M. Hashem Pesaran

University of Southern California - Department of Economics

3620 South Vermont Ave. Kaprielian (KAP) Hall 300

Los Angeles, CA 90089

United States

  • University of Southern California - Department of Economics

SCHOLARLY PAPERS

157

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Scholarly Papers (157)

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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 2,435 (11,613)
Citation 13

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2.

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

Downloads 1,573 (23,100)
Citation 5

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
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 1,280 (30,841)

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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

CESifo Working Paper Series No. 4508
Number of pages: 68 Posted: 23 Dec 2013
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 293 (199,163)

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

3.

Econometrics: A Bird's Eye View

CESifo Working Paper Series No. 1870, IZA Discussion Paper No. 2458
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 1,347 (29,040)
Citation 3

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

4.

Predictability of Asset Returns and the Efficient Market Hypothesis

Downloads 1,212 (33,929)

Predictability of Asset Returns and the Efficient Market Hypothesis

CESifo Working Paper Series No. 3116
Number of pages: 40 Posted: 12 Jul 2010
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 1,009 (43,420)

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

Predictability of Asset Returns and the Efficient Market Hypothesis

IZA Discussion Paper No. 5037
Number of pages: 37 Posted: 12 Jul 2010
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 203 (285,938)

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

5.

Testing CAPM with a Large Number of Assets

Downloads 1,049 (41,720)
Citation 6

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 835 (56,416)
Citation 15

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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

IZA Discussion Paper No. 6469
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 214 (272,055)

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

6.

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

Downloads 1,044 (41,999)
Citation 18

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 774 (62,459)
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

CESifo Working Paper Series No. 4371
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 270 (216,770)
Citation 34

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

7.

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Number of pages: 70 Posted: 21 Aug 2003
M. Hashem Pesaran, Til Schuermann, Björn-Jakob Treutler and Scott M. Weiner
University of Southern California - Department of Economics, Oliver Wyman, Mercer Oliver Wyman and Alliance Capital Management
Downloads 1,003 (44,477)
Citation 18

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Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation

8.

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 989 (45,346)
Citation 43

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

9.

Unit Roots and Cointegration in Panels

Downloads 931 (49,317)
Citation 5

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 875 (52,906)
Citation 24

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

Unit Roots and Cointegration in Panels

Bundesbank Series 1 Discussion Paper No. 2005,42
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 56 (715,659)

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

10.

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
M. Hashem Pesaran, Björn-Jakob Treutler, Til Schuermann and Scott M. Weiner
University of Southern California - Department of Economics, Mercer Oliver Wyman, Oliver Wyman and Alliance Capital Management
Downloads 888 (52,589)
Citation 13

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Risk management, economic interlinkages, loss forecasting, default correlation

11.

Uncertainty and Economic Activity: A Global Perspective

Downloads 791 (61,734)
Citation 28

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 407 (138,956)
Citation 26

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

Uncertainty and Economic Activity

CESifo Working Paper Series No. 4736
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 125 (432,395)
Citation 1

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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 114 (464,341)
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

CESifo Working Paper Series No. 6910
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 74 (623,238)

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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 43 (803,680)

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

Uncertainty and Economic Activity: A Multi-Country Perspective

NBER Working Paper No. w24325
Number of pages: 87 Posted: 21 Feb 2018 Last Revised: 19 Jun 2023
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 28 (932,123)
Citation 1

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Uncertainty and Economic Activity: A Multi-Country Perspective

CEPR Discussion Paper No. DP12713
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
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Citation 5
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Business cycle, Common Factors, identification, Multi-Country, Real and Financial Global Shocks, uncertainty, Volatility.

12.

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

IZA Discussion Paper No. 6618
Number of pages: 28 Posted: 16 Jun 2012 Last Revised: 18 Nov 2021
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 775 (63,305)
Citation 2

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

13.

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 672 (76,082)
Citation 262

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

14.

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

CESifo Working Paper Series No. 4118
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 651 (79,219)
Citation 6

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

15.

