.
Pesaran, M. Hashem's
Scholarly Papers
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column.
Aggregate Statistics
Total 16,121
Total Citations 1,195
1.
Geweke, John University of Technology Sydney - Economics Discipline Group
Horowitz, Joel L. Northwestern University
Pesaran, M. Hashem University of Southern California
1,029(8,846)
1
history of econometrics, microeconometrics, macroeconometrics, Bayesian econometrics, nonparametric and semi-parametric analysis
2.
Pesaran, M. Hashem University of Southern California
Treutler, Björn-Jakob Mercer Oliver Wyman
Schuermann, Til Oliver Wyman
Weiner, Scott M. Alliance Capital Management
719(15,341)
50
Risk management, economic interlinkages, loss forecasting, default correlation
3.
Pesaran, M. Hashem University of Southern California
Schuermann, Til Oliver Wyman
Treutler, Björn-Jakob Mercer Oliver Wyman
Weiner, Scott M. Alliance Capital Management
645(17,955)
53
Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation
4.
Hsiao, Cheng University of Southern California - Department of Economics
Pesaran, M. Hashem University of Southern California
638(18,249)
18
Random coefficient models, dynamic heterogeneous panels, classical and Bayesian approaches, tests of slope heterogeneity, cross section dependence
5.
Predictability of Asset Returns and the Efficient Market Hypothesis
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Pesaran, M. Hashem University of Southern California
595(20,140)
Pesaran, M. Hashem University of Southern California
489
market efficiency, predictability, heterogeneity of expectations, forecast averaging, equity, premium puzzle
Pesaran, M. Hashem University of Southern California
106
market efficiency, predictability, heterogeneity of expectations, forecast averaging, equity premium puzzle
6.
Pesaran, M. Hashem University of Southern California
Binder, Michael University of Maryland - Department of Economics
Hsiao, Cheng University of Southern California - Department of Economics
537(23,116)
28
Panel vector autoregressions, fixed effects, unit roots, cointegration
7.
Breitung, Jörg University of Bonn
Pesaran, M. Hashem University of Southern California
513(24,642)
67
Panel unit roots, panel cointegration, cross section dependence, common effects
8.
Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
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Pesaran, M. Hashem University of Southern California
Zaffaroni, P. London School of Economics and Political Science
Posted:
19 Jan 05
Last Revised:
02 Dec 05
461(28,329)
10
Pesaran, M. Hashem University of Southern California
Zaffaroni, P. London School of Economics and Political Science
26
10
Model averaging, value-at-risk, decision-based evaluations
Pesaran, M. Hashem University of Southern California
Zaffaroni, P. London School of Economics and Political Science
435
10
model averaging, value-at-risk, decision based evaluation
9.
Pesaran, M. Hashem University of Southern California
392(34,865)
87
10.
Real Time Econometrics
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Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
Posted:
22 Apr 04
Last Revised:
13 Oct 04
388(35,315)
11
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
18
11
Specification search, data snooping, recursive/sequential modelling, automated model selection
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
370
11
specification search, data snooping, recursive/sequential modelling, automated model selection
11.
Dees, Stephane European Central Bank (ECB)
di Mauro, Filippo European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
379(36,362)
53
Global VaR (GVaR), Global interdependencies, global macroeconomic
12.
Optimal Asset Allocation with Factor Models for Large Portfolios
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Pesaran, M. Hashem University of Southern California
Zaffaroni, Paolo Imperial College Business School
Posted:
27 Mar 08
Last Revised:
16 Jun 08
377(36,607)
2
Pesaran, M. Hashem University of Southern California
Zaffaroni, Paolo Imperial College Business School
176
2
asset allocation, large portfolios, factor models, diversification
Pesaran, M. Hashem University of Southern California
Zaffaroni, Paolo Imperial College Business School
201
2
Asset allocation, Large Porftolios, Factor models, Diversification
13.
Pesaran, M. Hashem University of Southern California
Weale, Martin R. National Institute of Economic and Social Research (NIESR)
329(43,194)
32
Models of Expectations Formation, Survey Data, Heterogeneity, Tests of Rational Expectations
14.
