{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T02:03:11Z","timestamp":1791943391557,"version":"4.3.4"},"reference-count":49,"publisher":"The Econometric Society","issue":"1","license":[{"start":{"date-parts":[[2023,1,1]],"date-time":"2023-01-01T00:00:00Z","timestamp":1672531200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"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":["QE"],"abstract":"<jats:p>We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross\u2010section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross\u2010sectional 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\u2010section. We present a novel application in which we forecast bank\u2010level loan charge\u2010off rates for small banks.<\/jats:p>","DOI":"10.3982\/qe1505","type":"journal-article","created":{"date-parts":[[2023,1,19]],"date-time":"2023-01-19T07:26:04Z","timestamp":1674113164000},"page":"117-159","source":"Crossref","is-referenced-by-count":17,"title":["Forecasting with a panel Tobit model"],"prefix":"10.3982","volume":"14","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"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Frank","family":"Schorfheide","sequence":"additional","affiliation":[{"name":"Department of Economics, University of Pennsylvania"},{"name":"CEPR"},{"name":"NBER"},{"name":"PIER"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2023]]},"reference":[{"key":"quan200251-bib-0001","doi-asserted-by":"crossref","first-page":"669","DOI":"10.1080\/01621459.1993.10476321","volume":"88","author":"Albert","year":"1993","journal-title":"Journal of the American Statistical Association"},{"key":"quan200251-bib-0002","doi-asserted-by":"crossref","first-page":"2567","DOI":"10.3982\/ECTA18597","volume":"90","author":"Armstrong","year":"2021","journal-title":"Econometrica"},{"key":"quan200251-bib-0003","doi-asserted-by":"crossref","first-page":"953","DOI":"10.1111\/jtsa.12426","volume":"39","author":"Askanazi","year":"2018","journal-title":"Journal of Time Series Analysis"},{"key":"quan200251-bib-0004","doi-asserted-by":"crossref","first-page":"815","DOI":"10.3150\/bj\/1130077595","volume":"11","author":"Atchad\u00e9","year":"2005","journal-title":"Bernoulli"},{"key":"quan200251-bib-0005","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1016\/j.jempfin.2006.10.004","volume":"15","author":"Baranchuk","year":"2008","journal-title":"Journal of Empirical Finance"},{"key":"quan200251-bib-0006","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1111\/rssb.12162","volume":"79","author":"Botev","year":"2017","journal-title":"Journal of the Royal Statistical Society B"},{"key":"quan200251-bib-0007","doi-asserted-by":"crossref","first-page":"1685","DOI":"10.1214\/08-AOS630","volume":"37","author":"Brown","year":"2009","journal-title":"The Annals of Statistics"},{"key":"quan200251-bib-0008","doi-asserted-by":"crossref","first-page":"956","DOI":"10.1002\/jae.2285","volume":"28","author":"Burda","year":"2013","journal-title":"Journal of Applied Econometrics"},{"key":"quan200251-bib-0009","doi-asserted-by":"crossref","first-page":"541","DOI":"10.1093\/biomet\/81.3.541","volume":"81","author":"Carter","year":"1994","journal-title":"Biometrika"},{"key":"quan200251-bib-0010","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1016\/0304-4076(92)90030-U","volume":"51","author":"Chib","year":"1992","journal-title":"Journal of Econometrics"},{"key":"quan200251-bib-0011","doi-asserted-by":"crossref","first-page":"67","DOI":"10.1016\/S0304-4076(02)00122-7","volume":"110","author":"Chib","year":"2002","journal-title":"Journal of Econometrics"},{"key":"quan200251-bib-0012","doi-asserted-by":"crossref","first-page":"685","DOI":"10.1198\/016214505000000871","volume":"101","author":"Chib","year":"2006","journal-title":"Journal of the American Statistical