A global AR(1) plus block-specific local residual models raises full-panel out-of-sample R² by 0.047 on heterogeneous investment data, with gains replicated across US, UK/EU, and combined panels.
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Global Persistence, Local Residual Structure: Forecasting Heterogeneous Investment Panels
A global AR(1) plus block-specific local residual models raises full-panel out-of-sample R² by 0.047 on heterogeneous investment data, with gains replicated across US, UK/EU, and combined panels.