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We propose a novel optimal pooling averaging estimator that makes an explicit trade\u2010off between efficiency gains from pooling and bias due to heterogeneity. By theoretically and numerically comparing various estimators, we find that a uniformly best estimator does not exist and that our new estimator is superior in nonextreme cases and robust in extreme cases. Our results provide practical guidance for the best estimator and forecast depending on features of data and models. We apply our method to examine the determinants of sovereign credit default swap spreads and forecast future spreads.<\/jats:p>","DOI":"10.1002\/jae.2696","type":"journal-article","created":{"date-parts":[[2019,2,5]],"date-time":"2019-02-05T22:09:41Z","timestamp":1549404581000},"page":"724-745","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":23,"title":["To pool or not to pool: What is a good strategy for parameter estimation and forecasting in panel regressions?"],"prefix":"10.1002","volume":"34","author":[{"given":"Wendun","family":"Wang","sequence":"first","affiliation":[{"name":"Econometric Institute Erasmus University Rotterdam Rotterdam Netherlands"},{"name":"Tinbergen Institute Rotterdam Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xinyu","family":"Zhang","sequence":"additional","affiliation":[{"name":"Qingdao University Qingdao China"},{"name":"CEFS, Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing China"},{"name":"Department of Statistics Pennsylvania State University, State College Pennsylvania"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Richard","family":"Paap","sequence":"additional","affiliation":[{"name":"Econometric Institute Erasmus University Rotterdam Rotterdam Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2019,3,3]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2012.11.011"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2467"},{"key":"e_1_2_11_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2013.838168"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1047"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-75892-1_16"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.03.048"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(96)01802-7"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300558551"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11319"},{"key":"e_1_2_11_11_1","first-page":"47","volume-title":"Advances in economics and econometrics","author":"Browning M.","year":"2007"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1541-0420.2006.00567.x"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2015.12.005"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2003.10.018"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1093\/rof\/rfr015"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0014-2921(01)00120-9"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2007.00785.x"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12220"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392261"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-75892-1_6"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2013.806708"},{"key":"e_1_2_11_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00243.x"},{"key":"e_1_2_11_23_1","doi-asserted-by":"publisher","DOI":"10.1515\/2156-6674.1000"},{"key":"e_1_2_11_24_1","unstructured":"Liu R. 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