Association"},{"key":"quan200251-bib-0013","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1198\/073500107000000016","volume":"25","author":"Del Negro","year":"2007","journal-title":"Journal of Business and Economic Statistics"},{"key":"quan200251-bib-0014","doi-asserted-by":"crossref","first-page":"131","DOI":"10.1016\/j.jeconom.2021.04.002","volume":"230","author":"Fisher","year":"2022","journal-title":"Journal of Econometrics"},{"key":"quan200251-bib-0015","doi-asserted-by":"crossref","DOI":"10.1002\/0471744735","volume-title":"Contemporary Bayesian Econometrics and Statistics","author":"Geweke","year":"2005"},{"key":"quan200251-bib-0016","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/S1574-0706(05)01001-3","volume-title":"Handbook of Economic Forecasting","volume":"1","author":"Geweke","year":"2006"},{"key":"quan200251-bib-0017","doi-asserted-by":"crossref","DOI":"10.1017\/9781139029834","volume-title":"Fundamentals of Nonparametric Bayesian Inference","author":"Ghosal","year":"2017"},{"key":"quan200251-bib-0018","doi-asserted-by":"crossref","first-page":"93","DOI":"10.1016\/j.jfs.2015.08.004","volume":"20","author":"Ghosh","year":"2015","journal-title":"Journal of Financial Stability"},{"key":"quan200251-bib-0019","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1016\/j.jeconbus.2017.06.002","volume":"93","author":"Ghosh","year":"2017","journal-title":"Journal of Economics and Business"},{"key":"quan200251-bib-0020","volume-title":"Bayesian Nonparametrics","author":"Ghosh","year":"2003"},{"key":"quan200251-bib-0021","doi-asserted-by":"crossref","first-page":"436","DOI":"10.1162\/REST_a_00483","volume":"97","author":"Giannone","year":"2015","journal-title":"Review of Economic and Statistics"},{"key":"quan200251-bib-0022","doi-asserted-by":"crossref","first-page":"359","DOI":"10.1198\/016214506000001437","volume":"102","author":"Gneiting","year":"2007","journal-title":"Journal of the American Statistical Association"},{"key":"quan200251-bib-0023","doi-asserted-by":"crossref","first-page":"575","DOI":"10.1002\/jae.2530","volume":"32","author":"Gu","year":"2017","journal-title":"Journal of Applied Economics"},{"key":"quan200251-bib-0024","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/07350015.2015.1052457","volume":"35","author":"Gu","year":"2017","journal-title":"Journal of Business & Economic Statistics"},{"key":"quan200251-bib-0025","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4613-8242-3","volume-title":"Bayes Theory","author":"Hartigan","year":"1983"},{"key":"quan200251-bib-0026","doi-asserted-by":"crossref","first-page":"781","DOI":"10.1111\/1468-0262.00305","volume":"70","author":"Hirano","year":"2002","journal-title":"Econometrica"},{"key":"quan200251-bib-0027","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1198\/016214501750332758","volume":"96","author":"Ishwaran","year":"2001","journal-title":"Journal of the American Statistical Association"},{"key":"quan200251-bib-0028","doi-asserted-by":"crossref","first-page":"508","DOI":"10.1198\/106186002411","volume":"11","author":"Ishwaran","year":"2002","journal-title":"Journal of Computational and Graphical Statistics"},{"key":"quan200251-bib-0029","doi-asserted-by":"crossref","first-page":"1126","DOI":"10.1002\/hec.1777","volume":"20","author":"Keane","year":"2011","journal-title":"Health Economics"},{"key":"quan200251-bib-0030","unstructured":"Keeton, William R. and Charles S. Morris (1987), \u201cWhy do banks' loan losses differ.\u201d Economic Review, FRB Kansas City."