor market
frictions for unemployment and inflation Kai Christoffel
dynamics Tobias Linzert
14 2006 Inflation and relative price variability in the euro Dieter Nautz
area: evidence from a panel threshold model Juliane Scharff
34
21 2006 Monetary and fiscal policy interactions in a New
Keynesian model with capital accumulation Campbell Leith
and non-Ricardian consumers Leopold von Thadden
22 2006 Real-time forecasting and political stock market Martin Bohl, Jrg Dpke
anomalies: evidence for the U.S. Christian Pierdzioch
35
Series 2: Banking and Financial Studies
36
12 2005 Evaluating the German bank merger wave Michael Koetter
37
Visiting researcher at the Deutsche Bundesbank
The Deutsche Bundesbank in Frankfurt is looking for a visiting researcher. Among others
under certain conditions visiting researchers have access to a wide range of data in the
Bundesbank. They include micro data on firms and banks not available in the public.
Visitors should prepare a research project during their stay at the Bundesbank. Candidates
must hold a Ph D and be engaged in the field of either macroeconomics and monetary
economics, financial markets or international economics. Proposed research projects
should be from these fields. The visiting term will be from 3 to 6 months. Salary is
commensurate with experience.
Applicants are requested to send a CV, copies of recent papers, letters of reference and a
proposal for a research project to:
Deutsche Bundesbank
Personalabteilung
Wilhelm-Epstein-Str. 14
D - 60431 Frankfurt
GERMANY
38