M. Hashem Pesaran

University of Southern California - Department of Economics

3620 South Vermont Ave. Kaprielian (KAP) Hall 300

Los Angeles, CA 90089

United States

SCHOLARLY PAPERS

148

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SSRN CITATIONS
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1,519

CROSSREF CITATIONS

3,258

Scholarly Papers (148)

1.

General Diagnostic Tests for Cross Section Dependence in Panels

Number of pages: 41 Posted: 04 Aug 2004
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 1,611 (14,138)
Citation 13

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2.

Econometrics: A Bird's Eye View

Number of pages: 73 Posted: 30 Nov 2006
John Geweke, Joel L. Horowitz and M. Hashem Pesaran
University of Technology Sydney - Economics Discipline Group, Northwestern University and University of Southern California - Department of Economics
Downloads 1,218 (21,658)

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history of econometrics, microeconometrics, macroeconometrics, Bayesian econometrics, nonparametric and semi-parametric analysis

Debt, Inflation and Growth: Robust Estimation of Long-Run Effects in Dynamic Panel Data Models

CAFE Research Paper No. 13.23
Number of pages: 68 Posted: 21 Nov 2013
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 957 (30,306)

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Long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, debt, in‡ation and growth, debt overhang

Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models

Number of pages: 68 Posted: 23 Dec 2013
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 117 (300,739)

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long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, debt, inflation and growth, debt overhang

Predictability of Asset Returns and the Efficient Market Hypothesis

Number of pages: 40 Posted: 12 Jul 2010
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 851 (35,653)

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market efficiency, predictability, heterogeneity of expectations, forecast averaging, equity, premium puzzle

Predictability of Asset Returns and the Efficient Market Hypothesis

Number of pages: 37 Posted: 12 Jul 2010
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 187 (205,328)

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market efficiency, predictability, heterogeneity of expectations, forecast averaging, equity premium puzzle

5.

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Number of pages: 70 Posted: 21 Aug 2003
University of Southern California - Department of Economics, Oliver Wyman, Mercer Oliver Wyman and Alliance Capital Management
Downloads 947 (31,191)
Citation 9

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Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation

6.

Random Coefficient Panel Data Models

Number of pages: 40 Posted: 06 Aug 2004
Cheng Hsiao and M. Hashem Pesaran
University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 873 (34,943)
Citation 5

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Random coefficient models, dynamic heterogeneous panels, classical and Bayesian approaches, tests of slope heterogeneity, cross section dependence

7.

Macroeconomics and Credit Risk: A Global Perspective

Journal of Money, Credit, and Banking, Forthcoming, Wharton Financial Institutions Center Working Paper No. 03-13
Number of pages: 60 Posted: 17 May 2003
University of Southern California - Department of Economics, Mercer Oliver Wyman, Oliver Wyman and Alliance Capital Management
Downloads 805 (39,065)
Citation 13

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Risk management, economic interlinkages, loss forecasting, default correlation

8.

Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing

Number of pages: 28 Posted: 16 Jun 2012
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 751 (42,957)
Citation 2

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counterfactuals, policy evaluation, macroeconomics, quantitative easing (QE), UK economic policy

9.
Downloads 744 ( 43,521)
Citation 103

Unit Roots and Cointegration in Panels

IEPR Working Paper No. 05.32, CESifo Working Paper Series No. 1565
Number of pages: 55 Posted: 02 Sep 2005
Jörg Breitung and M. Hashem Pesaran
University of Bonn and University of Southern California - Department of Economics
Downloads 704 (46,216)
Citation 7

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Panel unit roots, panel cointegration, cross section dependence, common effects

Unit Roots and Cointegration in Panels

Number of pages: 68 Posted: 08 Jun 2016
Jörg Breitung and M. Hashem Pesaran
University of Bonn and University of Southern California - Department of Economics
Downloads 40 (540,864)

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Panel Unit Roots, Panel Cointegration, Cross Section Dependence, Common Effects

10.
Downloads 687 ( 48,603)
Citation 8

Testing CAPM with a Large Number of Assets

AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 13 Mar 2012
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 511 (70,187)
Citation 16

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CAPM, Testing for alpha, Market efficiency, Long/short equity returns, Large panels, Weak and strong cross-sectional dependence

Testing CAPM with a Large Number of Assets

Number of pages: 55 Posted: 14 Apr 2012
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 176 (216,630)

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CAPM, testing for alpha, market efficiency, long/short equity returns, large panels, weak and strong cross-sectional dependence

11.

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

Number of pages: 65 Posted: 28 Jan 2001
M. Hashem Pesaran, Michael Binder and Cheng Hsiao
University of Southern California - Department of Economics, University of Maryland - Department of Economics and University of Southern California - Department of Economics
Downloads 593 (58,586)
Citation 7

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Panel vector autoregressions, fixed effects, unit roots, cointegration

Large Panel Data Models with Cross-Sectional Dependence: A Survey

CAFE Research Paper No. 13.15
Number of pages: 55 Posted: 27 Aug 2013
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 437 (84,679)
Citation 29

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Large panels, weak and strong cross-sectional dependence, factor structure, spatial dependence, tests of cross-sectional dependence

Large Panel Data Models with Cross-Sectional Dependence: A Survey

Number of pages: 55 Posted: 04 Sep 2013
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 136 (268,790)
Citation 3

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large panels, weak and strong cross-sectional dependence, factor structure, spatial dependence, tests of cross-sectional dependence

Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management

Number of pages: 52 Posted: 19 Jan 2005
M. Hashem Pesaran and P. Zaffaroni
University of Southern California - Department of Economics and Imperial College London
Downloads 509 (70,187)

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model averaging, value-at-risk, decision based evaluation

Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management

Number of pages: 30 Posted: 18 Nov 2005
M. Hashem Pesaran and P. Zaffaroni
University of Southern California - Department of Economics and Imperial College London
Downloads 26 (625,081)
Citation 2
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Model averaging, value-at-risk, decision-based evaluations

Oil Prices and the Global Economy: Is it Different this Time Around?

USC-INET Research Paper No. 16-21
Number of pages: 28 Posted: 11 Jul 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 277 (140,450)
Citation 2

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Oil prices, equity prices, dividends, economic growth, oil supply, global oil markets, and international business cycle.

Oil Prices and the Global Economy: Is it Different this Time Around?

CAMA Working Paper No. 56/2016
Number of pages: 29 Posted: 08 Sep 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 140 (262,587)
Citation 2

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Oil prices, equity prices, dividends, economic growth, oil supply, global oil markets, and international business cycle

Oil Prices and the Global Economy: Is it Different this Time Around?

Number of pages: 28 Posted: 12 Aug 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 64 (438,006)

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oil prices, equity prices, dividends, economic growth, oil supply, global oil markets, and international business cycle

Oil Prices and the Global Economy: Is it Different this Time Around?

Number of pages: 29 Posted: 05 Sep 2017
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 25 (632,341)
Citation 10

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Economic growth, Markets, Oil, Oil prices, United States, Western Hemisphere, Econometric models, Supply and demand, Vector autoregression, Equity prices, dividends, oil supply, global oil markets, and international business cycle, international business cycle, Time-Series Models, Forecasting and Simulation, International Business Cycles, Forecasting and Simulation, Energy and the Macroeconomy

Oil Prices and the Global Economy: Is it Different this Time Around?

Number of pages: 27 Posted: 27 Jul 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 22 (654,964)

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Optimal Asset Allocation with Factor Models for Large Portfolios

Number of pages: 38 Posted: 13 Jun 2008
M. Hashem Pesaran and Paolo Zaffaroni
University of Southern California - Department of Economics and Imperial College Business School
Downloads 261 (149,331)

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asset allocation, large portfolios, factor models, diversification

Optimal Asset Allocation with Factor Models for Large Portfolios

IEPR Working Paper No. 08.7
Number of pages: 34 Posted: 27 Mar 2008
M. Hashem Pesaran and Paolo Zaffaroni
University of Southern California - Department of Economics and Imperial College Business School
Downloads 246 (158,429)
Citation 7

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Asset allocation, Large Porftolios, Factor models, Diversification

16.

One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing?

