Introduces minimum-MSE unit averaging estimator for heterogeneous panels, derives local asymptotic distribution under local heterogeneity, and applies to German regional unemployment forecasting.
Accordingly {๏ธโ๏ธ๐ ๐=1 ๐ค2 ๐ ๐โฒ 0๐๐๐0 }๏ธโ ๐=1 forms a bounded non-decreasing sequence
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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.