Forecasting Time Series Subject to Multiple Structural Breaks
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Pesaran, M. Hashem University of Southern California
Pettenuzzo, Davide Brandeis University - Department of Economics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
Posted:
19 Jul 04
Last Revised:
17 Nov 04
327(43,484)
41
Pesaran, M. Hashem University of Southern California
Pettenuzzo, Davide Brandeis University - Department of Economics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
20
38
Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging
Pesaran, M. Hashem University of Southern California
Pettenuzzo, Davide Brandeis University - Department of Economics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
307
38
structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging
15.
Pesaran, M. Hashem University of Southern California
315(45,447)
140
Panel unit root tests, Cross-section dependence, Heterogeneous dynamic panels, Finite sample properties
16.
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
Pesaran, M. Hashem University of Southern California
305(47,158)
26
Contagion, Inter-dependence, Identification, Financial Crises
17.
Global Business Cycles and Credit Risk
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Pesaran, M. Hashem University of Southern California
Treutler, Björn-Jakob Mercer Oliver Wyman
Schuermann, Til Oliver Wyman
Posted:
05 Aug 05
Last Revised:
16 Nov 05
291(49,825)
9
Pesaran, M. Hashem University of Southern California
Treutler, Björn-Jakob Mercer Oliver Wyman
Schuermann, Til Oliver Wyman
248
9
Risk management, default dependence, economic interlinkages, portfolio choice
Pesaran, M. Hashem University of Southern California
Treutler, Björn-Jakob Mercer Oliver Wyman
Schuermann, Til Oliver Wyman
43
9
18.
Long Run Macroeconomic Relations in the Global Economy
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Pesaran, M. Hashem University of Southern California
Holly, Sean University of Cambridge - Department of Applied Economics
Dees, Stephane European Central Bank (ECB)
Smith, L. Vanessa University of Cambridge
Posted:
08 Feb 07
Last Revised:
28 May 11
283(51,494)
7
Dees, Stephane European Central Bank (ECB)
Holly, Sean University of Cambridge - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
39
7
Global VAR, interdependencies, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile
Pesaran, M. Hashem University of Southern California
Holly, Sean University of Cambridge - Department of Applied Economics
Dees, Stephane European Central Bank (ECB)
Smith, L. Vanessa University of Cambridge
31
7
Global VAR, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile
Dees, Stephane European Central Bank (ECB)
Holly, Sean University of Cambridge - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
213
7
Global VAR, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile
19.
Pesaran, M. Hashem University of Southern California
Hanson, Samuel Gregory Harvard Business School
Schuermann, Til Oliver Wyman
280(52,102)
Risk management, correlated defaults, credit loss distributions, heterogeneity, diversification
20.
Pesaran, M. Hashem University of Southern California
Weiner, Scott M. Alliance Capital Management
Schuermann, Til Oliver Wyman
269(54,500)
48
Economic interlinkages, global macroeconometric modeling, risk management
21.
Oil Exports and the Iranian Economy
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Esfahani, Hadi Salehi University of Illinois at Urbana-Champaign
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
Posted:
09 Nov 09
Last Revised:
26 May 11
258(57,591)
4
Esfahani, Hadi Salehi University of Illinois at Urbana-Champaign
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
Posted:
23 May 11
Last Revised:
26 May 11
123
4
Growth models, long run relations, Iranian economy, Saudi Arabia, Norway, oil price and foreign output shocks, and error correcting relations
Esfahani, Hadi Salehi University of Illinois at Urbana-Champaign
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
0
growth models, long run relations, Iranian economy, oil price and foreign output shocks, and error correcting relations
Esfahani, Hadi Salehi University of Illinois at Urbana-Champaign
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
135
4
growth models, long run relations, Iranian economy, oil price, foreign output shocks, error correcting relations
22.
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
Smith, L. Vanessa University of Cambridge
257(57,329)
10
Global VAR (GVAR), Counterfactual Analysis, UK and Sweden entry to euro
23.
Pesaran, Bahram University of East London - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
226(65,883)
4
volatilities and correlations, weekly returns, multivariate t, financial interdependence, VaR diagnostics, 2008 stock market crash
24.