Number of pages: 39 Posted: 22 Feb 2013
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 493 (73,714)

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oil price volatility, oil income, rent seeking, inflation, macroeconomic policy

17.
Downloads 483 ( 75,612)
Citation 3

Oil Exports and the Iranian Economy

Number of pages: 49 Posted: 23 May 2011 Last Revised: 26 May 2011
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 272 (143,166)
Citation 6

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Growth models, long run relations, Iranian economy, Saudi Arabia, Norway, oil price and foreign output shocks, and error correcting relations

Oil Exports and the Iranian Economy

Number of pages: 45 Posted: 09 Nov 2009
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 211 (183,768)

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growth models, long run relations, Iranian economy, oil price, foreign output shocks, error correcting relations

Oil Exports and the Iranian Economy

Posted: 12 Nov 2009
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Judge Business School and University of Southern California - Department of Economics

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growth models, long run relations, Iranian economy, oil price and foreign output shocks, and error correcting relations

COVID-19 Time-varying Reproduction Numbers Worldwide: An Empirical Analysis of Mandatory and Voluntary Social Distancing

Johns Hopkins Carey Business School Research Paper No. 20-03
Number of pages: 58 Posted: 17 Apr 2020 Last Revised: 24 Mar 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 409 (91,243)
Citation 3

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COVID-19, SIR model, epidemics, multiplication factor, under-reporting, voluntary social distancing

Covid-19 Time-Varying Reproduction Numbers Worldwide: An Empirical Analysis of Mandatory and Voluntary Social Distancing

Number of pages: 59 Posted: 05 Apr 2021 Last Revised: 23 Sep 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 28 (611,220)

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Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries

Number of pages: 38 Posted: 28 Apr 2020
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 23 (647,311)

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COVID-19, SIR model, epidemics, exposed population, measurement error, social distancing, self-isolation, employment loss

Voluntary and Mandatory Social Distancing: Evidence on Covid-19 Exposure Rates from Chinese Provinces and Selected Countries

Number of pages: 37 Posted: 28 Apr 2020 Last Revised: 19 Nov 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 10 (753,100)

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Voluntary and Mandatory Social Distancing: Evidence on Covid-19 Exposure Rates from Chinese Provinces and Selected Countries

Number of pages: 37 Posted: 29 Apr 2020
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 6 (787,616)

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social distancing, exposed population, measurement error, COVID-19, self-isolation, employment loss, epidemics, SIR model

COVID-19 Time-Varying Reproduction Numbers Worldwide: An Empirical Analysis of Mandatory and Voluntary Social Distancing

Number of pages: 59 Posted: 14 May 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 5 (796,015)

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Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries

Number of pages: 40 Posted: 08 May 2020
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 0
Citation 10
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COVID-19, employment loss, Epidemics, exposed population, Measurement error, self-isolation, SIR model, social distancing

COVID-19 Time-Varying Reproduction Numbers Worldwide: An Empirical Analysis of Mandatory and Voluntary Social Distancing

Number of pages: 62 Posted: 14 May 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 0
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19.
Downloads 459 ( 80,407)
Citation 17

Uncertainty and Economic Activity: A Global Perspective

CAFE Research Paper No. 14.03
Number of pages: 66 Posted: 24 Mar 2014
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 249 (156,561)
Citation 13

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Uncertainty, Realized volatility, GVAR, Great Recession, Identification, Business Cycle, Common Factors

Uncertainty and Economic Activity

Number of pages: 66 Posted: 07 May 2014
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 102 (331,305)

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uncertainty, realized volatility, GVAR, great recession, identification, business cycle, common factors

Uncertainty and Economic Activity: A Multi-Country Perspective

USC-INET Research Paper No. 18-05, Johns Hopkins Carey Business School Research Paper No. 18-04
Number of pages: 87 Posted: 09 Feb 2018
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 47 (506,790)
Citation 1

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Uncertainty, Business Cycle, Common Factors, Real and Financial Global Shocks, Multi-Country, Identification, Realized Volatility

Uncertainty and Economic Activity: A Multi-Country Perspective

Number of pages: 89 Posted: 07 May 2018
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 45 (516,152)

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uncertainty, business cycle, common factors, real and financial global shocks, multi-country, identification, realized volatility

Uncertainty and Economic Activity: A Multi-Country Perspective

Bank of England Working Paper No. 730
Number of pages: 85 Posted: 05 Jun 2018
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 13 (727,458)

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Uncertainty, business cycle, common factors, real and financial global shocks, multi-country,

Uncertainty and Economic Activity: A Multi-Country Perspective

Number of pages: 87 Posted: 21 Feb 2018 Last Revised: 20 Jun 2021
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 3 (813,400)
Citation 1

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Uncertainty and Economic Activity: A Multi-Country Perspective

Number of pages: 89 Posted: 20 Feb 2018
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 0
Citation 4
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Business cycle, Common Factors, identification, Multi-Country, Real and Financial Global Shocks, uncertainty, Volatility.

20.
Downloads 455 ( 81,242)
Citation 30

Long Run Macroeconomic Relations in the Global Economy

Number of pages: 70 Posted: 08 Feb 2007
Stephane Dees, Sean Holly, M. Hashem Pesaran and L. Vanessa Smith
European Central Bank (ECB), University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 243 (160,368)
Citation 4

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Global VAR, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile

Long Run Macroeconomic Relations in the Global Economy

Economics Discussion Paper No. 2007-7
Number of pages: 77 Posted: 06 Dec 2010
Stephane Dees, Sean Holly, M. Hashem Pesaran and L. Vanessa Smith
European Central Bank (ECB), University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 169 (224,361)
Citation 1

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Global VAR, interdependencies, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile

Long Run Macroeconomic Relations in the Global Economy

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 1, 2007-3
Number of pages: 58 Posted: 18 Oct 2010
M. Hashem Pesaran, Sean Holly, Stephane Dees and L. Vanessa Smith
University of Southern California - Department of Economics, University of Cambridge - Department of Applied Economics, European Central Bank (ECB) and University of York - Department of Economics and Related Studies
Downloads 43 (525,711)

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Global VAR, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile

21.

Survey Expectations

IEPR Working Paper No. 05.30, CESifo Working Paper Series No. 1599
Number of pages: 78 Posted: 07 Sep 2005
M. Hashem Pesaran and Martin R. Weale
University of Southern California - Department of Economics and National Institute of Economic and Social Research (NIESR)
Downloads 455 (81,242)
Citation 10

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Models of Expectations Formation, Survey Data, Heterogeneity, Tests of Rational Expectations

22.
Downloads 454 ( 81,458)
Citation 15

Real Time Econometrics

Number of pages: 22 Posted: 22 Apr 2004
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 436 (84,679)

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specification search, data snooping, recursive/sequential modelling, automated model selection

Real Time Econometrics

Number of pages: 23 Posted: 01 Jul 2004
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 18 (686,255)
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Specification search, data snooping, recursive/sequential modelling, automated model selection

23.

A Simple Panel Unit Root Test in the Presence of Cross Section Dependence

Number of pages: 61 Posted: 02 Jan 2004
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 434 (85,888)
Citation 262

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Panel unit root tests, Cross-section dependence, Heterogeneous dynamic panels, Finite sample properties

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

ECB Working Paper No. 1239
Number of pages: 55 Posted: 17 Sep 2010
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and Birkbeck College
Downloads 266 (146,458)

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Global VAR (GVAR), New Keynesian DSGE models, supply shocks, demand shocks, monetary policy shocks

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

Number of pages: 53 Posted: 15 Jun 2010
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and Birkbeck College
Downloads 163 (231,475)
Citation 1

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global VAR (GVAR), New Keynesian DSGE models, supply shocks, demand shocks, monetary policy shocks

25.

Exploring the International Linkages of the Euro Area: A Global VAR Analysis

Number of pages: 68 Posted: 19 Jan 2005
European Central Bank (ECB), European Central Bank (ECB), University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 426 (87,794)
Citation 45

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Global VaR (GVaR), Global interdependencies, global macroeconomic

Forecasting Time Series Subject to Multiple Structural Breaks

Number of pages: 41 Posted: 19 Jul 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 378 (99,949)
Citation 5

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structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging

Forecasting Time Series Subject to Multiple Structural Breaks

Number of pages: 42 Posted: 17 Nov 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 20 (670,423)
Citation 14
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Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

27.
Downloads 387 ( 98,119)
Citation 33

Is There a Debt-Threshold Effect on Output Growth?

USC-INET Research Paper No. 15-18
Number of pages: 54 Posted: 08 Jul 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 175 (217,749)
Citation 3

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Panel tests of threshold effects, long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, debt, inflation

Is There a Debt-Threshold Effect on Output Growth?

Number of pages: 35 Posted: 21 Jul 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 112 (310,370)
Citation 4

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panel tests of threshold effects, long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, debt, and inflation

Is There a Debt-Threshold Effect on Output Growth?