},{"key":"quan200251-bib-0031","doi-asserted-by":"crossref","first-page":"1296","DOI":"10.1080\/01621459.1999.10473882","volume":"94","author":"Koenker","year":"1999","journal-title":"Journal of the American Statistical Association"},{"key":"quan200251-bib-0032","volume-title":"An Introduction to Modern Bayesian Econometrics","author":"Lancaster","year":"2004"},{"key":"quan200251-bib-0033","first-page":"221","volume-title":"Oxford Handbook of Bayesian Econometrics","author":"Li","year":"2011"},{"key":"quan200251-bib-0034","doi-asserted-by":"crossref","first-page":"699","DOI":"10.1002\/jae.1017","volume":"23","author":"Li","year":"2008","journal-title":"Journal of Applied Econometrics"},{"key":"quan200251-bib-0035","author":"Liu","year":"2022","journal-title":"Journal of Business & Economic Statistics"},{"key":"quan200251-bib-0036","doi-asserted-by":"crossref","first-page":"171","DOI":"10.3982\/ECTA14952","volume":"88","author":"Liu","year":"2020","journal-title":"Econometrica"},{"key":"quan200251-bib-0037","doi-asserted-by":"crossref","unstructured":"Liu, Laura, Hyungsik Roger Moon, and Frank Schorfheide (2023), \u201cSupplement to \u2018Forecasting with a panel Tobit model\u2019.\u201d Quantitative Economics Supplemental Material, 14, https:\/\/doi.org\/10.3982\/QE1505.","DOI":"10.3982\/QE1505"},{"key":"quan200251-bib-0038","first-page":"105","volume-title":"Frontiers in Econometrics","author":"McFadden","year":"1973"},{"key":"quan200251-bib-0039","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/0165-4101(90)90027-2","volume":"13","author":"Moyer","year":"1990","journal-title":"Journal of Accounting and Economics"},{"key":"quan200251-bib-0040","doi-asserted-by":"crossref","first-page":"1134","DOI":"10.1080\/01621459.1988.10478711","volume":"83","author":"Nychka","year":"1988","journal-title":"Journal of the American Statistical Association"},{"key":"quan200251-bib-0041","first-page":"71","volume-title":"Handbook of Macroeconomics","volume":"2","author":"Ramey","year":"2016"},{"key":"quan200251-bib-0042","volume-title":"Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability","author":"Robbins","year":"1956"},{"key":"quan200251-bib-0043","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4757-4314-2","volume-title":"The Bayesian Choice","author":"Robert","year":"1994"},{"key":"quan200251-bib-0044","doi-asserted-by":"crossref","DOI":"10.1515\/9781400850303","volume-title":"Bayesian Non- and Semi-Parametric Methods and Applications","author":"Rossi","year":"2014"},{"key":"quan200251-bib-0045","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1016\/j.jeconom.2004.08.009","volume":"128","author":"Schorfheide","year":"2005","journal-title":"Journal of Econometrics"},{"key":"quan200251-bib-0046","doi-asserted-by":"crossref","first-page":"528","DOI":"10.1080\/01621459.1987.10478458","volume":"82","author":"Tanner","year":"1987","journal-title":"Journal of the American Statistical Association"},{"key":"quan200251-bib-0047","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511802256","volume-title":"Asymptotic Statistics","author":"Vaart","year":"1998"},{"key":"quan200251-bib-0048","doi-asserted-by":"crossref","first-page":"133","DOI":"10.1111\/j.2517-6161.1983.tb01239.x","volume":"45","author":"Wahba","year":"1983","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"quan200251-bib-0049","doi-asserted-by":"crossref","first-page":"417","DOI":"10.1080\/07474939908800353","volume":"18","author":"Wei","year":"1999","journal-title":"Econometric Reviews"}],"container-title":["Quantitative Economics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.3982\/QE1505","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,10,12]],"date-time":"2024-10-12T11:35:18Z","timestamp":1728732918000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.econometricsociety.org\/doi\/10.3982\/QE1505"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2023]]},"references-count":49,"journal-issue":{"issue":"1","published-online":{"date-parts":[[2023]]}},"alternative-id":["10.3982\/QE1505"],"URL":"https:\/\/doi.org\/10.3982\/qe1505","relation":{},"ISSN":["1759-7323"],"issn-type":[{"value":"1759-7323","type":"print"}],"subject":[],"published":{"date-parts":[[2023]]}}}