Testing CAPM with a Large Number of Assets
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Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of York (UK) - Department of Economics and Related Studies
Posted:
13 Mar 12
Last Revised:
14 Apr 12
219(68,049)
2
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
57
2
CAPM, testing for alpha, market efficiency, long/short equity returns, large panels, weak and strong cross-sectional dependence
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of York (UK) - Department of Economics and Related Studies
162
2
CAPM, Testing for alpha, Market efficiency, Long/short equity returns, Large panels, Weak and strong cross-sectional dependence
25.
Ul Haque, Nadeem Pakistan Institute of Development Economics
Pesaran, M. Hashem University of Southern California
Sharma, Sunil International Monetary Fund (IMF)
219(68,049)
6
Saving Behavior, OECD, Cross-Country Studies, Panel Data Models, Slope Heterogeneity, Dynamics, Ricardian Effect
26.
Macroeconometric Modelling with a Global Perspective
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Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
Posted:
20 Jan 06
Last Revised:
24 Jan 07
203(73,590)
8
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
31
8
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
172
8
Global VAR (GVAR), DSGE models, VARX
27.
Pesaran, M. Hashem University of Southern California
Schleicher, Christoph Bank of England
Zaffaroni, Paolo Imperial College Business School
195(76,563)
9
model averaging, Value-at-Risk, decision based evaluations
28.
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
195(76,563)
16
Sign Prediction, Estimation Window, Structural Breaks
29.
Pesaran, M. Hashem University of Southern California
Hanson, Samuel Gregory Harvard Business School
Schuermann, Til Oliver Wyman
194(76,971)
13
Risk management, correlated defaults, factor models, portfolio choice
30.
Holly, Sean University of Cambridge - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
191(78,106)
13
house price, cross sectional dependence, spatial dependence
31.
Hsiao, Cheng University of Southern California - Department of Economics
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
185(80,584)
1
cross-section dependence, nonlinear panel data model
32.
Pesaran, M. Hashem University of Southern California
185(80,584)
20
Cross Section Dependence, Large Panels, Common Correlated Effects, Heterogeneity, Estimation and Inference
33.
Pesaran, Bahram University of East London - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
184(81,024)
8
volatilities and correlations, futures market, multivariate t, financial interdependence, VaR diagnostics
34.
Beyond the DSGE Straitjacket
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Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
Posted:
25 Apr 11
Last Revised:
17 May 11
172(86,337)
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
140
macroeconometric models, DSGE, VARs, long run theory
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
32
macroeconometric models, DSGE, VARs, long run theory
35.
Identification of New Keynesian Phillips Curves from a Global Perspective
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Dees, Stephane European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Smith, Ron Birkbeck College
Posted:
12 Feb 08
Last Revised:
23 May 08
166(89,194)
10
Dees, Stephane European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Smith, Ron Birkbeck College
32
10
New Keynesian Phillips Curve, identification, Global VAR (GVAR), trend-cycle decomposition
Dees, Stephane European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Smith, Ron Birkbeck College
134
10
Global VAR (GVAR), identification, New Keynesian Phillips Curve, Trend-Cycle decomposition
36.
Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
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Dees, Stephane European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Smith, Ron Birkbeck College
Posted:
15 Jun 10
Last Revised:
07 May 13
163(90,732)
1
Dees, Stephane European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Smith, Ron Birkbeck College
84
1
Global VAR (GVAR), New Keynesian DSGE models, supply shocks, demand shocks, monetary policy shocks
Dees, Stephane European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Smith, Ron Birkbeck College
79
1
global VAR (GVAR), New Keynesian DSGE models, supply shocks, demand shocks, monetary policy shocks
37.
Coe, Patrick Carleton University - Department of Economics
Pesaran, M. Hashem University of Southern California
Vahey, Shaun University of Cambridge - Faculty of Economics and Politics
160(92,244)
2
Government debt management, cost minimisation, recursive modelling
38.
Pesaran, M. Hashem University of Southern California
Treutler, Björn-Jakob Mercer Oliver Wyman
Schuermann, Til Oliver Wyman
149(98,404)
3
Risk management, default dependence, economic interlinkages, portfolio choice
39.
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Schuermann, Til Oliver Wyman
143(101,955)
9
forecasting using GVAR, structural breaks and forecasting, average forecasts across models and windows, financial and macroeconomic forecasts
40.
