| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26569 |
| 来源ID | Working Paper 26569 |
| Forecasting with a Panel Tobit Model | |
| Laura Liu; Hyungsik Roger Moon; Frank Schorfheide | |
| 发表日期 | 2019-12-23 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We use a dynamic panel Tobit model with heteroskedasticity to generate point, set, and density forecasts for a large cross-section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross-sectional distribution of heterogeneous coefficients and then implicitly use this distribution as prior to construct Bayes forecasts for the individual time series. We construct set forecasts that explicitly target the average coverage probability for the cross-section. We present a novel application in which we forecast bank-level charge-off rates for credit card and residential real estate loans, comparing various versions of the panel Tobit model. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w26569 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584243 |
| 推荐引用方式 GB/T 7714 | Laura Liu,Hyungsik Roger Moon,Frank Schorfheide. Forecasting with a Panel Tobit Model. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26569.pdf（1534KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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