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

Downloads 641 (80,754)
Citation 19

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 306 (190,226)
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 163 (348,555)
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?

CESifo Working Paper Series No. 5992
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 85 (569,260)

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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?

IMF Working Paper No. 16/210
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 44 (796,041)
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?

Globalization and Monetary Policy Institute Working Paper No. 277
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 43 (803,680)

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16.

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 623 (83,717)
Citation 7

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Panel vector autoregressions, fixed effects, unit roots, cointegration

17.

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

Downloads 620 (84,169)
Citation 11

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 466 (118,484)
Citation 3

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

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

CESifo Working Paper No. 8243
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 43 (803,680)

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

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

NBER Working Paper No. w28629
Number of pages: 59 Posted: 05 Apr 2021 Last Revised: 24 Mar 2023
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 42 (811,217)

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

Globalization Institute Working Paper No. 382
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 25 (961,917)

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

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

NBER Working Paper No. w27039
Number of pages: 37 Posted: 28 Apr 2020 Last Revised: 20 May 2023
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 (982,884)

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

Globalization Institute Working Paper No. 407
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 21 (1,004,729)

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

CEPR Discussion Paper No. DP14646
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 11
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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

CEPR Discussion Paper No. DP15993
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
Citation 1
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18.

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

CESifo Working Paper No. 9217
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 607 (86,446)
Citation 19

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19.

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

Downloads 585 (90,635)
Citation 2

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 399 (142,243)
Citation 7

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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

CESifo Working Paper Series No. 3081
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 186 (309,828)
Citation 3

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

20.

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

Downloads 574 (92,810)
Citation 5

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 548 (97,279)

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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

CEPR Discussion Paper No. 5279
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 (951,697)
Citation 2
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Model averaging, value-at-risk, decision-based evaluations

21.

Optimal Asset Allocation with Factor Models for Large Portfolios

Downloads 558 (96,176)
Citation 5

Optimal Asset Allocation with Factor Models for Large Portfolios

CESifo Working Paper Series No. 2326
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 293 (199,163)
Citation 2

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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 265 (220,904)
Citation 6

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Asset allocation, Large Porftolios, Factor models, Diversification

22.

Oil Exports and the Iranian Economy

Downloads 544 (99,378)
Citation 4

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 310 (187,534)
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

IZA Discussion Paper No. 4537
Number of pages: 45 Posted: 09 Nov 2009 Last Revised: 17 Nov 2021
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 234 (249,873)

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

Oil Exports and the Iranian Economy

CESifo Working Paper Series No. 2843
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

23.

Long Run Macroeconomic Relations in the Global Economy

Downloads 531 (102,302)
Citation 6

Long Run Macroeconomic Relations in the Global Economy

CESifo Working Paper Series No. 1904, ECB Working Paper No. 750
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 267 (219,201)
Citation 7

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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 199 (291,166)
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 65 (664,244)

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

24.

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

Downloads 513 (106,736)
Citation 14

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
Matthew E. Kahn, Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi and Jui-Chung Yang
University of Southern California, University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 251 (233,161)

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Climate Change, Economic Growth, Adaptation, Counterfactual Analysis

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
Matthew E. Kahn, Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi and Jui-Chung Yang
University of Southern California, University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 105 (493,845)

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climate change, economic growth, adaptation, counterfactual analysis

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

NBER Working Paper No. w26167
Number of pages: 57 Posted: 20 Aug 2019 Last Revised: 02 Jul 2023
Matthew E. Kahn, Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi and Jui-Chung Yang
University of Southern California, University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 97 (522,162)
Citation 5

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

Globalization and Monetary Policy Institute Working Paper No. 365
Number of pages: 57 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Matthew E. Kahn, Kamiar Mohaddes, Ryan N.C. Ng, M. Hashem Pesaran, Mehdi Raissi and Jui-Chung Yang
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 60 (692,106)
Citation 4

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Climate change, economic growth, adaptation, counterfactual analysis

25.

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 511 (107,274)
Citation 10

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

26.

