Clustered panel data models: An efficient approach for nowcasting from poor data

Michel Mouchart

doi:10.1016/j.ijforecast.2004.12.007

Clustered panel data models: An efficient approach for nowcasting from poor data

2005-07-01

12

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AI

DOI：10.1016/j.ijforecast.2004.12.007

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Abstract

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Nowcasting concerns the inference on the current realization of random variables using information available until a recent past. This paper proposes a modelling strategy aimed at the best use of data for nowcasting based on panel data with severe deficiencies, namely, short time series and many missing data. The basic idea consists of introducing a clustering approach into the usual panel data model specification. A case study in the field of R&D variables illustrates the proposed modelling strategy. (c) 2005 International Institute of Forcasters. Published by Elsevier B.V. All rights reserved.

Keywords:

panel data

forecast

nowcast

missing data

clustering

R&D data

Clustered panel data models: An efficient approach for nowcasting from poor data

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