{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T03:46:55Z","timestamp":1791517615558,"version":"4.3.4"},"reference-count":32,"publisher":"The Econometric Society","issue":"1","funder":[{"DOI":"10.13039\/100000001","name":"National Science Foundation","doi-asserted-by":"publisher","id":[{"id":"10.13039\/100000001","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["ECTA"],"abstract":"<jats:p>This paper considers the problem of forecasting a collection of short time series using cross\u2010sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under a correlated random effects distribution. This formula utilizes cross\u2010sectional information to transform the unit\u2010specific (quasi) maximum likelihood estimator into an approximation of the posterior mean under a prior distribution that equals the population distribution of the random coefficients. We show that the risk of a predictor based on a nonparametric kernel estimate of the Tweedie correction is asymptotically equivalent to the risk of a predictor that treats the correlated random effects distribution as known (ratio optimality). Our empirical Bayes predictor performs well compared to various competitors in a Monte Carlo study. In an empirical application, we use the predictor to forecast revenues for a large panel of bank holding companies and compare forecasts that condition on actual and severely adverse macroeconomic conditions.<\/jats:p>","DOI":"10.3982\/ecta14952","type":"journal-article","created":{"date-parts":[[2020,2,3]],"date-time":"2020-02-03T12:37:03Z","timestamp":1580733423000},"page":"171-201","source":"Crossref","is-referenced-by-count":57,"title":["Forecasting With Dynamic Panel Data Models"],"prefix":"10.3982","volume":"88","author":[{"given":"Laura","family":"Liu","sequence":"first","affiliation":[{"name":"Department of Economics, Indiana University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Hyungsik Roger","family":"Moon","sequence":"additional","affiliation":[{"name":"Department of Economics, University of Southern California"},{"name":"Yonsei 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