11,756 research outputs found
Bayesian Methods for Completing Data in Space-Time Panel Models
Completing data sets that are collected in heterogeneous units is a quite frequent
problem. Chow and Lin (1971) were the first to develop a unified framework for
the three problems (interpolation, extrapolation and distribution) of predicting
times series by related series (the `indicators'). This paper develops a spatial
Chow-Lin procedure for cross-sectional and panel data and compares the classical
and Bayesian estimation methods. We outline the error covariance structure
in a spatial context and derive the BLUE for the ML and Bayesian MCMC estimation.
Finally, we apply the procedure to Spanish regional GDP data between
2000-2004. We assume that only NUTS-2 GDP is known and predict GDP
at NUTS-3 level by using socio-economic and spatial information available at
NUTS-3. The spatial neighborhood is defined by either km distance, travel time,
contiguity and trade relationships. After running some sensitivity analysis, we
present the forecast accuracy criteria comparing the predicted values with the
observed ones.Interpolation, Spatial panel econometrics, MCMC, Spatial
Chow-Lin Methods in Spatial Mixed Models
Missing data in dynamic panel models occur quite often since detailed recording of the dependent variable is often not possible at all observation points in time and space. In this paper we develop classical and Bayesian methods to complete missing data in panel models. The Chow-Lin (1971) method is a classical method for completing dependent disaggregated data and is successfully applied in economics to disaggregate aggregated time series. We will extend the space-time panel model in a new way to include cross-sectional and spatially correlated data. The missing disaggregated data will be obtained either by point prediction or by a numerical (posterior) predictive density. Furthermore, we point out that the approach can be extended to more complex models, like
ow data or systems of panel data. The panel Chow-Lin approach will be demonstrated with examples involving regional growth for Spanish regions.Space-time interpolation, Spatial panel econometrics, MCMC, Spatial Chow-Lin, missing regional data, Spanish provinces, MCMC, NUTS: nomenclature of territorial units for statistics
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