Theory and Practice of GVAR Modeling

Downloads 509 (107,761)
Citation 26

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 393 (144,683)
Citation 1

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

Theory and Practice of GVAR Modeling

CESifo Working Paper Series No. 4807
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 116 (458,207)
Citation 6

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

27.

Is There a Debt-Threshold Effect on Output Growth?

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Citation 54

Is There a Debt-Threshold Effect on Output Growth?

USC-INET Research Paper No. 15-18
Number of pages: 54 Posted: 08 Jul 2015
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 222 (262,894)
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?

CESifo Working Paper Series No. 5434
Number of pages: 35 Posted: 21 Jul 2015
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 131 (416,929)
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?

IMF Working Paper No. 15/197
Number of pages: 60 Posted: 13 Oct 2015
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 85 (569,260)
Citation 23

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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?

Globalization and Monetary Policy Institute Working Paper No. 245
Number of pages: 34 Posted: 17 Aug 2015
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 70 (638,070)
Citation 12

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28.

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

Downloads 490 (112,824)
Citation 9

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

CESifo Working Paper Series No. 6432
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 258 (226,941)

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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

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 232 (251,947)
Citation 15

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

29.

Real Time Econometrics

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Citation 16

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 456 (121,555)

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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 (1,038,614)
Citation 1
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Specification search, data snooping, recursive/sequential modelling, automated model selection

30.

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

CESifo Working Paper Series No. 1425, ECB Working Paper No. 568, IEPR Working Paper No. 04.6
Number of pages: 68 Posted: 19 Jan 2005
Stephane Dees, Filippo di Mauro, M. Hashem Pesaran and L. Vanessa Smith
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 461 (121,348)
Citation 85

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Global VaR (GVaR), Global interdependencies, global macroeconomic

31.

Forecasting Time Series Subject to Multiple Structural Breaks

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Citation 83

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 416 (135,409)
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
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Citation 19
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Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

32.

Big Data Analytics: A New Perspective

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Citation 3

Big Data Analytics: A New Perspective

CESifo Working Paper Series No. 5824
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 219 (266,279)

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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 120 (446,462)
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

Globalization and Monetary Policy Institute Working Paper No. 268
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 96 (525,904)

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33.

Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models

IZA Discussion Paper No. 2756, CESifo Working Paper Series No. 1984, IEPR Working Paper No. 07.17
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 414 (137,580)
Citation 7

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cross-section dependence, nonlinear panel data model

34.

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

Downloads 413 (137,944)
Citation 12

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 296 (197,006)
Citation 7

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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 117 (455,136)

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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

35.

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 413 (137,944)
Citation 103

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Economic interlinkages, global macroeconometric modeling, risk management

36.

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 406 (140,687)
Citation 6

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Contagion, Inter-dependence, Identification, Financial Crises

37.

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 398 (143,968)
Citation 4

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

38.

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

Downloads 396 (144,766)
Citation 6

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 271 (215,956)
Citation 3

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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

CESifo Working Paper Series No. 3850
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 67 (653,670)
Citation 1

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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

IZA Discussion Paper No. 6583
Number of pages: 51 Posted: 16 Jun 2012 Last Revised: 18 Nov 2021
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 58 (703,795)

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

39.

Global Business Cycles and Credit Risk

Downloads 383 (150,234)
Citation 12

Global Business Cycles and Credit Risk

CESifo Working Paper Series No. 1548
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 303 (192,234)

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Risk management, default dependence, economic interlinkages, portfolio choice

Global Business Cycles and Credit Risk

NBER Working Paper No. w11493
Number of pages: 56 Posted: 29 Aug 2005 Last Revised: 29 May 2022
M. Hashem Pesaran, Björn-Jakob Treutler and Til Schuermann
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 80 (590,792)

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40.

Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients

Downloads 358 (161,937)
Citation 5

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 281 (208,022)
Citation 15

Abstract:

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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 77 (604,255)

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

41.

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 358 (161,937)
Citation 30

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

42.

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 348 (166,958)

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

43.

