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 Cambridge - Trinity College (Cambridge)

Fellow

United Kingdom

SCHOLARLY PAPERS

142

DOWNLOADS
Rank 797

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Top 797

in Total Papers Downloads

31,591

SSRN CITATIONS
Rank 111

SSRN RANKINGS

Top 111

in Total Papers Citations

898

CROSSREF CITATIONS

3,613

Scholarly Papers (142)

1.

General Diagnostic Tests for Cross Section Dependence in Panels

Number of pages: 41 Posted: 04 Aug 2004
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 1,541 (12,406)
Citation 11

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2.

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 1,190 (18,571)

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

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 751 (35,392)

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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 182 (180,815)

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

4.

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Number of pages: 70 Posted: 21 Aug 2003
University of Southern California - Department of Economics, Oliver Wyman , Mercer Oliver Wyman and Alliance Capital Management
Downloads 925 (26,871)
Citation 5

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Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation

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

CAFE Research Paper No. 13.23
Number of pages: 68 Posted: 21 Nov 2013
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 809 (31,978)

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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
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 109 (273,617)

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

6.

Random Coefficient Panel Data Models

Number of pages: 40 Posted: 06 Aug 2004
Cheng Hsiao and M. Hashem Pesaran
University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 810 (32,432)
Citation 4

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

7.

Macroeconomics and Credit Risk: A Global Perspective

Journal of Money, Credit, and Banking, Forthcoming, Wharton Financial Institutions Center Working Paper No. 03-13
Number of pages: 60 Posted: 17 May 2003
University of Southern California - Department of Economics, Mercer Oliver Wyman, Oliver Wyman and Alliance Capital Management
Downloads 786 (33,741)
Citation 13

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Risk management, economic interlinkages, loss forecasting, default correlation

8.

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

IZA Discussion Paper No. 6618
Number of pages: 28 Posted: 16 Jun 2012
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 735 (36,991)
Citation 1

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

9.
Downloads 694 ( 39,975)
Citation 102

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 659 (42,245)
Citation 6

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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 35 (494,525)

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

10.
Downloads 622 ( 46,287)
Citation 8

Testing CAPM with a Large Number of Assets

AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 13 Mar 2012
M. Hashem Pesaran and Takashi Yamagata
University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 454 (68,179)
Citation 13

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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 168 (194,018)

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

11.

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

Number of pages: 65 Posted: 28 Jan 2001
M. Hashem Pesaran, Michael Binder and Cheng Hsiao
University of Southern California - Department of Economics, University of Maryland - Department of Economics and University of Southern California - Department of Economics
Downloads 576 (51,268)
Citation 5

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Panel vector autoregressions, fixed effects, unit roots, cointegration

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 498 (60,741)

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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 (545,268)
Citation 2
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Model averaging, value-at-risk, decision-based evaluations

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

USC-INET Research Paper No. 16-21
Number of pages: 28 Posted: 11 Jul 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 268 (124,093)
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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 138 (228,790)
Citation 1

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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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 63 (383,445)

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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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 24 (558,453)
Citation 4

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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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 21 (579,082)

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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 254 (131,319)

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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 240 (139,072)
Citation 6

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Asset allocation, Large Porftolios, Factor models, Diversification

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 347 (93,626)
Citation 23

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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 130 (240,010)

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

16.
Downloads 464 ( 67,029)
Citation 11

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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 257 (129,763)
Citation 5

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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
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 207 (160,513)

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

Oil Exports and the Iranian Economy

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 - Faculty of Economics and Politics 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

17.
Downloads 440 ( 71,485)
Citation 15

Real Time Econometrics

Number of pages: 22 Posted: 22 Apr 2004
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 422 (74,524)

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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 (600,318)
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Specification search, data snooping, recursive/sequential modelling, automated model selection

18.
Downloads 429 ( 73,714)
Citation 26

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 237 (140,842)
Citation 1

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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 150 (213,816)

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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 42 (461,844)

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

19.

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 423 (74,973)
Citation 8

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

20.

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
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 415 (76,742)
Citation 24

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Global VaR (GVaR), Global interdependencies, global macroeconomic

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 212 (156,906)
Citation 1

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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 96 (298,580)

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

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 41 (466,355)

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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

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 40 (470,911)
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

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 11 (652,266)

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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
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 2 (727,941)

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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
Downloads 0
Citation 3
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Business cycle, Common Factors, identification, Multi-Country, Real and Financial Global Shocks, uncertainty, Volatility.

