Laura Liu, Hyungsik Roger Moon, Frank Schorfheide
arXiv 27 Oct 2021 · Econometrics · publishedQuantitative Economics (2023) · 13 citations (OpenAlex)
arXiv:2110.14117 · PDF · DOI · OpenAlex · Extracted main text
We use a dynamic panel Tobit model with heteroskedasticity to generate 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. In addition to density forecasts, 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 loan charge-off rates for small banks.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Li and Zheng (2008) Semiparametric Bayesian Inference for Dynamic Tobit Panel Data Models with Unobserved Heterogeneity | 1.000 | 5 | 3 | 100% |
| 2 | Baranchuk and Chib (2008) Assessing the role of option grants to CEOs: How important is heterogeneity? | 1.000 | 5 | 3 | 100% |
| 3 | Ghosh (2017) Sector-specific Analysis of Non-performing Loans in the U.S. Banking System and their Macroeconomic Impact | 0.941 | 6 | 3 | 83% |
| 4 | Liu (2021) Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective self | 0.928 | 4 | 3 | 100% |
| 5 | Wei (1999) A Bayesian Approach to Dynamic Tobit Models | 0.811 | 4 | 2 | 100% |
| 6 | Chib (1992) Bayes Inference in the Tobit Censored Regression Model | 0.737 | 3 | 2 | 100% |
| 7 | Ishwaran and James (2001) Gibbs Sampling Methods for Stick-Breaking Priors | 0.737 | 3 | 2 | 100% |
| 8 | Liu, Moon, and Schorfheide (2020) Forecasting with Dynamic Panel Data Models self | 0.737 | 3 | 2 | 100% |
| 9 | Botev (2017) The Normal Law under Linear Restrictions: Simulation and Estimation via Minimax Tilting | 0.644 | 2 | 2 | 100% |
| 10 | Ghosh (2015) Banking-Industry Specific and Regional Economic Determinants of Non-performing Loans: Evidence from U.S. States | 0.644 | 2 | 2 | 100% |
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