Forecasting with Micro Panels: The Case of Health Care Costs

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• 作者：Denzil G. Fiebig and Meliyanni Johar
• 刊名：Journal of Forecasting
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：36
• 期：1
• 页码：1-15
• 全文大小：602K
• ISSN：1099-131X

文摘

Micro panels characterized by large numbers of individuals observed over a short time period provide a rich source of information, but as yet there is only limited experience in using such data for forecasting. Existing simulation evidence supports the use of a fixed-effects approach when forecasting but it is not based on a truly micro panel set-up. In this study, we exploit the linkage of a representative survey of more than 250,000 Australians aged 45 and over to 4 years of hospital, medical and pharmaceutical records. The availability of panel health cost data allows the use of predictors based on fixed-effects estimates designed to guard against possible omitted variable biases associated with unobservable individual specific effects. We demonstrate the preference towards fixed-effects-based predictors is unlikely to hold in many practical situations, including our models of health care costs. Simulation evidence with a micro panel set-up adds support and additional insights to the results obtained in the application. These results are supportive of the use of the ordinary least squares predictor in a wide range of circumstances. Copyright