22.

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 395 (81,209)
Citation 231

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

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 367 (87,788)
Citation 5

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

Forecasting Time Series Subject to Multiple Structural Breaks

Number of pages: 42 Posted: 17 Nov 2004
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 20 (585,994)
Citation 10
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Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

24.

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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 375 (86,305)

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

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 217 (153,495)

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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 157 (205,664)
Citation 1

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

26.
Downloads 372 ( 87,086)
Citation 26

Is There a Debt-Threshold Effect on Output Growth?

USC-INET Research Paper No. 15-18
Number of pages: 54 Posted: 08 Jul 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 167 (195,034)
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
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 109 (273,617)
Citation 2

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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
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 58 (399,935)

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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
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 38 (480,012)
Citation 6

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27.

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 360 (90,438)
Citation 4

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Contagion, Inter-dependence, Identification, Financial Crises

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

Johns Hopkins Carey Business School Research Paper No. 20-03
Number of pages: 37 Posted: 17 Apr 2020 Last Revised: 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 339 (96,121)
Citation 1

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

29.

Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions

IMF Working Paper No. 99/128
Number of pages: 37 Posted: 27 Apr 2001
Nadeem Ul Haque, M. Hashem Pesaran and Sunil Sharma
Pakistan Institute of Development Economics, University of Southern California - Department of Economics and George Washington University - Elliott School of International Affairs
Downloads 353 (92,508)
Citation 4

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Saving Behavior, OECD, Cross-Country Studies, Panel Data Models, Slope Heterogeneity, Dynamics, Ricardian Effect

30.

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 350 (93,405)
Citation 3

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

31.
Downloads 348 ( 94,024)
Citation 13

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 275 (120,789)
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 73 (353,690)

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

32.
Downloads 343 ( 95,538)
Citation 2

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 176 (186,263)

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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 93 (304,821)
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 74 (350,982)

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33.

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

Wharton Financial Institutions Center Working Paper No. 01-38
Number of pages: 56 Posted: 14 Dec 2001
M. Hashem Pesaran, Scott M. Weiner and Til Schuermann
University of Southern California - Department of Economics, Alliance Capital Management and Oliver Wyman
Downloads 332 (99,042)
Citation 103

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Economic interlinkages, global macroeconometric modeling, risk management

34.
Downloads 322 (102,519)
Citation 11

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 267 (124,591)

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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
M. Hashem Pesaran, Björn-Jakob Treutler and Til Schuermann
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 55 (410,579)

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

USC-INET Research Paper No. 19-13
Number of pages: 57 Posted: 29 Jul 2019
University of Southern California, University of Cambridge - Faculty of Economics and Politics, affiliation not provided to SSRN, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Asia and Pacific Department and Department of Economics, National Tsing Hua University
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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: 23 Aug 2019
University of Southern California, University of Cambridge - Faculty of Economics and Politics, Faculty of Economics and Girton College, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Asia and Pacific Department and Department of Economics, National Tsing Hua University
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Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis

CAMA Working Paper No. 49/2019
Number of pages: 58 Posted: 09 Jul 2019
University of Southern California, University of Cambridge - Faculty of Economics and Politics, Faculty of Economics and Girton College, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Asia and Pacific Department and Department of Economics, National Tsing Hua University
Downloads 61 (389,821)

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climate change, economic growth, adaptation, counterfactual analysis

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
University of Southern California, University of Cambridge - Faculty of Economics and Politics, University of Cambridge - Faculty of Economics, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Asia and Pacific Department and Department of Economics, National Tsing Hua University
Downloads 21 (579,082)

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Climate change, economic growth, adaptation, counterfactual analysis

36.

Scope for Credit Risk Diversification

IEPR Working Paper No. 05.18
Number of pages: 63 Posted: 14 Mar 2005
M. Hashem Pesaran, Samuel Gregory Hanson and Til Schuermann
University of Southern California - Department of Economics, Harvard University - Business School (HBS) and Oliver Wyman
Downloads 310 (106,786)

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

37.

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 307 (107,998)
Citation 7

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cross-section dependence, nonlinear panel data model

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 206 (161,196)
Citation 2

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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 37 (484,794)

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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
Kazuhiko Hayakawa and M. Hashem Pesaran
Hiroshima University and University of Southern California - Department of Economics
Downloads 28 (532,859)

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

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 137 (230,090)
Citation 4

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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

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 127 (244,303)

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

40.