Learning, Structural Instability and Present Value Calculations
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Pesaran, M. Hashem University of Southern California
Pettenuzzo, Davide Brandeis University - Department of Economics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
Posted:
10 Jan 06
Last Revised:
30 Nov 12
142(102,568)
3
Pesaran, M. Hashem University of Southern California
Pettenuzzo, Davide Brandeis University - Department of Economics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
99
3
present value, stock prices, structural breaks, Bayesian learning
Pesaran, M. Hashem University of Southern California
Pettenuzzo, Davide Brandeis University - Department of Economics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
Posted:
10 Jan 06
Last Revised:
30 Nov 12
43
3
present value, stock prices, structural breaks, Bayesian learning
41.
Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks
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Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
Posted:
21 Aug 03
Last Revised:
13 Oct 04
138(105,097)
15
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
12
15
Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
126
15
Small Sample Properties of Forecasts, RMSFE, Structural Breaks, Autoregression
42.
Pesaran, M. Hashem University of Southern California
Kapetanios, George University of London - Queen Mary College - Department of Economics
137(105,727)
12
cross section dependence, large panels, principal components, common correlated effects, return equations
43.
Pesaran, M. Hashem University of Southern California
133(108,387)
20
economic growth, panel data models, common technological shocks, convergence
44.
Garratt, Anthony University of Cambridge - Department of Applied Economics
Lee, Kevin University of Leicester - Department of Economics
Pesaran, M. Hashem University of Southern California
Shin, Yongcheol University of Leeds - Leeds University Business School - Division of Economics
132(109,096)
18
Probability forecasting, long run structural VARs, macroeconome-tric modelling, probability forecasts of inflation, interest rates, output growth
45.
Pesaran, M. Hashem University of Southern California
Tosetti, Elisa University of Cambridge - Faculty of Economics and Politics
131(109,817)
23
panels, common correlated effects, strong and weak cross section dependence
46.
Pagan, Adrian Australian National University (ANU) - Research School of Social Sciences (RSSS)
Pesaran, M. Hashem University of Southern California
125(114,045)
2
permanent shocks, structural identification, error correction models, IS-LM models
47.
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
123(115,567)
counterfactuals, policy evaluation, macroeconomics, quantitative easing (QE), UK economic policy
48.
Infinite Dimensional VARs and Factor Models
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Chudik, Alexander University of Cambridge
Pesaran, M. Hashem University of Southern California
Posted:
28 Dec 07
Last Revised:
29 Apr 12
117(120,217)
14
Chudik, Alexander University of Cambridge
Pesaran, M. Hashem University of Southern California
0
Large N and T Panels, Weak and Strong Cross Section Dependence, VAR, Global VAR, Factor Models, Capital Accumulation and Growth
Chudik, Alexander University of Cambridge
Pesaran, M. Hashem University of Southern California
117
14
large N and T panels, weak and strong cross section dependence, VAR, global VAR, factor models, capital accumulation, growth
49.
Weak and Strong Cross-Section Dependence and Estimation of Large Panels
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Chudik, Alexander European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Tosetti, Elisa University of Cambridge - Faculty of Economics and Politics
Posted:
07 Jul 09
Last Revised:
09 Mar 11
113(123,562)
20
Chudik, Alexander European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Tosetti, Elisa University of Cambridge - Faculty of Economics and Politics
1
20
Common correlated effects (CCE) estimator, Panels, Strong and weak cross-section dependence, Weak and strong factors
Chudik, Alexander European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Tosetti, Elisa University of Cambridge - Faculty of Economics and Politics
78
20
Panels, Strong and Weak Cross Section Dependence, Weak and Strong Factors
Chudik, Alexander European Central Bank (ECB)
Pesaran, M. Hashem University of Southern California
Tosetti, Elisa University of Cambridge - Faculty of Economics and Politics
34
20
panels, strong and weak cross section dependence, weak and strong factors
50.
Binder, Michael University of Maryland - Department of Economics
Pesaran, M. Hashem University of Southern California
112(124,383)
4
51.
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
109(126,985)
5
Testing Slope Homogeneity, Hausman Type Tests, Cross Section ispersion Tests, Monte Carlo Results, PSID Earnings Dynamics
52.
