Unit Averaging for Heterogeneous Panels
Bibliographic Data
| ID | 19417397 |
|---|---|
| Authors | Christian Brownlees (0000-0003-4276-1468, Libera Università Internazionale degli Studi Sociali Guido Carli), Vladislav Morozov (University of Bonn, corresponding author) |
| Year | 2026 |
| Pages | 1-52 |
| Publication date | 2026-04-21 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2025.2584579 |
| OpenAlex | W4416075642 |
| Language | EN |
| Citations received | 1 |
| References cited | 42 |
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
Estimation theory · Estimator · Frequentist inference · Mean squared error · Economic Policies and Impacts · Spatial and Panel Data Analysis · Statistical Methods and Inference
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| Unique citing works | 1 |
|---|---|
| Citations per year | 1 |
| Citation span | 2026 - 2026 (1) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 1 |