论文标题
异构面板平均单位
Unit Averaging for Heterogeneous Panels
论文作者
论文摘要
在这项工作中，我们引入了一个单位平均过程，以在异质面板模型中有效恢复单位特异性参数。该过程包括使用面板中所有单位特定参数估计器的加权平均值来估算给定单元的参数。平均的权重通过最小化我们得出的MSE标准来确定。我们在局部异质性框架中分析了由频繁模型平均文献启发的局部异质性框架中所得的最小单位平均估计器的性能，并得出了估计器和相应权重的局部渐近分布。该程序的好处是通过申请预测德国地区小组的失业率的申请。
In this work we introduce a unit averaging procedure to efficiently recover unit-specific parameters in a heterogeneous panel model. The procedure consists in estimating the parameter of a given unit using a weighted average of all the unit-specific parameter estimators in the panel. The weights of the average are determined by minimizing an MSE criterion we derive. We analyze the properties of the resulting minimum MSE unit averaging estimator in a local heterogeneity framework inspired by the literature on frequentist model averaging, and we derive the local asymptotic distribution of the estimator and the corresponding weights. The benefits of the procedure are showcased with an application to forecasting unemployment rates for a panel of German regions.