Forecasting Random Walks Under Drift Instability
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Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
Posted:
27 Mar 08
Last Revised:
12 Oct 11
108(127,843)
5
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
47
5
forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
61
5
Forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks
53.
Im, Kyung So University of Central Florida - College of Business Administration
Pesaran, M. Hashem University of Southern California
105(130,456)
7
Non-linear Instrumental Variable (NIV) Panel unit root tests, Cross-section dependence, Finite sample properties
54.
Lumpy Price Adjustments: A Microeconometric Analysis
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Dhyne, Emmanuel National Bank of Belgium
Fuss, Catherine National Bank of Belgium
Pesaran, M. Hashem University of Southern California
Sevestre, Patrick Banque de France
Posted:
22 May 07
Last Revised:
09 Oct 10
103(132,277)
9
Dhyne, Emmanuel National Bank of Belgium
Fuss, Catherine National Bank of Belgium
Pesaran, M. Hashem University of Southern California
Sevestre, Patrick Banque de France
14
9
Sticky Prices, Menu Costs, Nominal/Intrinsic and Extrinsic Rigidities, Micro Panels
Dhyne, Emmanuel National Bank of Belgium
Fuss, Catherine National Bank of Belgium
Pesaran, M. Hashem University of Southern California
Sevestre, Patrick Banque de France
9
9
Sticky prices, menu costs, nominal and real rigidities, micro panels
Dhyne, Emmanuel National Bank of Belgium
Fuss, Catherine National Bank of Belgium
Pesaran, M. Hashem University of Southern California
Sevestre, Patrick Banque de France
80
9
sticky prices, nominal intrinsic and extrinsic rigidities, micro non-linear panels
55.
Kapetanios, George University of London - Queen Mary College - Department of Economics
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
101(134,095)
22
cross section dependence, large panels, unit roots, principal components
56.
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
97(137,876)
3
contingency tables, canonical correlations, serial dependence, tests of
57.
Pesaran, M. Hashem University of Southern California
93(141,835)
98
cross section dependence, large panels, common correlated effects, heterogeneity, estimation and inference
58.
An Empirical Growth Model for Major Oil Exporters
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Esfahani, Hadi Salehi University of Illinois at Urbana-Champaign
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
Posted:
05 Apr 12
Last Revised:
14 Apr 12
88(147,119)
Esfahani, Hadi Salehi University of Illinois at Urbana-Champaign
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
28
growth models, long run and error correcting relations, major oil exporters, OPEC member countries, oil exports and foreign output shocks
Esfahani, Hadi Salehi University of Illinois at Urbana-Champaign
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
60
growth models, long run and error correcting relations, major oil exporters, OPEC member countries, oil exports and foreign output shocks
59.
Panel Unit Root Tests in the Presence of a Multifactor Error Structure
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Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
Posted:
23 Jan 08
Last Revised:
23 May 08
87(148,195)
2
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Yamagata, Takashi University of York (UK) - Department of Economics and Related Studies
22
2
panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices
Pesaran, M. Hashem University of Southern California
Smith, L. Vanessa University of Cambridge
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
65
2
panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices
60.
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
Hvozdyk, Liudmyla Ludwig Maximilians University of Munich - Munich Graduate School of Economics (MGSE)
84(151,482)
1
purchasing power parity, panel data, pairwise approach, cross section dependence
61.
Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults
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Pesaran, M. Hashem University of Southern California
Xu, TengTeng International Monetary Fund (IMF)
Posted:
17 Oct 11
Last Revised:
23 Oct 11
80(156,103)
Pesaran, M. Hashem University of Southern California
Xu, TengTeng International Monetary Fund (IMF)
19
bank credit, financial intermediation, firm heterogeneity and defaults, interest rate spread, real financial linkages
Pesaran, M. Hashem University of Southern California
Xu, TengTeng affiliation not provided to SSRN
61
bank credit, financial intermediation, firm heterogeneity and defaults, interest rate spread, real financial linkages
62.