Number of pages: 60 Posted: 13 Oct 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 60 (452,706)

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Panel tests of threshold effects, long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, and inflation, variables, gdp, cd, inflation, Models with Panel Data, International Lending and Debt Problems, General, and inflation.,

Is There a Debt-Threshold Effect on Output Growth?

Number of pages: 34 Posted: 17 Aug 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 40 (540,864)
Citation 12

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Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis

USC-INET Research Paper No. 19-13
Number of pages: 57 Posted: 29 Jul 2019
University of Southern California, University of Cambridge - Judge Business School, Faculty of Economics and Girton College, University of Cambridgeaffiliation not provided to SSRN, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 192 (200,518)

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Climate Change, Economic Growth, Adaptation, Counterfactual Analysis

Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis

Number of pages: 57 Posted: 20 Aug 2019 Last Revised: 19 Nov 2021
University of Southern California, University of Cambridge - Judge Business School, Faculty of Economics and Girton College, University of Cambridgeaffiliation not provided to SSRN, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 83 (378,028)
Citation 4

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Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis

CAMA Working Paper No. 49/2019
Number of pages: 58 Posted: 09 Jul 2019
University of Southern California, University of Cambridge - Judge Business School, Faculty of Economics and Girton College, University of Cambridgeaffiliation not provided to SSRN, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 65 (434,439)

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climate change, economic growth, adaptation, counterfactual analysis

Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis

Number of pages: 57 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
University of Southern California, University of Cambridge - Judge Business School, University of Cambridge - Faculty of Economics, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 33 (579,678)

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Climate change, economic growth, adaptation, counterfactual analysis

29.

Econometric Issues in the Analysis of Contagion

Number of pages: 50 Posted: 02 Jan 2004
Andreas Pick and M. Hashem Pesaran
Erasmus University Rotterdam (EUR) - Department of Econometrics and University of Southern California - Department of Economics
Downloads 366 (104,469)
Citation 6

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Contagion, Inter-dependence, Identification, Financial Crises

30.
Downloads 365 (104,795)
Citation 17

Theory and Practice of GVAR Modeling

University of Southern California, Center for Applied Financial Economics (CAFE) Research Paper Series No. 14.04
Number of pages: 56 Posted: 12 May 2014
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 285 (136,326)
Citation 1

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Global VAR, global macroeconometric modelling, global interdependencies, policy simulations

Theory and Practice of GVAR Modeling

Number of pages: 56 Posted: 24 Jun 2014
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 80 (386,582)
Citation 6

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Global VAR, global macroeconometric modelling, global interdependencies, policy simulations

31.

What If the UK Had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR

Number of pages: 58 Posted: 11 Jun 2005
M. Hashem Pesaran, Ron Smith and L. Vanessa Smith
University of Southern California - Department of Economics, Birkbeck College and University of York - Department of Economics and Related Studies
Downloads 365 (104,795)
Citation 4

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Global VAR (GVAR), Counterfactual Analysis, UK and Sweden entry to euro

32.
Downloads 361 (106,095)
Citation 2

Big Data Analytics: A New Perspective

Number of pages: 84 Posted: 21 Apr 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 187 (205,328)

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one covariate at a time, multiple testing, model selection, high dimensionality, penalized regressions, boosting, Monte Carlo experiments

Big Data Analytics: A New Perspective

USC-INET Research Paper No. 16-04
Number of pages: 84 Posted: 13 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 98 (340,162)
Citation 1

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One covariate at at time, multiple testing, model selection, high dimensionality, penalised regressions, boosting, Monte Carlo experiments

Big Data Analytics: A New Perspective

Number of pages: 83 Posted: 03 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 76 (398,334)

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33.

Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model

Wharton Financial Institutions Center Working Paper No. 01-38
Number of pages: 56 Posted: 14 Dec 2001
M. Hashem Pesaran, Scott M. Weiner and Til Schuermann
University of Southern California - Department of Economics, Alliance Capital Management and Oliver Wyman
Downloads 354 (108,425)
Citation 103

Abstract:

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Economic interlinkages, global macroeconometric modeling, risk management

34.
Downloads 327 (118,434)
Citation 11

Global Business Cycles and Credit Risk

Number of pages: 61 Posted: 05 Aug 2005
M. Hashem Pesaran, Björn-Jakob Treutler and Til Schuermann
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 269 (144,848)

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Risk management, default dependence, economic interlinkages, portfolio choice

Global Business Cycles and Credit Risk

Number of pages: 56 Posted: 29 Aug 2005 Last Revised: 28 Nov 2021
M. Hashem Pesaran, Björn-Jakob Treutler and Til Schuermann
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 58 (460,405)

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35.

Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models

Number of pages: 25 Posted: 26 Apr 2007
Cheng Hsiao, M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics, University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 326 (118,854)
Citation 7

Abstract:

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cross-section dependence, nonlinear panel data model

36.

Scope for Credit Risk Diversification

IEPR Working Paper No. 05.18
Number of pages: 63 Posted: 14 Mar 2005
M. Hashem Pesaran, Samuel Gregory Hanson and Til Schuermann
University of Southern California - Department of Economics, Harvard University - Business School (HBS) and Oliver Wyman
Downloads 319 (121,635)

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Risk management, correlated defaults, credit loss distributions, heterogeneity, diversification

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

USC-INET Research Paper No. 17-13
Number of pages: 99 Posted: 31 Mar 2017 Last Revised: 04 Apr 2017
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 163 (231,475)
Citation 8

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CAPM, Testing for Alpha, Weak and Spatial Error Cross-Sectional Dependence, S&P 500 Securities, Long/Short Equity Strategy

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Number of pages: 100 Posted: 24 May 2017
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 155 (241,558)

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CAPM, testing for alpha, weak and spatial error cross-sectional dependence, S&P 500 securities, long/short equity strategy

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross-Sectional Heteroskedasticity

Number of pages: 53 Posted: 29 Apr 2012 Last Revised: 22 Mar 2015
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 222 (175,125)
Citation 3

Abstract:

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dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models

Number of pages: 50 Posted: 30 Jun 2012
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 39 (546,046)

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dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models

Number of pages: 51 Posted: 16 Jun 2012
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 30 (597,954)

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dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation

39.

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Number of pages: 41 Posted: 26 Apr 2010
Bahram Pesaran and M. Hashem Pesaran
University of East London - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 268 (146,012)

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volatilities and correlations, weekly returns, multivariate t, financial interdependence, VaR diagnostics, 2008 stock market crash

40.

Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence

Number of pages: 58 Posted: 08 Mar 2003
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 262 (149,304)

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Cross Section Dependence, Large Panels, Common Correlated Effects, Heterogeneity, Estimation and Inference

41.

Model Averaging in Risk Management with an Application to Futures Markets

Number of pages: 52 Posted: 26 Feb 2008
M. Hashem Pesaran, Christoph Schleicher and Paolo Zaffaroni
University of Southern California - Department of Economics, Bank of England and Imperial College Business School
Downloads 247 (158,378)
Citation 2

Abstract:

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model averaging, Value-at-Risk, decision based evaluations

Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis

USC-INET Research Paper No. 15-14
Number of pages: 47 Posted: 22 May 2015
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 122 (291,882)
Citation 2

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Country-specific oil supply shocks, identification of shocks, oil sanctions, oil prices, global oil markets, Iran, Saudi Arabia, international business cycle, Global VAR (GVAR), interconnectedness, impulse responses

Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis

Number of pages: 47 Posted: 04 Jun 2015
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 84 (375,353)
Citation 7

Abstract:

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country-specific oil supply shocks, identification of shocks, oil sanctions, oil prices, global oil markets, Iran, Saudi Arabia, international business cycle, Global VAR (GVAR), interconnectedness, impulse responses

Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis

Number of pages: 46 Posted: 17 Aug 2015
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 39 (546,046)
Citation 2

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43.
Downloads 244 (160,251)
Citation 7

Beyond the DSGE Straitjacket

Number of pages: 16 Posted: 17 May 2011
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 204 (189,679)
Citation 1

Abstract:

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macroeconometric models, DSGE, VARs, long run theory

Beyond the DSGE Straitjacket

Number of pages: 17 Posted: 25 Apr 2011
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 40 (540,864)
Citation 1

Abstract:

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macroeconometric models, DSGE, VARs, long run theory

44.

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Number of pages: 41 Posted: 19 Jul 2007
Bahram Pesaran and M. Hashem Pesaran
University of East London - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 241 (162,199)

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volatilities and correlations, futures market, multivariate t, financial interdependence, VaR diagnostics

45.