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 260 (128,854)

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

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 242 (138,492)

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

42.

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 241 (139,010)
Citation 2

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

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

USC-INET Research Paper No. 15-14
Number of pages: 47 Posted: 22 May 2015
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 117 (260,022)
Citation 1

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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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 81 (332,731)
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

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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 37 (484,794)
Citation 1

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44.
Downloads 234 (143,092)
Citation 22

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 203 (163,472)
Citation 1

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Global VAR (GVAR), DSGE models, VARX

Macroeconometric Modelling with a Global Perspective

Manchester School, Vol. 74, No. S1, pp. 24-49, September 2006
Number of pages: 26 Posted: 17 Aug 2006
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 31 (515,411)
Citation 1
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45.

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 233 (143,694)

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

46.

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 233 (143,694)
Citation 25

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house price, cross sectional dependence, spatial dependence

47.
Downloads 226 (148,023)
Citation 7

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 187 (176,419)
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
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 39 (475,468)
Citation 1

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macroeconometric models, DSGE, VARs, long run theory

48.

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 226 (148,023)
Citation 5

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Risk management, correlated defaults, factor models, portfolio choice

49.

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 214 (155,841)
Citation 1

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Sign Prediction, Estimation Window, Structural Breaks

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 181 (181,716)
Citation 12

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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 29 (526,866)

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

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 164 (198,094)
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 42 (461,844)
Citation 3

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

52.

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 202 (164,411)
Citation 1

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

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 150 (213,816)

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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 50 (429,029)
Citation 1

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

54.

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

Number of pages: 54 Posted: 11 Jun 2005
M. Hashem Pesaran, Björn-Jakob Treutler and Til Schuermann
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 200 (165,981)
Citation 5

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Risk management, default dependence, economic interlinkages, portfolio choice

55.

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 193 (171,547)

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Government debt management, cost minimisation, recursive modelling

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

USC-INET Research Paper No. 15-05
Number of pages: 47 Posted: 22 Jan 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 98 (294,552)
Citation 2

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

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
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 92 (306,982)
Citation 2

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57.
Downloads 187 (176,524)
Citation 17

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 - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 106 (279,069)
Citation 1

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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
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Faculty of Economics and Politics and University of Southern California - Department of Economics
Downloads 81 (332,731)

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

58.

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 185 (178,194)
Citation 4

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

59.

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 185 (178,194)
Citation 6

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

60.

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 171 (190,967)

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

61.

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 163 (198,914)
Citation 16

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

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 112 (268,307)

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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 50 (429,029)
Citation 8

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present value, stock prices, structural breaks, Bayesian learning

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 102 (286,772)
Citation 3

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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 55 (410,579)
Citation 5

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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

The Econometrics Journal, Vol. 14, Issue 1, pp. C45-C90, 2011
Number of pages: 46 Posted: 28 Feb 2011
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 1 (742,116)
Citation 18
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Common correlated effects (CCE) estimator, Panels, Strong and weak cross-section dependence, Weak and strong factors

64.

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 154 (208,787)
Citation 4

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

65.

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 152 (211,027)
Citation 4

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

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 137 (230,090)

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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 (644,685)
Citation 5
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Autoregression, MSFE, rolling window estimator, small sample properties of forecasts and structural breaks

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 87 (318,196)
Citation 3

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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 60 (393,129)

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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

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 71 (359,323)

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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 59 (396,518)
Citation 1

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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 17 (607,445)

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

69.

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 147 (216,863)
Citation 9

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

70.

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 146 (218,118)

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

Exponent of Cross-Sectional Dependence: Estimation and Inference

CESifo Working Paper Series No. 3722
Number of pages: 46 Posted: 05 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 114 (264,856)

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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 31 (515,411)
Citation 6

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

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 91 (309,080)

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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 53 (417,756)

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

73.
Downloads 142 (223,026)
Citation 3

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 142 (223,553)
Citation 3

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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

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

74.

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 142 (223,026)
Citation 1

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

75.

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

Number of pages: 60 Posted: 28 Nov 2004
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 141 (224,253)
Citation 56

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

76.

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 140 (225,544)
Citation 4

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77.
Downloads 140 (225,544)
Citation 3

Forecasting Random Walks under Drift Instability

IEPR Working Paper No. 08.6
Number of pages: 39 Posted: 27 Mar 2008
M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 80 (335,227)
Citation 5

Abstract:

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

Forecasting Random Walks Under Drift Instability

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 60 (393,129)

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

78.

