Tim Kutta, Martin Schumann, Holger Dette
arXiv 17 Dec 2025 · Statistics — Methodology
arXiv:2512.15592 · PDF · Extracted main text
Panels with large time $(T)$ and cross-sectional $(N)$ dimensions are a key data structure in social sciences and other fields. A central question in panel data analysis is whether to pool data across individuals or to estimate separate models. Pooled estimators typically have lower variance but may suffer from bias, creating a fundamental trade-off for optimal estimation. We develop a new inference method to compare the forecasting performance of pooled and individual estimators. Specifically, we propose a confidence interval for the difference between their forecasting errors and establish its asymptotic validity. Our theory allows for complex temporal and cross-sectional dependence in the model errors and covers scenarios where $N$ can be much larger than $T$-including the independent case under the classical condition $N/T^2 \to 0$. The finite-sample properties of the proposed method are examined in an extensive simulation study.
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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 | Pesaran, Hashem and Pick, Andreas and Timmermann, Allan (2022) Forecasting with Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity | 0.874 | 10 | 2 | 100% |
| 2 | M. H. Pesaran and Takashi Yamagata (2008) Testing slope homogeneity in large panels | 0.737 | 3 | 2 | 100% |
| 3 | Tomohiro Ando and Jushan Bai (2015) A simple new test for slope homogeneity in panel data models with interactive effects | 0.644 | 2 | 2 | 100% |
| 4 | P. A. V. B. Swamy (1970) Efficient Inference in a Random Coefficient Regression Model | 0.511 | 2 | 1 | 100% |
| 5 | Blomquist, Johan and Westerlund, Joakim (2016) Panel bootstrap tests of slope homogeneity | 0.405 | 1 | 1 | 100% |
| 6 | Murillo Campello and Antonio F. Galvao and Ted Juhl (2019) Testing for Slope Heterogeneity Bias in Panel Data Models | 0.405 | 1 | 1 | 100% |
| 7 | Mokkadem, A (1988) Mixing properties of ARMA processes | 0.405 | 1 | 1 | 100% |
| 8 | Arnold Zellner (1962) An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias | 0.405 | 1 | 1 | 100% |
| 9 | Baltagi, Badi H and Bresson, Georges and Pirotte, Alain (2008) To pool or not to pool? | 0.405 | 1 | 1 | 100% |
| 10 | R. C. Bradley (2007) Introduction to Strong Mixing Conditions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 26 scored citations.