A Spatio-Temporal Model of House Prices in the Us

Number of pages: 31 Posted: 15 Oct 2006
Sean Holly, M. Hashem Pesaran and Takashi Yamagata
University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 241 (162,199)
Citation 29

Abstract:

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house price, cross sectional dependence, spatial dependence

46.
Downloads 241 (162,199)
Citation 23

Macroeconometric Modelling with a Global Perspective

IEPR Working Paper No. 06.43, CESifo Working Paper Series No. 1659
Number of pages: 31 Posted: 20 Jan 2006
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 209 (185,450)
Citation 1

Abstract:

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Global VAR (GVAR), DSGE models, VARX

Macroeconometric Modelling with a Global Perspective

Manchester School, Vol. 74, No. S1, pp. 24-49, September 2006
Number of pages: 26 Posted: 17 Aug 2006
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 32 (585,588)
Citation 2
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47.

Firm Heterogeneity and Credit Risk Diversification

Number of pages: 52 Posted: 05 Aug 2005
M. Hashem Pesaran, Samuel Gregory Hanson and Til Schuermann
University of Southern California - Department of Economics, Harvard University - Business School (HBS) and Oliver Wyman
Downloads 239 (163,488)
Citation 6

Abstract:

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Risk management, correlated defaults, factor models, portfolio choice

Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to U.S. House Prices

USC-INET Research Paper No. 19-07
Number of pages: 79 Posted: 15 Mar 2019 Last Revised: 15 Jun 2020
Michele Aquaro, Natalia Bailey and M. Hashem Pesaran
European Commission, Joint Research Centre, Monash University and University of Southern California - Department of Economics
Downloads 161 (233,905)
Citation 5

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Spatial Panel Data Models, Heterogeneous Spatial Lag Coefficients, Identification, Quasi Maximum Likelihood (QML) Estimators, Non-Gaussian Errors, House Price Changes, Metropolitan Statistical Areas

Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to U.S. House Prices

Number of pages: 69 Posted: 18 Mar 2019
Michele Aquaro, Natalia Bailey and M. Hashem Pesaran
European Commission, Joint Research Centre, Monash University and University of Southern California - Department of Economics
Downloads 77 (395,345)

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spatial panel data models, heterogeneous spatial lag coefficients, identification, quasi maximum likelihood (QML) estimators, non-Gaussian errors, house price changes, Metropolitan Statistical Areas

Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients

USC-INET Research Paper No. 15-17
Number of pages: 64 Posted: 27 Jun 2015
Michele Aquaro, Natalia Bailey and M. Hashem Pesaran
European Commission, Joint Research Centre, Monash University and University of Southern California - Department of Economics
Downloads 199 (194,123)
Citation 15

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Spatial panel data models, heterogeneous spatial lag coefficients, identification, quasi maximum likelihood (QML) estimators, non-Gaussian errors

Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients

Number of pages: 64 Posted: 14 Jul 2015
Michele Aquaro, Natalia Bailey and M. Hashem Pesaran
European Commission, Joint Research Centre, Monash University and University of Southern California - Department of Economics
Downloads 37 (556,740)

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spatial panel data models, heterogeneous spatial lag, coefficients, identification, quasi maximum likelihood (QML) estimators, non-Gaussian errors

Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors

Number of pages: 46 Posted: 17 Aug 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 125 (286,663)
Citation 3

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Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors

USC-INET Research Paper No. 15-05
Number of pages: 47 Posted: 22 Jan 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 105 (324,840)
Citation 6

Abstract:

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Long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence.

51.

How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series?

Number of pages: 39 Posted: 10 Mar 2003
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 218 (178,565)
Citation 1

Abstract:

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Sign Prediction, Estimation Window, Structural Breaks

Estimation of Time-Invariant Effects in Static Panel Data Models

CAFE Research Paper No. 14.08
Number of pages: 48 Posted: 09 Sep 2014
M. Hashem Pesaran and Qiankun Zhou
University of Southern California - Department of Economics and University of Southern California
Downloads 171 (222,156)
Citation 1

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static panel data models, time-invariant effects, Fixed Effects Filtered estimator, Fixed Effects Filtered instrumental variables estimator

Estimation of Time-Invariant Effects in Static Panel Data Models

Number of pages: 48 Posted: 07 Oct 2014
M. Hashem Pesaran and Qiankun Zhou
University of Southern California - Department of Economics and University of Southern California
Downloads 43 (525,711)
Citation 5

Abstract:

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static panel data models, time-invariant effects, Fixed Effects Filtered estimator, Fixed Effects Filtered instrumental variables estimator

53.

Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns

Number of pages: 42 Posted: 18 Feb 2005
M. Hashem Pesaran and George Kapetanios
University of Southern California - Department of Economics and King's College, London
Downloads 213 (182,445)
Citation 1

Abstract:

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cross section dependence, large panels, principal components, common correlated effects, return equations

54.

The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

Number of pages: 54 Posted: 11 Jun 2005
M. Hashem Pesaran, Björn-Jakob Treutler and Til Schuermann
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 207 (187,343)
Citation 5

Abstract:

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Risk management, default dependence, economic interlinkages, portfolio choice

55.

Testing Slope Homogeneity in Large Panels

Number of pages: 46 Posted: 08 Mar 2005
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 205 (188,981)
Citation 13

Abstract:

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Testing Slope Homogeneity, Hausman Type Tests, Cross Section ispersion Tests, Monte Carlo Results, PSID Earnings Dynamics

Identification of New Keynesian Phillips Curves from a Global Perspective

Number of pages: 41 Posted: 12 Feb 2008
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and Birkbeck College
Downloads 151 (246,923)

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Global VAR (GVAR), identification, New Keynesian Phillips Curve, Trend-Cycle decomposition

Identification of New Keynesian Phillips Curves from a Global Perspective

Number of pages: 32 Posted: 23 May 2008
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and Birkbeck College
Downloads 51 (488,894)
Citation 1

Abstract:

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New Keynesian Phillips Curve, identification, Global VAR (GVAR), trend-cycle decomposition

57.

The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach

Number of pages: 43 Posted: 09 Feb 2001
Patrick Coe, M. Hashem Pesaran and Shaun Vahey
Carleton University - Department of Economics, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 201 (192,553)

Abstract:

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Government debt management, cost minimisation, recursive modelling

58.

Forecasting Economic and Financial Variables with Global VARs

Number of pages: 67 Posted: 06 Feb 2008
M. Hashem Pesaran, L. Vanessa Smith and Til Schuermann
University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and Oliver Wyman
Downloads 197 (196,011)
Citation 11

Abstract:

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forecasting using GVAR, structural breaks and forecasting, average forecasts across models and windows, financial and macroeconomic forecasts

59.
Downloads 194 (198,693)
Citation 18

An Empirical Growth Model for Major Oil Exporters

Number of pages: 27 Posted: 05 Apr 2012
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 112 (310,370)
Citation 2

Abstract:

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growth models, long run and error correcting relations, major oil exporters, OPEC member countries, oil exports and foreign output shocks

An Empirical Growth Model for Major Oil Exporters

Number of pages: 28 Posted: 14 Apr 2012
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 82 (380,813)
Citation 1

Abstract:

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growth models, long run and error correcting relations, major oil exporters, OPEC member countries, oil exports and foreign output shocks

60.

On the Panel Unit Root Tests Using Nonlinear Instrumental Variables

Number of pages: 14 Posted: 01 Jan 2004
Kyung So Im and M. Hashem Pesaran
University of Central Florida - College of Business Administration and University of Southern California - Department of Economics
Downloads 187 (205,402)
Citation 19

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Non-linear Instrumental Variable (NIV) Panel unit root tests, Cross-section dependence, Finite sample properties

61.

Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults

USC-INET Research Paper No. 16-13
Number of pages: 44 Posted: 18 Apr 2016
M. Hashem Pesaran and TengTeng Xu
University of Southern California - Department of Economics and International Monetary Fund (IMF)
Downloads 179 (213,459)
Citation 4

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Firm Defaults; Credit Shocks; Financial Intermediation; Interest Rate Spread; Uncertaintey

62.

Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing

Number of pages: 27 Posted: 19 Jul 2012
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 177 (215,488)

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counterfactuals, policy evaluation, macroeconomics, quantitative easing (QE), UK economic policy

Weak and Strong Cross Section Dependence and Estimation of Large Panels

ECB Working Paper No. 1100
Number of pages: 58 Posted: 22 Dec 2009
Alexander Chudik, M. Hashem Pesaran and Elisa Tosetti
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 111 (312,325)
Citation 15

Abstract:

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Panels, Strong and Weak Cross Section Dependence, Weak and Strong Factors

Weak and Strong Cross Section Dependence and Estimation of Large Panels

Number of pages: 55 Posted: 07 Jul 2009
Alexander Chudik, M. Hashem Pesaran and Elisa Tosetti
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 59 (456,550)
Citation 5

Abstract:

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panels, strong and weak cross section dependence, weak and strong factors

Learning, Structural Instability and Present Value Calculations

Number of pages: 39 Posted: 23 Feb 2006
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 116 (302,629)

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present value, stock prices, structural breaks, Bayesian learning

Learning, Structural Instability and Present Value Calculations

Econometric Reviews 26 (2-4), 253-–288
Number of pages: 35 Posted: 10 Jan 2006 Last Revised: 30 Nov 2012
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 51 (488,894)
Citation 8

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present value, stock prices, structural breaks, Bayesian learning

A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model

Number of pages: 38 Posted: 21 Sep 2020
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 61 (448,950)

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Threshold-augmented Global VAR (TGVAR), International Business Cycle, COVID-19, Global Volatility, Threshold Effects

A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model

Number of pages: 43 Posted: 07 Oct 2020
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 45 (516,152)
Citation 6

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threshold-augmented global VAR (TGVAR), international business cycle, Covid-19, global volatility, threshold effects

A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model

Number of pages: 39 Posted: 28 Sep 2020 Last Revised: 29 Oct 2021
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 22 (654,964)
Citation 1

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A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model

CAMA Working Paper No. 85/2020
Number of pages: 40 Posted: 23 Sep 2020 Last Revised: 25 Sep 2020
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 17 (694,134)
Citation 1

Abstract:

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Threshold-augmented Global VAR (TGVAR), international business cycle, Covid-19, global volatility, threshold effects.

A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model

Number of pages: 39 Posted: 05 Oct 2020
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 17 (694,134)
Citation 1

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Threshold-augmented Global VAR (TGVAR), international business cycle, COVID-19, global volatility, threshold effects

66.

A Pair-Wise Approach to Testing for Output and Growth Convergence

Number of pages: 60 Posted: 23 Sep 2004
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 159 (236,047)
Citation 5

Abstract:

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economic growth, panel data models, common technological shocks, convergence

67.

A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models

Number of pages: 84 Posted: 22 Nov 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 155 (241,059)
Citation 10

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An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Number of pages: 51 Posted: 03 Jan 2013
Majid Al-Sadoon, Tong Li and M. Hashem Pesaran
Universitat Pompeu Fabra, Vanderbilt University and University of Southern California - Department of Economics
Downloads 74 (404,499)

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dynamic discrete choice, fixed effects, panel data, initial values, GMM, CMLE

An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

USC-INET Research Paper No. 16-03
Number of pages: 46 Posted: 27 Jan 2016
Majid Al-Sadoon, Tong Li and M. Hashem Pesaran
Universitat Pompeu Fabra, Vanderbilt University and University of Southern California - Department of Economics
Downloads 63 (441,684)
Citation 2

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Dynamic Discrete Choice, Fixed Effects, Panel Data, GMM, CMLE

An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Number of pages: 52 Posted: 15 Dec 2012
Majid Al-Sadoon, Tong Li and M. Hashem Pesaran
Universitat Pompeu Fabra, Vanderbilt University and University of Southern California - Department of Economics
Downloads 18 (686,255)

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dynamic discrete choice, fixed effects, panel data, initial values, GMM, CMLE

Exponent of Cross-Sectional Dependence: Estimation and Inference

Number of pages: 46 Posted: 05 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 115 (304,523)

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cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, capital asset pricing model

Exponent of Cross-Sectional Dependence: Estimation and Inference

Number of pages: 47 Posted: 12 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 38 (551,434)
Citation 10

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cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model

70.

On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables

Number of pages: 23 Posted: 27 Feb 2007
Adrian Pagan and M. Hashem Pesaran
Australian National University (ANU) - Research School of Social Sciences (RSSS) and University of Southern California - Department of Economics
Downloads 153 (243,602)

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permanent shocks, structural identification, error correction models, IS-LM models

Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks

Number of pages: 42 Posted: 21 Aug 2003
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 141 (261,063)

Abstract:

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Small Sample Properties of Forecasts, RMSFE, Structural Breaks, Autoregression

Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks

Number of pages: 47 Posted: 28 Jun 2004
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 12 (735,994)
Citation 6
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Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks

72.

Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy

Number of pages: 53 Posted: 28 Mar 2001
Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin
University of Warwick, University of Leicester - Department of Economics, University of Southern California - Department of Economics and Independent
Downloads 153 (243,602)
Citation 2

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Probability forecasting, long run structural VARs, macroeconome-tric modelling, probability forecasts of inflation, interest rates, output growth

73.

Large Panels with Common Factors and Spatial Correlations

Number of pages: 51 Posted: 27 Sep 2007
M. Hashem Pesaran and Elisa Tosetti
University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 152 (245,007)
Citation 10

Abstract:

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panels, common correlated effects, strong and weak cross section dependence

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

Number of pages: 42 Posted: 25 Jun 2014
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 95 (347,057)

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short T dynamic panels, transformed maximum likelihood, multi-factor error structure, interactive fixed effects

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

CAFE Research Paper No. 14.06
Number of pages: 42 Posted: 29 May 2014
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 56 (468,316)

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short T dynamic panels, transformed maximum likelihood, multi-factor error structure, interactive fixed effects

75.

Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

Number of pages: 60 Posted: 28 Nov 2004
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 150 (247,740)
Citation 78

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cross section dependence, large panels, common correlated effects, heterogeneity, estimation and inference

76.

Life-Cycle Consumption Under Social Interactions

Number of pages: 45 Posted: 01 Jun 2000
Michael Binder and M. Hashem Pesaran
University of Maryland - Department of Economics and University of Southern California - Department of Economics
Downloads 146 (253,169)
Citation 4

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77.

Measurement of Factor Strenght: Theory and Practice

Number of pages: 106 Posted: 11 Mar 2020
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 144 (257,440)
Citation 1

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factor models, factor strength, measures of pervasiveness, cross-sectional dependence, market factor

78.

Econometric Analysis of Production Networks with Dominant Units

USC-INET Research Paper No. 16-25
Number of pages: 61 Posted: 14 Oct 2016 Last Revised: 17 Oct 2016
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 144 (256,016)
Citation 6

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aggregate fluctuations, strongly and weakly dominant units, spatial models, outdegrees, degree of pervasiveness, power law, input-output tables, US economy

79.
Downloads 144 (256,016)
Citation 3

Forecasting Random Walks under Drift Instability

IEPR Working Paper No. 08.6
Number of pages: 39 Posted: 27 Mar 2008
M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 83 (378,028)
Citation 5

Abstract:

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Forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks

Forecasting Random Walks Under Drift Instability

Number of pages: 43 Posted: 01 May 2008
M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 61 (448,950)

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forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks

80.
Downloads 144 (256,016)
Citation 7

Infinite Dimensional VARs and Factor Models

Number of pages: 63 Posted: 28 Dec 2007
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 144 (256,756)
Citation 7

Abstract:

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large N and T panels, weak and strong cross section dependence, VAR, global VAR, factor models, capital accumulation, growth

Infinite Dimensional VARs and Factor Models

IEPR Working Paper No. 07.21
Posted: 29 Apr 2012
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics

Abstract:

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Large N and T Panels, Weak and Strong Cross Section Dependence, VAR, Global VAR, Factor Models, Capital Accumulation and Growth

81.