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 139 (226,836)
Citation 2

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79.

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 138 (228,186)
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

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 90 (311,275)
Citation 3

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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 47 (440,851)
Citation 4

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house prices, cross sectional dependence, spatial dependence

81.
Downloads 132 (236,406)
Citation 137

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
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 89 (313,528)

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

Lumpy Price Adjustments: A Microeconometric Analysis

Banque de France Working Paper No. NER - R 185
Number of pages: 69 Posted: 08 Oct 2010
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 25 (551,851)
Citation 39

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

Lumpy Price Adjustments: A Microeconometric Analysis

National Bank of Belgium Working Paper No. 100
Number of pages: 75 Posted: 09 Oct 2010
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 18 (600,318)
Citation 100

Abstract:

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

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

IZA Discussion Paper No. 5889
Number of pages: 64 Posted: 08 Aug 2011
M. Hashem Pesaran, Alessandro Rebucci and TengTeng Xu
University of Southern California - Department of Economics, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 69 (365,101)

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

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

IDB Working Paper No. IDB-WP-266
Number of pages: 67 Posted: 14 Dec 2011
Bank of England, University of Southern California - Department of Economics, Johns Hopkins University - Carey Business School and affiliation not provided to SSRN
Downloads 59 (396,518)
Citation 21

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83.

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 125 (246,341)
Citation 19

Abstract:

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

84.

Panels with Nonstationary Multifactor Error Structures

IZA Discussion Paper No. 2243, CESifo Working Paper Series No. 1788, IEPR Working Paper No. 06.62
Number of pages: 34 Posted: 17 Aug 2006
George Kapetanios, M. Hashem Pesaran and Takashi Yamagata
King's College, London, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 124 (247,817)
Citation 2

Abstract:

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

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 94 (302,708)

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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 29 (526,866)

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

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 97 (296,522)

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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 25 (551,851)

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

87.
Downloads 120 (254,109)
Citation 23

On Identification of Bayesian DSGE Models

IZA Discussion Paper No. 5638
Number of pages: 39 Posted: 18 Apr 2011
Gary Koop, M. Hashem Pesaran and Ron Smith
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Southern California - Department of Economics and Birkbeck College
Downloads 60 (393,129)

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

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 60 (393,129)
Citation 4

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

88.
Downloads 116 (260,444)
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 79 (337,757)
Citation 3

Abstract:

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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
Downloads 36 (489,629)

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short panel, fixed effects estimator, pooled estimator, efficiency

To Pool or Not to Pool: Revisited

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 2, pp. 185-217, 2018
Number of pages: 33 Posted: 26 Feb 2018
M. Hashem Pesaran and Qiankun Zhou
University of Southern California - Department of Economics and Louisiana State University, Baton Rouge - Department of Economics
Downloads 1 (742,116)
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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
Downloads 85 (322,868)

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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
Downloads 31 (515,411)
Citation 5

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

90.
Downloads 115 (262,012)
Citation 39

Testing Weak Cross-Sectional Dependence in Large Panels

IZA Discussion Paper No. 6432
Number of pages: 25 Posted: 31 Mar 2012
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 74 (350,982)
Citation 30

Abstract:

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

Testing Weak Cross-Sectional Dependence in Large Panels

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 41 (466,355)
Citation 2

Abstract:

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

91.

A VECX* Model of the Swiss Economy

IEPR Working Paper No. 08.5, CESifo Working Paper Series No. 2281
Number of pages: 62 Posted: 27 Mar 2008
Katrin Assenmacher and M. Hashem Pesaran
Swiss National Bank and University of Southern California - Department of Economics
Downloads 113 (265,306)

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Long-run structural vector autoregression

92.

Testing Dependence Among Serially Correlated Multi-Category Variables

IZA Discussion Paper No. 2196, CESifo Working Paper Series No. 1770, IEPR Working Paper No. 06.61
Number of pages: 46 Posted: 25 Jul 2006
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 109 (272,170)
Citation 4

Abstract:

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contingency tables, canonical correlations, serial dependence, tests of

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 73 (353,690)
Citation 2

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

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

ECB Working Paper No. 1194
Number of pages: 47 Posted: 26 May 2010
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 33 (504,822)

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

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 58 (399,935)

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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 46 (444,871)

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counterfactuals, policy analysis, policy ineffectiveness test, macroeconomics

95.