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

Downloads 314 (186,271)
Citation 14

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 152 (369,752)
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

CESifo Working Paper Series No. 5367
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 101 (508,029)
Citation 7

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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

Globalization and Monetary Policy Institute Working Paper No. 242
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 61 (686,468)
Citation 1

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44.

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

Number of pages: 114 Posted: 12 Feb 2020 Last Revised: 06 Mar 2023
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 311 (188,189)
Citation 3

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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

45.

Beyond the DSGE Straitjacket

Downloads 310 (188,842)
Citation 5

Beyond the DSGE Straitjacket

CESifo Working Paper Series No. 3447
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 253 (231,362)
Citation 1

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macroeconometric models, DSGE, VARs, long run theory

Beyond the DSGE Straitjacket

IZA Discussion Paper No. 5661
Number of pages: 17 Posted: 25 Apr 2011 Last Revised: 18 Nov 2021
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 57 (709,567)
Citation 6

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VARs, DSGE, macroeconometric models, long run theory

46.

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

Downloads 308 (190,879)
Citation 42

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

Globalization and Monetary Policy Institute Working Paper No. 223
Number of pages: 46 Posted: 17 Aug 2015
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 163 (350,430)
Citation 21

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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
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran and Mehdi Raissi
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 145 (384,352)
Citation 6

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

47.

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

CESifo Working Paper Series No. 3023
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 299 (196,251)
Citation 2

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

48.

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

IZA Discussion Paper No. 2906, CESifo Working Paper No. 2056, IEPR Working Paper No. 07.19
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 296 (198,311)

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

49.

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 286 (205,571)
Citation 77

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

50.

Identification of New Keynesian Phillips Curves from a Global Perspective

Downloads 282 (208,593)
Citation 19

Identification of New Keynesian Phillips Curves from a Global Perspective

CESifo Working Paper Series No. 2219, IEPR Working Paper No. 08.1, ECB Working Paper No. 892
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 173 (330,835)

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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

IZA Working Paper No. 3298
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 109 (480,334)
Citation 1

Abstract:

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

51.

Estimation of Time-Invariant Effects in Static Panel Data Models

Downloads 281 (209,322)
Citation 15

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 211 (275,673)
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

CESifo Working Paper Series No. 4983
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 70 (638,070)
Citation 5

Abstract:

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

52.

A Spatio-Temporal Model of House Prices in the Us

IZA Discussion Paper No. 2338, CESifo Working Paper Series No. 1826, IEPR Working Paper No. 07.16
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 281 (209,322)
Citation 29

Abstract:

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house price, cross sectional dependence, spatial dependence

53.

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

Downloads 278 (211,622)
Citation 13

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

Number of pages: 38 Posted: 21 Sep 2020
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi and Alessandro Rebucci
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 99 (515,078)

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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

CESifo Working Paper No. 8588
Number of pages: 43 Posted: 07 Oct 2020
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi and Alessandro Rebucci
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 73 (623,238)
Citation 11

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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

CAMA Working Paper No. 85/2020
Number of pages: 40 Posted: 23 Sep 2020 Last Revised: 25 Sep 2020
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi and Alessandro Rebucci
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 37 (850,808)
Citation 1

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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

NBER Working Paper No. w27855
Number of pages: 39 Posted: 28 Sep 2020 Last Revised: 10 Feb 2023
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi and Alessandro Rebucci
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 36 (859,143)
Citation 1

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

Globalization Institute Working Paper No. 402
Number of pages: 39 Posted: 05 Oct 2020 Last Revised: 11 Jan 2022
Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi and Alessandro Rebucci
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 33 (885,626)
Citation 1

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

54.

Model Averaging in Risk Management with an Application to Futures Markets

CESifo Working Paper Series No. 2231, IEPR Working Paper No. 08.3
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 275 (214,047)
Citation 2

Abstract:

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

55.

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 274 (214,846)
Citation 36

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

56.

Firm Heterogeneity and Credit Risk Diversification

CESifo Working Paper Series No. 1531
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 273 (215,667)
Citation 6

Abstract:

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Risk management, correlated defaults, factor models, portfolio choice

57.