Spatial and Temporal Diffusion of House Prices in the UK
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Holly, Sean University of Cambridge - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of York (UK) - Department of Economics and Related Studies
Posted:
01 Feb 10
Last Revised:
07 May 13
78(158,550)
8
Holly, Sean University of Cambridge - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of York (UK) - Department of Economics and Related Studies
66
8
house prices, cross sectional dependence, spatial dependence
Holly, Sean University of Cambridge - Department of Applied Economics
Pesaran, M. Hashem University of Southern California
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
12
8
house prices, cross sectional dependence, spatial dependence
63.
On Identification of Bayesian DSGE Models
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Koop, Gary University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
Posted:
18 Apr 11
Last Revised:
27 Apr 11
76(161,072)
2
Koop, Gary University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
34
2
Bayesian identification, DSGE models, posterior updating, New Keynesian Phillips Curve
Koop, Gary University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
42
2
Bayesian identification, DSGE models, posterior updating, New Keynesian Phillips Curve
64.
Assenmacher-Wesche, Katrin Swiss National Bank
Pesaran, M. Hashem University of Southern California
75(162,400)
2
Long-run structural vector autoregression
65.
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
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Hayakawa, Kazuhiko Hiroshima University
Pesaran, M. Hashem University of Southern California
Posted:
29 Apr 12
Last Revised:
30 Jun 12
70(169,128)
Hayakawa, Kazuhiko Hiroshima University
Pesaran, M. Hashem University of Southern California
16
dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation
Hayakawa, Kazuhiko Hiroshima University
Pesaran, M. Hashem University of Southern California
10
dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation
Hayakawa, Kazuhiko Hiroshima University
Pesaran, M. Hashem University of Southern California
44
dynamic panels, cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation
66.
Pagan, Adrian Australian National University (ANU) - Research School of Social Sciences (RSSS)
Pesaran, M. Hashem University of Southern California
70(169,128)
5
Permanent shocks, structural identification, error correction
67.
Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
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Pesaran, M. Hashem University of Southern California
Chudik, Alexander European Central Bank (ECB)
Posted:
22 May 10
Last Revised:
26 May 10
54(193,276)
6
Pesaran, M. Hashem University of Southern California
Chudik, Alexander European Central Bank (ECB)
33
6
IVAR Models, Dominant Units, Large Panels, Weak and Strong Cross Section Dependence, Factor Models
Pesaran, M. Hashem University of Southern California
Chudik, Alexander European Central Bank (ECB)
21
6
IVAR Models, Dominant Units, Large Panels, Weak and Strong Cross Section Dependence, Factor Models
68.
Aggregation in Large Dynamic Panels
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Pesaran, M. Hashem University of Southern California
Chudik, Alexander University of Cambridge
Posted:
20 Feb 11
Last Revised:
02 Apr 11
52(196,682)
2
Pesaran, M. Hashem University of Southern California
Chudik, Alexander University of Cambridge
33
2
aggregation, large dynamic panels, long memory, weak and strong cross section dependence, VAR models, impulse responses, factor models, inflation persistence
Pesaran, M. Hashem University of Southern California
Chudik, Alexander European Central Bank (ECB)
19
2
aggregation, large dynamic panels, long memory, weak and strong cross section dependence, VAR models, impulse responses, factor models, inflation persistence
69.
Variable Selection and Inference for Multi-Period Forecasting Problems
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Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
Posted:
11 Feb 09
Last Revised:
12 Oct 11
52(196,682)
5
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
2
5
factor-augmented VAR, forecast horizon, macroeconomic forecasting
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
50
5
70.
Pesaran, M. Hashem University of Southern California
Zaffaroni, Paolo Imperial College Business School
51(198,399)
large portfolios, factor models, mean-variance portfolio, arbitrage pricing, market (beta) neutrality, well diversification
71.
Mohaddes, Kamiar University of Cambridge - Faculty of Economics and Politics
Pesaran, M. Hashem University of Southern California
45(209,447)
oil price volatility, oil income, rent seeking, inflation, macroeconomic policy
72.
