Introduces minimum-MSE unit averaging estimator for heterogeneous panels, derives local asymptotic distribution under local heterogeneity, and applies to German regional unemployment forecasting.
The dominated convergence theorem applies and so πβοΈ π=1 π€2 π (ππ π β πβ² 0πππ0) = ββοΈ π=1 ππ,π (π) β ββοΈ π=1 0 = 0 as π, π β β
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Unit Averaging for Heterogeneous Panels
Introduces minimum-MSE unit averaging estimator for heterogeneous panels, derives local asymptotic distribution under local heterogeneity, and applies to German regional unemployment forecasting.