Forecasting Economic and Financial Variables with Global VARs

CESifo Working Paper Series No. 2263, IEPR Working Paper No. 08.2, FRB of New York Staff Report, No. 317, Wharton Financial Institutions Center Working Paper No. 08-05
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 258 (228,168)
Citation 11

Abstract:

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

58.

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 257 (229,014)
Citation 8

Abstract:

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

59.

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

Globalization and Monetary Policy Institute Working Paper No. 290
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 256 (229,908)
Citation 21

Abstract:

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60.

Exponent of Cross-Sectional Dependence: Estimation and Inference

Downloads 251 (234,340)
Citation 17

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 149 (375,949)

Abstract:

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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 102 (504,454)
Citation 22

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

61.

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 249 (236,178)
Citation 6

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Risk management, default dependence, economic interlinkages, portfolio choice

62.

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 246 (239,040)
Citation 4

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

63.

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 245 (240,019)
Citation 1

Abstract:

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Sign Prediction, Estimation Window, Structural Breaks

64.

Learning, Structural Instability and Present Value Calculations

Downloads 243 (241,936)
Citation 8

Learning, Structural Instability and Present Value Calculations

CESifo Working Paper Series No. 1650
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 138 (400,003)
Citation 2

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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 105 (493,845)
Citation 6

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present value, stock prices, structural breaks, Bayesian learning

65.

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

Downloads 242 (242,944)
Citation 21

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

IZA Discussion Paper No. 5889
Number of pages: 64 Posted: 08 Aug 2011 Last Revised: 18 Nov 2021
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 141 (393,224)
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
Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci and TengTeng Xu
Bank of England, University of Southern California - Department of Economics, Johns Hopkins University - Carey Business School and affiliation not provided to SSRN
Downloads 101 (508,029)
Citation 31

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66.

An Empirical Growth Model for Major Oil Exporters

Downloads 240 (244,986)
Citation 21

An Empirical Growth Model for Major Oil Exporters

CESifo Working Paper Series No. 3780
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 139 (397,639)
Citation 2

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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

IZA Discussion Paper No. 6468
Number of pages: 28 Posted: 14 Apr 2012 Last Revised: 18 Nov 2021
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 101 (508,029)
Citation 2

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

67.

Forecasting Random Walks Under Drift Instability

Downloads 240 (244,986)
Citation 3

Forecasting Random Walks Under Drift Instability

CESifo Working Paper Series No. 2293
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 123 (437,946)

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

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 117 (455,136)
Citation 5

Abstract:

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

68.

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 239 (246,005)
Citation 1

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Global VAR (GVAR), DSGE models, VARX

69.

Spatial and Temporal Diffusion of House Prices in the UK

Downloads 229 (256,310)
Citation 44

Spatial and Temporal Diffusion of House Prices in the UK

CESifo Working Paper Series No. 2913
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 155 (363,788)
Citation 6

Abstract:

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house prices, cross sectional dependence, spatial dependence

Spatial and Temporal Diffusion of House Prices in the UK

IZA Discussion Paper No. 4694
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 74 (618,353)
Citation 4

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house prices, cross sectional dependence, spatial dependence

70.

Lumpy Price Adjustments: A Microeconometric Analysis

Downloads 222 (263,930)
Citation 138

Lumpy Price Adjustments: A Microeconometric Analysis

IZA Discussion Paper No. 2793, CESifo Working Paper Series No. 2010, IEPR Working Paper No. 07.18
Number of pages: 64 Posted: 22 May 2007
Emmanuel Dhyne, Catherine Fuss, M. Hashem Pesaran and Patrick Sevestre
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 112 (470,673)

Abstract:

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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
Emmanuel Dhyne, Catherine Fuss, M. Hashem Pesaran and Patrick Sevestre
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 70 (638,070)
Citation 40

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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
Emmanuel Dhyne, Catherine Fuss, M. Hashem Pesaran and Patrick Sevestre
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 40 (826,679)
Citation 100

Abstract:

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

71.

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 222 (263,930)

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Government debt management, cost minimisation, recursive modelling

72.