Exponent of Cross-Sectional Dependence: Estimation and Inference
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Bailey, Natalia affiliation not provided to SSRN
Kapetanios, George University of London - Queen Mary College - Department of Economics
Pesaran, M. Hashem University of Southern California
Posted:
05 Feb 12
Last Revised:
12 Feb 12
42(215,485)
2
Bailey, Natalia affiliation not provided to SSRN
Kapetanios, George University of London - Queen Mary College - Department of Economics
Pesaran, M. Hashem University of Southern California
7
2
cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model
Bailey, Natalia affiliation not provided to SSRN
Kapetanios, George University of London - Queen Mary College - Department of Economics
Pesaran, M. Hashem University of Southern California
35
2
cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, capital asset pricing model
73.
Assenmacher-Wesche, Katrin Swiss National Bank
Pesaran, M. Hashem University of Southern California
42(215,485)
Bayesian model averaging, choice of observation window, long-run structural vector autoregression
74.
Testing Weak Cross-Sectional Dependence in Large Panels
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Pesaran, M. Hashem University of Southern California
Posted:
31 Mar 12
Last Revised:
03 May 12
41(217,486)
Pesaran, M. Hashem University of Southern California
19
exponent of cross-sectional dependence, diagnostic tests, panel data models, dynamic heterogenous panels
Pesaran, M. Hashem University of Southern California
22
exponent of cross-sectional dependence, diagnostic tests, panel data models, dynamic heterogenous panels
75.
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
Pranovich, Mikhail University of Cambridge
41(217,486)
2
forecasting, structural breaks, optimal weights, robust weights, exponential smoothing
76.
Pesaran, M. Hashem University of Southern California
Rebucci, Alessandro Inter-American Development Bank (IDB)
Xu, TengTeng International Monetary Fund (IMF)
36(228,211)
1
China, GVAR, Great Recession, emerging markets, international business cycle, Latin America, trade linkages
77.
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
27(251,568)
5
Multi-period forecasts, direct and iterated methods, factor augmented VARs
78.
Structural Analysis of Cointegrating VARs
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Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
Posted:
08 May 06
Last Revised:
13 Sep 12
27(251,568)
20
Smith, Ron Birkbeck College
Pesaran, M. Hashem University of Southern California
0
19
Pesaran, M. Hashem University of Southern California
Smith, Ron Birkbeck College
27
20
79.
An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
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Al-Sadoon, Majid Universitat Pompeu Fabra
Li, Tong Vanderbilt University
Pesaran, M. Hashem University of Southern California
Posted:
15 Dec 12
Last Revised:
03 Jan 13
18(281,914)
Al-Sadoon, Majid Universitat Pompeu Fabra
Li, Tong Vanderbilt University
Pesaran, M. Hashem University of Southern California
12
dynamic discrete choice, fixed effects, panel data, initial values, GMM, CMLE
Al-Sadoon, Majid Universitat Pompeu Fabra
Li, Tong Vanderbilt University
Pesaran, M. Hashem University of Southern California
6
dynamic discrete choice, fixed effects, panel data, initial values, GMM, CMLE
80.
Coe, Patrick Carleton University - Department of Economics
Pesaran, M. Hashem University of Southern California
Vahey, Shaun University of Cambridge - Faculty of Economics and Politics
17(285,490)
81.
Pesaran, M. Hashem University of Southern California
Ullah, Aman University of California, Riverside - Department of Economics
Yamagata, Takashi University of Cambridge - Faculty of Economics and Politics
11(306,702)
6
82.
Chudik, Alexander University of Cambridge
Pesaran, M. Hashem University of Southern California
1(342,889)
large panels, lagged dependent variable, cross sectional dependence, coefficient heterogeneity, estimation and inference, common correlated effects, unobserved common factors
83.
Hsiao, Cheng University of Southern California - Department of Economics
Pesaran, M. Hashem University of Southern California
Pick, Andreas Erasmus University Rotterdam (EUR) - Department of Econometrics
1(342,889)
2
84.
Favero, Carlo A. Bocconi University - Department of Finance
Pesaran, M. Hashem University of Southern California
Sharma, Sunil International Monetary Fund (IMF)
Posted:
23 Sep 09
Last Revised:
01 May 12
0(348,887)
17
85.
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
86.
Pesaran, M. Hashem University of Southern California
Harcourt, G. C. University of Cambridge - Faculty of Economics and Politics
87.
Pesaran, M. Hashem University of Southern California
Timmermann, Allan G. University of California, San Diego (UCSD) - Department of Economics