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

CESifo Working Paper Series No. 1704
Number of pages: 21 Posted: 11 May 2006
M. Hashem Pesaran, Ron Smith, Takashi Yamagata and Liudmyla Hvozdyk
University of Southern California - Department of Economics, Birkbeck College, University of Cambridge - Faculty of Economics and Politics and Ludwig Maximilian University of Munich (LMU) - Munich Graduate School of Economics (MGSE)
Downloads 104 (281,215)
Citation 1

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

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

CAFE Research Paper No. 14.01
Number of pages: 35 Posted: 07 Jan 2014
Natalia Bailey, Sean Holly and M. Hashem Pesaran
Monash University, University of Cambridge - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 54 (414,105)

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Spatial and factor dependence, spatiotemporal models, house price changes

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

CESifo Working Paper Series No. 4592
Number of pages: 35 Posted: 11 Feb 2014
Natalia Bailey, Sean Holly and M. Hashem Pesaran
Monash University, University of Cambridge - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 49 (432,906)
Citation 5

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spatial and factor dependence, spatiotemporal models, house price changes

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 76 (345,521)
Citation 2

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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 26 (545,268)
Citation 1

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

Signs of Impact Effects in Time Series Regression Models

CAFE Research Paper No. 13.22
Number of pages: 9 Posted: 10 Oct 2013
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 51 (425,242)

Abstract:

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Regression coefficients, Impact effects

Signs of Impact Effects in Time Series Regression Models

CESifo Working Paper Series No. 4433
Number of pages: 10 Posted: 25 Oct 2013
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 49 (432,906)
Citation 1

Abstract:

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regression coefficients, impact effects

99.

Econometric Analysis of Structural Systems with Permanent and Transitory Shocks

UNSW Australian School of Business Research Paper No. 2008 ECON 04
Number of pages: 26 Posted: 27 Aug 2008
Adrian Pagan and M. Hashem Pesaran
Australian National University (ANU) - Research School of Social Sciences (RSSS) and University of Southern California - Department of Economics
Downloads 100 (288,690)
Citation 30

Abstract:

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Permanent shocks, structural identification, error correction

100.

Optimal Forecasts in the Presence of Structural Breaks

De Nederlandsche Bank Working Paper No. 327
Number of pages: 55 Posted: 27 Dec 2011
M. Hashem Pesaran, Andreas Pick and Mikhail Pranovich
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of Cambridge
Downloads 86 (317,784)
Citation 9

Abstract:

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

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 - Faculty of Economics and Politics
Downloads 48 (436,791)

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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 - Faculty of Economics and Politics
Downloads 26 (545,268)

Abstract:

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

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

Globalization and Monetary Policy 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 - Faculty of Economics and Politics
Downloads 7 (683,077)

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

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 54 (414,105)

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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 26 (545,268)

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

103.

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

CAFE Research Paper No. 14.05
Number of pages: 46 Posted: 29 May 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Monash University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
Downloads 77 (339,481)
Citation 2

Abstract:

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

104.
Downloads 77 (339,481)
Citation 20

Aggregation in Large Dynamic Panels

IZA Discussion Paper No. 5478
Number of pages: 56 Posted: 21 Feb 2011
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 50 (429,029)
Citation 2

Abstract:

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

Aggregation in Large Dynamic Panels

CESifo Working Paper Series No. 3346
Number of pages: 55 Posted: 20 Feb 2011
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 27 (538,935)

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

105.

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

Globalization and Monetary Policy Institute Working Paper No. 281
Number of pages: 70 Posted: 08 Sep 2016
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 75 (344,658)

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Variable Selection and Inference for Multi-Period Forecasting Problems

CESifo Working Paper Series No. 2543
Number of pages: 40 Posted: 11 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 73 (353,690)

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Variable Selection and Inference for Multi-Period Forecasting Problems

CEPR Discussion Paper No. DP7139
Number of pages: 38 Posted: 18 Feb 2009
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 2 (727,941)
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factor-augmented VAR, forecast horizon, macroeconomic forecasting

107.

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

USC-INET Research Paper No. 18-08 (Revised)
Number of pages: 67 Posted: 16 Apr 2018 Last Revised: 19 Jun 2020
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
Downloads 70 (358,057)
Citation 1

Abstract:

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endogenous location choice, interstate migration, spatiotemporal equilibrium, land-use deregulation, counterfactual exercise, population allocation

108.