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

Downloads 220 (266,245)
Citation 4

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 92 (540,988)
Citation 1

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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

CESifo Working Paper No. 7454
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 67 (653,670)
Citation 6

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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

Globalization Institute Working Paper No. 351
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 61 (686,468)

Abstract:

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

73.

Weak and Strong Cross Section Dependence and Estimation of Large Panels

Downloads 211 (276,689)
Citation 33

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 125 (432,395)
Citation 28

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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

CESifo Working Paper Series No. 2689
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 86 (565,033)
Citation 13

Abstract:

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

74.

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

Downloads 209 (279,174)

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

CESifo Working Paper Series No. 4822
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 129 (422,010)

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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 80 (590,792)

Abstract:

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

75.

Revisiting the Great Ratios Hypothesis

Downloads 202 (288,110)
Citation 2

Revisiting the Great Ratios Hypothesis

CESifo Working Paper No. 9625
Number of pages: 95 Posted: 22 Mar 2022
Alexander Chudik, M. Hashem Pesaran and Ron Smith
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Birkbeck College
Downloads 181 (317,591)

Abstract:

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great ratios, debt, consumption, and investment to GDP ratios, arbitrage conditions, heterogeneous panels, episodic cointegration, two-way long-run causality, error cross-sectional dependence

Revisiting the Great Ratios Hypothesis

Globalization Institute Working Paper No. 415
Number of pages: 95 Posted: 30 Mar 2022 Last Revised: 05 May 2023
Alexander Chudik, M. Hashem Pesaran and Ron Smith
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Birkbeck College
Downloads 21 (1,004,729)
Citation 2

Abstract:

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great ratios, heterogeneous panels, cointegration, two-way long-run causality, error cross-sectional dependence

76.

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

Downloads 202 (288,110)
Citation 3

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

CESifo Working Paper Series No. 4033
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 88 (556,824)

Abstract:

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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 84 (573,389)
Citation 5

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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

IZA Discussion Paper No. 7054
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 30 (912,985)

Abstract:

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

77.

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

CESifo Working Paper Series No. 3879
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 202 (288,110)
Citation 10

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

78.

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

Downloads 198 (293,291)
Citation 1

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

CESifo Working Paper Series No. 3609
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 139 (397,639)

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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

IZA Discussion Paper No. 6027
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 59 (697,998)
Citation 2

Abstract:

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

79.

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 197 (294,636)
Citation 11

Abstract:

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

80.

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

CESifo Working Paper Series No. 1924, IZA Discussion Paper No. 2634
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 190 (304,564)
Citation 2

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

81.

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 189 (306,008)
Citation 5

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

82.

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

Downloads 187 (308,901)
Citation 5

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

USC-INET Research Paper No. 18-08 (Revised)
Number of pages: 94 Posted: 16 Apr 2018 Last Revised: 11 Apr 2022
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
Downloads 147 (380,204)
Citation 3

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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

CESifo Working Paper No. 9343
Number of pages: 96 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 40 (826,679)
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

83.

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 184 (313,324)
Citation 4

Abstract:

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

84.

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 184 (313,324)
Citation 4

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85.

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 182 (316,499)
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

86.

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

Downloads 179 (321,223)

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 132 (414,435)

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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

CESifo Working Paper Series No. 6272
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 47 (774,411)

Abstract:

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

87.

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

Downloads 178 (322,831)
Citation 4

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

Number of pages: 102 Posted: 08 Sep 2022 Last Revised: 12 Apr 2023
Yimeng Xie and M. Hashem Pesaran
Xiamen University and University of Southern California - Department of Economics
Downloads 98 (518,605)
Citation 4

Abstract:

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Latent factor models, strong and weak factors, error cross-sectional dependence, spatial and network alternatives, size and power

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

CESifo Working Paper No. 9234
Number of pages: 87 Posted: 13 Aug 2021
M. Hashem Pesaran and Yimeng Xie
University of Southern California - Department of Economics and University of Southern California
Downloads 80 (590,792)
Citation 15

Abstract:

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88.