Identifying the Effects of Sanctions on the Iranian Economy Using Newspaper Coverage

Number of pages: 95 Posted: 03 Aug 2021
Dario Laudati and M. Hashem Pesaran
University of Southern California and University of Southern California - Department of Economics
Downloads 141 (260,229)

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Spatial and Temporal Diffusion of House Prices in the UK

Number of pages: 45 Posted: 01 Feb 2010
Sean Holly, M. Hashem Pesaran and Takashi Yamagata
University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 92 (354,351)
Citation 6

Abstract:

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house prices, cross sectional dependence, spatial dependence

Spatial and Temporal Diffusion of House Prices in the UK

Number of pages: 42 Posted: 01 Feb 2010
Sean Holly, M. Hashem Pesaran and Takashi Yamagata
University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 48 (502,113)
Citation 4

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house prices, cross sectional dependence, spatial dependence

83.
Downloads 136 (267,855)
Citation 137

Lumpy Price Adjustments: A Microeconometric Analysis

Number of pages: 64 Posted: 22 May 2007
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 91 (356,845)

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sticky prices, nominal intrinsic and extrinsic rigidities, micro non-linear panels

Lumpy Price Adjustments: A Microeconometric Analysis

Banque de France Working Paper No. NER - R 185
Number of pages: 69 Posted: 08 Oct 2010
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 26 (625,081)
Citation 39

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Sticky Prices, Menu Costs, Nominal/Intrinsic and Extrinsic Rigidities, Micro Panels

Lumpy Price Adjustments: A Microeconometric Analysis

National Bank of Belgium Working Paper No. 100
Number of pages: 75 Posted: 09 Oct 2010
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 19 (678,363)
Citation 100

Abstract:

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Sticky prices, menu costs, nominal and real rigidities, micro panels

China's Emergence in the World Economy and Business Cycles in Latin America

Number of pages: 64 Posted: 08 Aug 2011
M. Hashem Pesaran, Alessandro Rebucci and TengTeng Xu
University of Southern California - Department of Economics, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 74 (404,499)
Citation 1

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China, GVAR, Great Recession, emerging markets, international business cycle, Latin America, trade linkages

China’s Emergence in the World Economy and Business Cycles in Latin America

IDB Working Paper No. IDB-WP-266
Number of pages: 67 Posted: 14 Dec 2011
Bank of England, University of Southern California - Department of Economics, Johns Hopkins University - Carey Business School and affiliation not provided to SSRN
Downloads 61 (448,950)
Citation 31

Abstract:

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85.

Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors

Number of pages: 62 Posted: 16 May 2013
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 132 (274,028)
Citation 26

Abstract:

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large panels, lagged dependent variable, cross sectional dependence, coefficient heterogeneity, estimation and inference, common correlated effects, unobserved common factors

Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults

Number of pages: 49 Posted: 17 Oct 2011
M. Hashem Pesaran and TengTeng Xu
University of Southern California - Department of Economics and affiliation not provided to SSRN
Downloads 100 (335,656)

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bank credit, financial intermediation, firm heterogeneity and defaults, interest rate spread, real financial linkages

Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults

Number of pages: 50 Posted: 23 Oct 2011
M. Hashem Pesaran and TengTeng Xu
University of Southern California - Department of Economics and International Monetary Fund (IMF)
Downloads 31 (591,678)

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bank credit, financial intermediation, firm heterogeneity and defaults, interest rate spread, real financial linkages

87.
Downloads 129 (278,747)
Citation 24

On Identification of Bayesian DSGE Models

Number of pages: 39 Posted: 18 Apr 2011
Gary Koop, M. Hashem Pesaran and Ron Smith
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Southern California - Department of Economics and Birkbeck College
Downloads 65 (434,439)

Abstract:

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Bayesian identification, DSGE models, posterior updating, New Keynesian Phillips Curve

On Identification of Bayesian DSGE Models

Number of pages: 38 Posted: 27 Apr 2011
Gary Koop, M. Hashem Pesaran and Ron Smith
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Southern California - Department of Economics and Birkbeck College
Downloads 64 (438,006)
Citation 5

Abstract:

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Bayesian identification, DSGE models, posterior updating, New Keynesian Phillips Curve

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

USC-INET Research Paper No. 16-28
Number of pages: 50 Posted: 06 Dec 2016
M. Hashem Pesaran and Ida Johnsson
University of Southern California - Department of Economics and University of Southern California, Department of Economics, Students
Downloads 100 (335,656)

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Price expectations, bubbles and crashes, house prices, belief valuations

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Number of pages: 50 Posted: 06 Feb 2017
M. Hashem Pesaran and Ida Johnsson
University of Southern California - Department of Economics and University of Southern California, Department of Economics, Students
Downloads 28 (611,220)

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price expectations, bubbles and crashes, house prices, belief valuations

89.

Panels with Nonstationary Multifactor Error Structures

Number of pages: 34 Posted: 17 Aug 2006
George Kapetanios, M. Hashem Pesaran and Takashi Yamagata
King's College, London, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 127 (282,040)
Citation 3

Abstract:

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cross section dependence, large panels, unit roots, principal components

90.
Downloads 124 (287,119)
Citation 50

Testing Weak Cross-Sectional Dependence in Large Panels

Number of pages: 25 Posted: 31 Mar 2012
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 78 (392,360)
Citation 33

Abstract:

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exponent of cross-sectional dependence, diagnostic tests, panel data models, dynamic heterogenous panels

Testing Weak Cross-Sectional Dependence in Large Panels

Number of pages: 24 Posted: 03 May 2012
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 46 (511,464)
Citation 7

Abstract:

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exponent of cross-sectional dependence, diagnostic tests, panel data models, dynamic heterogenous panels

91.
Downloads 122 (290,565)
Citation 3

To Pool or Not to Pool: Revisited

USC-INET Research Paper No. 15-16
Number of pages: 22 Posted: 16 Jun 2015
M. Hashem Pesaran and Qiankun Zhou
University of Southern California - Department of Economics and University of Southern California
Downloads 83 (378,028)
Citation 3

Abstract:

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Short panel, Fixed effects estimator, Pooled estimator, Efficiency

To Pool or Not to Pool: Revisited

Number of pages: 22 Posted: 06 Jul 2015
M. Hashem Pesaran and Qiankun Zhou
University of Southern California - Department of Economics and University of Southern California
Downloads 38 (551,434)

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short panel, fixed effects estimator, pooled estimator, efficiency

To Pool or Not to Pool: Revisited

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 2, pp. 185-217, 2018
Number of pages: 33 Posted: 26 Feb 2018
M. Hashem Pesaran and Qiankun Zhou
University of Southern California - Department of Economics and Louisiana State University, Baton Rouge - Department of Economics
Downloads 1 (837,405)
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92.

A VECX* Model of the Swiss Economy

IEPR Working Paper No. 08.5, CESifo Working Paper Series No. 2281
Number of pages: 62 Posted: 27 Mar 2008
Katrin Assenmacher and M. Hashem Pesaran
Swiss National Bank and University of Southern California - Department of Economics
Downloads 118 (297,522)

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Long-run structural vector autoregression

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Number of pages: 59 Posted: 23 Jan 2008
M. Hashem Pesaran, L. Vanessa Smith and Takashi Yamagata
University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and University of Cambridge - Faculty of Economics and Politics
Downloads 86 (369,893)

Abstract:

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panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Number of pages: 56 Posted: 23 May 2008
M. Hashem Pesaran, L. Vanessa Smith and Takashi Yamagata
University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and University of York - Department of Economics and Related Studies
Downloads 32 (585,588)
Citation 6

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panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices

Common Correlated Effects Estimation of Heterogeneous: Dynamic Panel Quantile Regression Models

USC-INET Research Paper No. 18-11
Number of pages: 98 Posted: 10 Sep 2018 Last Revised: 13 Dec 2018
Matthew Harding, Carlos Lamarche and M. Hashem Pesaran
University of California, Irvine, University of Kentucky and University of Southern California - Department of Economics
Downloads 86 (369,893)
Citation 2

Abstract:

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Common Correlated Effects, Dynamic Panel, Quantile Regression, Smart Meter, Randomized Experiment

Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models

Number of pages: 99 Posted: 31 Oct 2018
Matthew Harding, Carlos Lamarche and M. Hashem Pesaran
University of California, Irvine, University of Kentucky and University of Southern California - Department of Economics
Downloads 30 (597,954)
Citation 2

Abstract:

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common correlated effects, dynamic panel, quantile regression, smart meter, randomized experiment

Tests of Policy Ineffectiveness in Macroeconometrics

CAFE Research Paper No. 14.07
Number of pages: 39 Posted: 16 Jun 2014
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 63 (441,684)

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Counterfactuals, policy analysis, policy ineffectiveness test, macroeconomics

Tests of Policy Ineffectiveness in Macroeconometrics

Number of pages: 39 Posted: 23 Jul 2014
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 50 (493,274)

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counterfactuals, policy analysis, policy ineffectiveness test, macroeconomics

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

Number of pages: 46 Posted: 22 May 2010
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 76 (398,334)
Citation 4

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IVAR Models, Dominant Units, Large Panels, Weak and Strong Cross Section Dependence, Factor Models

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

ECB Working Paper No. 1194
Number of pages: 47 Posted: 26 May 2010
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 37 (556,740)

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IVAR Models, Dominant Units, Large Panels, Weak and Strong Cross Section Dependence, Factor Models

97.

Short T Dynamic Panel Data Models with Individual, Time and Interactive Effects

Number of pages: 111 Posted: 12 Feb 2020 Last Revised: 18 Aug 2021
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 112 (308,709)
Citation 1

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short T dynamic panels, unobserved common factors, quasi maximum likelihood, interactive effects, multiple testing, sequential likelihood ratio tests, crime rate, growth regressions

98.