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

CESifo Working Paper Series No. 2857
Number of pages: 54 Posted: 03 Dec 2009
M. Hashem Pesaran and Paolo Zaffaroni
University of Southern California - Department of Economics and Imperial College Business School
Downloads 65 (372,338)

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

109.

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

De Nederlandsche Bank Working Paper No. 250
Number of pages: 39 Posted: 24 Oct 2011
M. Hashem Pesaran, Andreas Pick and Allan Timmermann
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and UCSD
Downloads 64 (375,312)
Citation 12

Abstract:

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

110.

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

Number of pages: 92 Posted: 12 Feb 2020
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 57 (397,519)

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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

111.
Downloads 55 (404,312)
Citation 1

Exponent of Cross-Sectional Dependence for Residuals

USC-INET Research Paper No. 19-01
Number of pages: 58 Posted: 11 Oct 2018
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 32 (510,171)

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

Exponent of Cross-Sectional Dependence for Residuals

CESifo Working Paper No. 7223
Number of pages: 54 Posted: 31 Oct 2018
Natalia Bailey, M. Hashem Pesaran and George Kapetanios
Monash University, University of Southern California - Department of Economics and Bank of England
Downloads 23 (565,298)
Citation 1

Abstract:

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

112.

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

CESifo Working Paper Series No. 2116, IZA Discussion Paper No. 3071
Number of pages: 58 Posted: 16 Oct 2007
Katrin Assenmacher and M. Hashem Pesaran
Swiss National Bank and University of Southern California - Department of Economics
Downloads 52 (414,643)
Citation 2

Abstract:

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

Estimation and Inference in Spatial Models with Dominant Units

USC-INET Research Paper No. 19-06
Number of pages: 172 Posted: 13 Mar 2019 Last Revised: 23 Jun 2020
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 30 (521,136)

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

Estimation and Inference in Spatial Models with Dominant Units

CESifo Working Paper No. 7563
Number of pages: 174 Posted: 23 Jan 2020
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 17 (607,445)

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

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

USC-INET Research Paper No. 17-26
Number of pages: 74 Posted: 27 Sep 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 40 (470,911)
Citation 1

Abstract:

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

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

Globalization and Monetary Policy Institute Working Paper No. 327
Number of pages: 73 Posted: 15 Nov 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 7 (683,077)

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115.

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

CESifo Working Paper No. 7919
Number of pages: 44 Posted: 27 Nov 2019
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 46 (436,745)

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

116.

A Multi-Country Approach to Forecasting Output Growth Using PMIs

CAFE Research Paper No. 15.01
Number of pages: 59 Posted: 14 Jan 2015
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Global VARs, High-dimensional VARs, Augmented GVAR, Forecasting, Nowcasting, Data-rich methods, GDP and PMIs

117.

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

IMF Working Paper No. 19/215
Number of pages: 60 Posted: 08 Nov 2019
Johns Hopkins University - Carey Business School, University of Cambridge - Faculty of Economics and Politics, Faculty of Economics and Girton College, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Asia and Pacific Department and Department of Economics, National Tsing Hua University
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Greenhouse gas emissions, Economic growth, Real sector, Economic cooperation, Economic indicators, Climate change, adaptation, counterfactual analysis., WP, historical norm, climate variable, labour productivity, move average, long-run

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

USC-INET Research Paper No. 17-34
Number of pages: 24 Posted: 28 Nov 2017
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
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Bayesian identification, multicollinear regressions, weakly identified regression coefficients, highly collinear regressors

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

CESifo Working Paper Series No. 6785
Number of pages: 25 Posted: 08 Feb 2018
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
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Bayesian Identification, Multicollinear Regressions, Weakly Identified Regression Coefficients, Highly Collinear Regressors

119.

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

USC-INET Research Paper No. 18-04 (Revised)
Number of pages: 187 Posted: 31 Jan 2017 Last Revised: 10 Feb 2018
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Department of Economics, National Tsing Hua University
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Panel Data Models, Weakly Exogenous Regressors, Lagged Dependent Variable, Fixed Effects, Time Effects, Unbalanced Panels, Half-Panel Jackknife, Bias Correction

120.

Econometric Analysis of Production Networks with Dominant Units

CESifo Working Paper Series No. 6141
Number of pages: 61 Posted: 30 Nov 2016
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
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aggregate fluctuations, strongly and weakly dominant units, spatial models, outdegrees, degree of pervasiveness, power law, input-output tables, US economy

121.