Detection of Units with Pervasive Effects in Large Panel Data Models

Downloads 177 (324,464)
Citation 6

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 114 (464,341)
Citation 6

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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

CESifo Working Paper No. 7401
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 63 (675,284)

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

89.

Factor Strengths, Pricing Errors, and Estimation of Risk Premia

CESifo Working Paper No. 8947
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 174 (329,482)

Abstract:

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90.

Large Panels with Common Factors and Spatial Correlations

IZA Discussion Paper No. 3032, CESifo Working Paper Series No. 2103, IEPR Working Paper No. 07.20
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 174 (329,482)
Citation 10

Abstract:

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

91.

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

Downloads 170 (336,329)
Citation 2

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 118 (452,148)
Citation 3

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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

CESifo Working Paper No. 7211
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 52 (740,709)
Citation 2

Abstract:

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

92.

Testing Weak Cross-Sectional Dependence in Large Panels

Downloads 170 (336,329)
Citation 98

Testing Weak Cross-Sectional Dependence in Large Panels

IZA Discussion Paper No. 6432
Number of pages: 25 Posted: 31 Mar 2012 Last Revised: 18 Nov 2021
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 105 (493,845)
Citation 65

Abstract:

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

Testing Weak Cross-Sectional Dependence in Large Panels

CESifo Working Paper Series No. 3800
Number of pages: 24 Posted: 03 May 2012
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 65 (664,244)
Citation 49

Abstract:

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

93.

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 170 (336,329)
Citation 78

Abstract:

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

94.

Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks

Downloads 168 (339,833)
Citation 38

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 156 (361,849)
Citation 7

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 (1,108,314)
Citation 4
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Abstract:

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Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks

95.

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

CESifo Working Paper Series No. 4232
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 166 (343,256)
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

96.

Infinite Dimensional VARs and Factor Models

Downloads 166 (343,256)

Infinite Dimensional VARs and Factor Models

IZA Discussion Paper No. 3206, CESifo Working Paper Series No. 2176, ECB Working Paper No. 998
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 166 (343,111)
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

97.

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

Downloads 165 (345,080)
Citation 14

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

CESifo Working Paper No. 2193
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
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Citation 10

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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

IZA Working Paper No. 3254
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
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Citation 14

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

98.

On Identification of Bayesian DSGE Models

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Citation 7

On Identification of Bayesian DSGE Models

CESifo Working Paper Series No. 3423
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 83 (577,648)
Citation 7

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

On Identification of Bayesian DSGE Models

IZA Discussion Paper No. 5638
Number of pages: 39 Posted: 18 Apr 2011 Last Revised: 18 Nov 2021
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 81 (586,425)
Citation 1

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

99.

To Pool or Not to Pool: Revisited

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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 109 (480,334)
Citation 3

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Short panel, Fixed effects estimator, Pooled estimator, Efficiency

To Pool or Not to Pool: Revisited

CESifo Working Paper Series No. 5410
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
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short panel, fixed effects estimator, pooled estimator, efficiency

100.

Tests of Policy Ineffectiveness in Macroeconometrics

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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 85 (569,260)

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Counterfactuals, policy analysis, policy ineffectiveness test, macroeconomics

Tests of Policy Ineffectiveness in Macroeconometrics

CESifo Working Paper Series No. 4871
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 71 (633,139)

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counterfactuals, policy analysis, policy ineffectiveness test, macroeconomics

101.

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

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Citation 36

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

CESifo Working Paper Series No. 3055
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 101 (508,029)
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
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IVAR Models, Dominant Units, Large Panels, Weak and Strong Cross Section Dependence, Factor Models

102.

Climate change and economic activity: Evidence from US states

Number of pages: 20 Posted: 30 Jan 2022
Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi and Jui-Chung Yang
University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Taiwan University, Taiwan
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Climate change, economic growth, adaptation, United States.

103.

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

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Citation 35

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
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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 67 (653,670)
Citation 9

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spatial and factor dependence, spatiotemporal models, house price changes

104.

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
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Citation 30