Natalia Bailey

Monash University

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

9

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1,022

SSRN CITATIONS
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Top 7,262

in Total Papers Citations

57

CROSSREF CITATIONS

126

Scholarly Papers (9)

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 194 (191,648)
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

CESifo Working Paper Series No. 5428
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 32 (566,326)

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

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 143 (249,275)
Citation 6

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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

CESifo Working Paper No. 7542
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 74 (390,844)

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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

Exponent of Cross-Sectional Dependence: Estimation and Inference

CESifo Working Paper Series No. 3722
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 114 (295,928)

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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

IZA Discussion Paper No. 6318
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 37 (538,365)
Citation 10

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

4.

Measurement of Factor Strenght: Theory and Practice

CESifo Working Paper No. 8146
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 130 (267,608)
Citation 1

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

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 (441,411)

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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

CESifo Working Paper Series No. 4592
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 49 (481,126)
Citation 9

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spatial and factor dependence, spatiotemporal models, house price changes

6.

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 (367,082)
Citation 8

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

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 38 (533,199)

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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

CESifo Working Paper No. 7223
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 (611,919)
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

8.

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

CESifo Working Paper Series No. 4834
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 25 (594,275)

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

9.

A Lagrange-Multiplier Test for Large Heterogeneous Panel Data Models

Number of pages: 32 Posted: 30 Mar 2021
Natalia Bailey, JIANG Dandan and Jianfeng Yao
Monash University, Xi'an Jiaotong University (XJTU) and The University of Hong Kong
Downloads 21 (621,083)

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Large panels, Cross-sectional independence, High-dimensional Lagrange-Multiplier test, Random Matrix theory