Testing Dependence Among Serially Correlated Multi-Category Variables

Number of pages: 46 Posted: 25 Jul 2006
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 112 (308,709)
Citation 5

Abstract:

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contingency tables, canonical correlations, serial dependence, tests of

Detection of Units with Pervasive Effects in Large Panel Data Models

USC-INET Research Paper No. 19-09
Number of pages: 94 Posted: 04 Dec 2018 Last Revised: 26 Apr 2019
George Kapetanios, M. Hashem Pesaran and Simon Reese
King's College, London, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 76 (398,334)
Citation 5

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Pervasive Units, Factor Models, Systemic Risk, Cross-Sectional Dependence

A Residual-Based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models

Number of pages: 90 Posted: 21 Feb 2019
George Kapetanios, M. Hashem Pesaran and Simon Reese
King's College, London, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 34 (573,776)

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dominant units, factor models, systemic risk, cross-sectional dependence, networks

A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence

CAFE Research Paper No. 14.01
Number of pages: 35 Posted: 07 Jan 2014
Natalia Bailey, Sean Holly and M. Hashem Pesaran
Monash University, University of Cambridge - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 59 (456,550)

Abstract:

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Spatial and factor dependence, spatiotemporal models, house price changes

A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence

Number of pages: 35 Posted: 11 Feb 2014
Natalia Bailey, Sean Holly and M. Hashem Pesaran
Monash University, University of Cambridge - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 50 (493,274)
Citation 9

Abstract:

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spatial and factor dependence, spatiotemporal models, house price changes

101.

Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures

Number of pages: 21 Posted: 11 May 2006
M. Hashem Pesaran, Ron Smith, Takashi Yamagata and Liudmyla Hvozdyk
University of Southern California - Department of Economics, Birkbeck College, University of Cambridge - Faculty of Economics and Politics and Ludwig Maximilian University of Munich (LMU) - Munich Graduate School of Economics (MGSE)
Downloads 109 (314,612)
Citation 1

Abstract:

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purchasing power parity, panel data, pairwise approach, cross section dependence

102.

Econometric Analysis of Structural Systems with Permanent and Transitory Shocks

UNSW Australian School of Business Research Paper No. 2008 ECON 04
Number of pages: 26 Posted: 27 Aug 2008
Adrian Pagan and M. Hashem Pesaran
Australian National University (ANU) - Research School of Social Sciences (RSSS) and University of Southern California - Department of Economics
Downloads 107 (318,610)
Citation 31

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Permanent shocks, structural identification, error correction

Signs of Impact Effects in Time Series Regression Models

CAFE Research Paper No. 13.22
Number of pages: 9 Posted: 10 Oct 2013
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 54 (476,220)

Abstract:

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Regression coefficients, Impact effects

Signs of Impact Effects in Time Series Regression Models

Number of pages: 10 Posted: 25 Oct 2013
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 50 (493,274)
Citation 3

Abstract:

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regression coefficients, impact effects

Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR

CAMA Working Paper No. 06/2019
Number of pages: 112 Posted: 24 Jan 2019
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Judge Business School
Downloads 50 (493,274)
Citation 1

Abstract:

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Factor-augmented VARs, Global VARs, identification of global and country-specific shocks, Bayesian analysis, public debt and output growth, debt elasticity

Identifying Global and National Output and Fiscal Policy Shocks Using a Gvar

Number of pages: 112 Posted: 21 Feb 2019
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Judge Business School
Downloads 37 (556,740)
Citation 6

Abstract:

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factor-augmented VARs, global VARs, identification of global and country-specific shocks, Bayesian analysis, public debt and output growth, debt elasticity

Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR

Number of pages: 51 Posted: 24 Jan 2019 Last Revised: 29 Apr 2020
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Judge Business School
Downloads 9 (761,797)

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Factor-augmented VARs, Global VARs, identification of global and country specific shocks, Bayesian analysis, public debt, output growth, debt elasticity

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

USC-INET Research Paper No. 18-08 (Revised)
Number of pages: 96 Posted: 16 Apr 2018 Last Revised: 01 Oct 2021
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
Downloads 79 (389,452)
Citation 2

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location choice, joint determination of migration and house prices, spatiotemporal impulse responses, land-use deregulation, counterfactual exercise, population allocation, productivity and land supply shocks, California, Texas and Florida

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

Number of pages: 98 Posted: 18 Oct 2021
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
Downloads 13 (727,458)

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location choice, joint determination of migration and house prices, spatiotemporal impulse responses, land-use deregulation, counterfactual exercise, population allocation, productivity and land supply shocks, California, Texas and Florida

106.

Optimal Forecasts in the Presence of Structural Breaks

De Nederlandsche Bank Working Paper No. 327
Number of pages: 55 Posted: 27 Dec 2011
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of CambridgeInternational Monetary Fund (IMF)
Downloads 92 (351,515)
Citation 12

Abstract:

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forecasting, structural breaks, optimal weights, robust weights, exponential smoothing

107.

Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressor

Number of pages: 70 Posted: 08 Sep 2016
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 81 (379,963)

Abstract:

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108.

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices

CAFE Research Paper No. 14.05
Number of pages: 46 Posted: 29 May 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Monash University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 81 (379,963)
Citation 8

Abstract:

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Sparse correlation matrices, High-dimensional data, Multiple testing, Thresholding, Shrinkage

109.
Downloads 80 (382,769)
Citation 21

Aggregation in Large Dynamic Panels

Number of pages: 56 Posted: 21 Feb 2011
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 51 (488,894)
Citation 2

Abstract:

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aggregation, large dynamic panels, long memory, weak and strong cross section dependence, VAR models, impulse responses, factor models, inflation persistence

Aggregation in Large Dynamic Panels

Number of pages: 55 Posted: 20 Feb 2011
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 29 (604,495)

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aggregation, large dynamic panels, long memory, weak and strong cross section dependence, VAR models, impulse responses, factor models, inflation persistence

Variable Selection and Inference for Multi-Period Forecasting Problems

Number of pages: 40 Posted: 11 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 75 (401,360)

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Variable Selection and Inference for Multi-Period Forecasting Problems

Number of pages: 38 Posted: 18 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 2 (824,094)
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factor-augmented VAR, forecast horizon, macroeconomic forecasting

111.

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Number of pages: 29 Posted: 16 Apr 2021
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 76 (394,128)

Abstract:

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112.

The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models

Number of pages: 44 Posted: 27 Nov 2019
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 76 (394,128)

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arbitrage pricing theory, APT, factor strength, identification of risk premia, two-pass regressions, Fama-French factors

113.

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Number of pages: 54 Posted: 03 Dec 2009
M. Hashem Pesaran and Paolo Zaffaroni
University of Southern California - Department of Economics and Imperial College Business School
Downloads 72 (406,153)

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large portfolios, factor models, mean-variance portfolio, arbitrage pricing, market (beta) neutrality, well diversification

114.

Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems

De Nederlandsche Bank Working Paper No. 250
Number of pages: 39 Posted: 24 Oct 2011
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 71 (409,268)
Citation 11

Abstract:

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Multi-period forecasts, direct and iterated methods, factor augmented VARs

115.

Matching Theory and Evidence on COVID-19 Using a Stochastic Network SIR Model

Number of pages: 88 Posted: 19 Nov 2020
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 69 (415,620)

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Covid-19, multigroup SIR model, basic and effective reproduction numbers, rolling window estimates of the transmission rate, method of moments, calibration and counterfactual analysis.

116.

Factor Strengths, Pricing Errors, and Estimation of Risk Premia

Number of pages: 44 Posted: 18 Mar 2021
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 64 (432,282)

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117.
Downloads 64 (432,282)
Citation 3

Exponent of Cross-Sectional Dependence for Residuals

USC-INET Research Paper No. 19-01
Number of pages: 58 Posted: 11 Oct 2018
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 39 (546,046)

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Pair-Wise Correlations, Cross-Sectional Dependence, Cross-Sectional Averages, Weak and Strong Factor Models. CAPM and Fama-French Factors.

