Clustered panel data models: an efficient approach for nowcasting from poor data

Mouchart, Michel;Rombouts, Jeroen
(2003)

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  • Mouchart, MichelUCLouvain
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  • Rombouts, Jeroen
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Abstract
Nowcasting regards the inference on the present realization of random variables, on the basis of information available until a recent past. This paper proposes a modelling strategy aimed at a best use of the data for nowcasting based on panel data with severe deficiencies, namely short times series and many missing data. The basic idea consists of introducing a clustering approach into the usual panel data model specification. A case study in the field of R&D variables illustrates the proposed modelling strategy.
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Mouchart, M., & Rombouts, J. (2003). Clustered panel data models: an efficient approach for nowcasting from poor data (ECON Discussion Papers 2003/93). https://hdl.handle.net/2078.5/38476