Forecasting with a Panel Tobit Model
Forecasting with a Panel Tobit Model
复制标题
使用面板 Tobit 模型进行预测
DOI：
10.2139/ssrn.3502279
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
F. Schorfheide
中科院分区：
文献类型：
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作者：
L. Liu;H. Moon;F. Schorfheide
我们使用具有异方差性的动态面板Tobit模型来生成对短时间截尾观测序列的大横截面的预测。我们的完全贝叶斯方法允许我们灵活地估计异质系数的横截面分布，然后隐式地使用该分布作为先验来构建单个时间序列的贝叶斯预测。除了密度预测之外，我们还构建了明确针对横截面平均覆盖概率的集合预测。我们提出了一个新的应用程序，在其中我们预测银行级的贷款收费率为小银行。
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross‐sectional 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‐section. We present a novel application in which we forecast bank‐level loan charge‐off rates for small banks.