Exponent of Cross-Sectional Dependence for Residuals

Number of pages: 54 Posted: 31 Oct 2018
Natalia Bailey, M. Hashem Pesaran and George Kapetanios
Monash University, University of Southern California - Department of Economics and Bank of England
Downloads 25 (632,341)
Citation 3

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pair-wise correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, CAPM and Fama-French factors

Estimation and Inference in Spatial Models with Dominant Units

USC-INET Research Paper No. 19-06
Number of pages: 172 Posted: 13 Mar 2019 Last Revised: 23 Jun 2020
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 41 (535,724)
Citation 1

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SAR models, central limit theorems for linear-quadratic forms, dominant units, heteroskedastic errors, bias-corrected method of moments, US input-output tables, capital share

Estimation and Inference in Spatial Models with Dominant Units

Number of pages: 174 Posted: 23 Jan 2020
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 21 (662,689)
Citation 1

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spatial autoregressive models, central limit theorems for linear-quadratic forms, dominant units, GMM, bias-corrected method of moments (BMM), US input-output analysis, capital share

A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels

USC-INET Research Paper No. 17-26
Number of pages: 74 Posted: 27 Sep 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 45 (516,152)
Citation 2

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Short-T Dynamic Panels, GMM, Weak Instrument Problem, Quadratic Moment Conditions, Panel VARs, Monte Carlo Evidence.

A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels

Number of pages: 73 Posted: 15 Nov 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 10 (753,100)

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120.

Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination Across Models and Observation Windows

Number of pages: 58 Posted: 16 Oct 2007
Katrin Assenmacher and M. Hashem Pesaran
Swiss National Bank and University of Southern California - Department of Economics
Downloads 55 (464,910)
Citation 4

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Bayesian model averaging, choice of observation window, long-run structural vector autoregression

Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

Number of pages: 83 Posted: 13 Aug 2020
Alexander Chudik, M. Hashem Pesaran and Mahrad Sharifvaghefi
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 50 (493,274)

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time-varying parameters, structural breaks, high-dimensionality, multiple testing, variable selection, one covariate at a time multiple testing (OCMT), forecasting

Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

Number of pages: 41 Posted: 28 Aug 2020
Alexander Chudik, M. Hashem Pesaran and Mahrad Sharifvaghefi
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 4 (804,463)

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122.

Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressors

USC-INET Research Paper No. 18-04 (Revised)
Number of pages: 187 Posted: 31 Jan 2017 Last Revised: 10 Feb 2018
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Department of Economics, National Tsing Hua University
Downloads 52 (476,649)

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Panel Data Models, Weakly Exogenous Regressors, Lagged Dependent Variable, Fixed Effects, Time Effects, Unbalanced Panels, Half-Panel Jackknife, Bias Correction

123.

Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis

Number of pages: 60 Posted: 08 Nov 2019
Johns Hopkins University - Carey Business School, University of Cambridge - Judge Business School, Faculty of Economics and Girton College, University of Cambridgeaffiliation not provided to SSRN, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 48 (493,251)

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Greenhouse gas emissions, Economic growth, Real sector, Economic cooperation, Economic indicators, Climate change, adaptation, counterfactual analysis., WP, historical norm, climate variable, labour productivity, move average, long-run

124.

Land Use Regulations, Migration and Rising House Price Dispersion in the U.S.

Number of pages: 105 Posted: 09 Jul 2018
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
Downloads 48 (493,251)

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house price dispersion, endogenous location choice, interstate migration, land-use restriction, spatial equilibrium

125.

A Multi-Country Approach to Forecasting Output Growth Using PMIs

CAFE Research Paper No. 15.01
Number of pages: 59 Posted: 14 Jan 2015
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 47 (497,648)

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Global VARs, High-dimensional VARs, Augmented GVAR, Forecasting, Nowcasting, Data-rich methods, GDP and PMIs

126.

Common Correlated Effects Estimation of Heterogenous Dynamic Panel Data Models with Weakly Exogenous Regressors

CAFE Research Paper No. 13.14
Number of pages: 62 Posted: 27 Aug 2013
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 46 (502,059)
Citation 2

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Large panels, lagged dependent variable, cross sectional dependence, coefficient heterogeneity, estimation and inference, common correlated effects, unobserved common factors

Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors

USC-INET Research Paper No. 17-34
Number of pages: 24 Posted: 28 Nov 2017
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 24 (639,786)
Citation 1

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Bayesian identification, multicollinear regressions, weakly identified regression coefficients, highly collinear regressors

Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors

Number of pages: 25 Posted: 08 Feb 2018
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 21 (662,689)

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Bayesian Identification, Multicollinear Regressions, Weakly Identified Regression Coefficients, Highly Collinear Regressors

128.

Econometric Analysis of Production Networks with Dominant Units

Number of pages: 61 Posted: 30 Nov 2016
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 41 (524,832)

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aggregate fluctuations, strongly and weakly dominant units, spatial models, outdegrees, degree of pervasiveness, power law, input-output tables, US economy

129.

A Multi-Country Approach to Forecasting Output Growth Using PMIS

Number of pages: 59 Posted: 19 Dec 2014
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 40 (529,644)
Citation 7

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global VARs, high-dimensional VARs, augmented GVAR, forecasting, nowcasting, data-rich methods, GDP and PMIs

130.

A Multi-Country Approach to Forecasting Output Growth Using PMIs

USC-INET Research Paper No. 14-05
Number of pages: 59 Posted: 24 Nov 2014
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 35 (555,003)
Citation 2

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Global VARs, High-dimensional VARs, Augmented GVAR, Forecasting, Nowcasting, Data-rich methods, GDP, PMIs

Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators

Number of pages: 15 Posted: 27 Nov 2018 Last Revised: 29 Apr 2020
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 16 (702,264)
Citation 8

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Mean Group Estimator, Cross-Sectional Dependence, Spatial Models, Panel Data

Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators

USC-INET Research Paper No. 18-22
Number of pages: 15 Posted: 04 Dec 2018
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 15 (710,479)

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Mean Group Estimator, Cross Sectional Dependence, Spatial Models, Panel Data

132.

A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels

Number of pages: 75 Posted: 17 Nov 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 31 (576,901)

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Short-T Dynamic Panels, GMM, Weak Instrument Problem, Quadratic Moment Conditions, Panel VARs, Monte Carlo Evidence

133.

A Bayesian Analysis of Linear Regression Models with Highly Collinear Regressors

USC-INET Research Paper No. 18-17 (Revised)
Number of pages: 30 Posted: 11 Oct 2018
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 29 (588,652)
Citation 1

Abstract:

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Bayesian Identification, Multicollinear Regressions, Weakly Identified Regression Coefficients, Highly Collinear Regressors.

134.

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets

Number of pages: 46 Posted: 03 Jul 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Monash University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 28 (594,834)

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sparse correlation matrices, high-dimensional data, multiple testing, thresholding, shrinkage

135.
Downloads 27 (601,027)
Citation 39

Structural Analysis of Cointegrating Vars

Journal of Economic Surveys, Vol. 12, pp. 471-505, December 1998
Number of pages: 35 Posted: 08 May 2006
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 27 (617,989)
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Structural Analysis of Cointegrating Vars

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 471-505, 1998
Number of pages: 35 Posted: 13 Sep 2012
Ron Smith and M. Hashem Pesaran
Birkbeck College and University of Southern California - Department of Economics
Downloads 0
Citation 6
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136.

Learning, Structural Instability and Present Value Calculations

Number of pages: 56 Posted: 08 Jun 2016
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 25 (614,158)

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present value, stock prices, structural breaks, Bayesian learning

137.

Regional Heterogeneity and U.S. Presidential Elections

Number of pages: 73 Posted: 19 Oct 2020
Rashad Ahmed and M. Hashem Pesaran
U.S. Department of the Treasury - Office of the Comptroller of the Currency and University of Southern California - Department of Economics
Downloads 22 (634,931)

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voter turnout, popular and electoral college votes, simultaneity and recursive identification, high dimensional forecasting models, Lasso, OCMT

138.

The Cost Effectiveness of the Uk's Sovereign Debt Portfolio

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 4, pp. 467-495, August 2005
Number of pages: 29 Posted: 03 Aug 2005
Patrick Coe, M. Hashem Pesaran and Shaun Vahey
Carleton University - Department of Economics, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 17 (670,646)
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139.

A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors

Number of pages: 76 Posted: 13 Aug 2021
M. Hashem Pesaran and Yimeng Xie
University of Southern California - Department of Economics and University of Southern California
Downloads 12 (708,887)

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140.

Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels

Number of pages: 36 Posted: 09 Jul 2021
Alexander Chudik, M. Hashem Pesaran and Ron P. Smith
affiliation not provided to SSRN, University of Southern California - Department of Economics and affiliation not provided to SSRN
Downloads 3 (779,756)
Citation 2

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141.

Diagnostic Tests of Cross‐Section Independence for Limited Dependent Variable Panel Data Models*

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 253-277, 2012
Number of pages: 25 Posted: 10 Feb 2012
Cheng Hsiao, M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics, University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 2 (789,143)