A Multi-Country Approach to Forecasting Output Growth Using PMIS

CESifo Working Paper Series No. 5100
Number of pages: 59 Posted: 19 Dec 2014
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Citation 1

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

122.

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

CAFE Research Paper No. 13.14
Number of pages: 62 Posted: 27 Aug 2013
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Large panels, lagged dependent variable, cross sectional dependence, coefficient heterogeneity, estimation and inference, common correlated effects, unobserved common factors

123.

A Multi-Country Approach to Forecasting Output Growth Using PMIs

USC-INET Research Paper No. 14-05
Number of pages: 59 Posted: 24 Nov 2014
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Global VARs, High-dimensional VARs, Augmented GVAR, Forecasting, Nowcasting, Data-rich methods, GDP, PMIs

124.

Measurement of Factor Strenght: Theory and Practice

CESifo Working Paper No. 8146
Number of pages: 94 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
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factor models, factor strength, measures of pervasiveness, cross-sectional dependence, market factor

125.

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

CESifo Working Paper Series No. 7007
Number of pages: 105 Posted: 09 Jul 2018
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
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house price dispersion, endogenous location choice, interstate migration, land-use restriction, spatial equilibrium

126.
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Citation 38

Structural Analysis of Cointegrating Vars

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

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 471-505, 1998
Number of pages: 35 Posted: 13 Sep 2012
Ron Smith and M. Hashem Pesaran
Birkbeck College and University of Southern California - Department of Economics
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Citation 5
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Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators

USC-INET Research Paper No. 18-22
Number of pages: 15 Posted: 04 Dec 2018
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Mean Group Estimator, Cross Sectional Dependence, Spatial Models, Panel Data

Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators

Globalization and Monetary Policy Institute Working Paper No. 349
Number of pages: 15 Posted: 27 Nov 2018 Last Revised: 29 Apr 2020
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Mean Group Estimator, Cross-Sectional Dependence, Spatial Models, Panel Data

128.

A Bayesian Analysis of Linear Regression Models with Highly Collinear Regressors

USC-INET Research Paper No. 18-17 (Revised)
Number of pages: 30 Posted: 11 Oct 2018
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 24 (541,763)
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Bayesian Identification, Multicollinear Regressions, Weakly Identified Regression Coefficients, Highly Collinear Regressors.

129.

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

CESifo Working Paper Series No. 6688
Number of pages: 75 Posted: 17 Nov 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Short-T Dynamic Panels, GMM, Weak Instrument Problem, Quadratic Moment Conditions, Panel VARs, Monte Carlo Evidence

130.

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

CESifo Working Paper Series No. 4834
Number of pages: 46 Posted: 03 Jul 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Monash University, University of Southern California - Department of Economics and University of York - Department of Economics and Related Studies
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sparse correlation matrices, high-dimensional data, multiple testing, thresholding, shrinkage

131.

Learning, Structural Instability and Present Value Calculations

Bundesbank Series 1 Discussion Paper No. 2006,27
Number of pages: 56 Posted: 08 Jun 2016
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
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present value, stock prices, structural breaks, Bayesian learning

132.

The Cost Effectiveness of the Uk's Sovereign Debt Portfolio

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 4, pp. 467-495, August 2005
Number of pages: 29 Posted: 03 Aug 2005
Patrick Coe, M. Hashem Pesaran and Shaun Vahey
Carleton University - Department of Economics, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
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133.

A Bias-Adjusted LM Test of Error Cross-Section Independence

Econometrics Journal, Vol. 11, Issue 1, pp. 105-127, February 2008
Number of pages: 23 Posted: 29 Feb 2008
M. Hashem Pesaran, Aman Ullah and Takashi Yamagata
University of Southern California - Department of Economics, University of California, Riverside (UCR) - Department of Economics and University of Cambridge - Faculty of Economics and Politics
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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: 04 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
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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
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COVID-19, employment loss, Epidemics, exposed population, Measurement error, self-isolation, SIR model, social distancing

135.

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

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 253-277, 2012
Number of pages: 25 Posted: 10 Feb 2012
Cheng Hsiao, M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics, University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
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136.

Constructing Multi‐Country Rational Expectations Models

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 6, pp. 812-840, 2014
Number of pages: 29 Posted: 28 Oct 2014
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
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Citation 1
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137.

Tests of Policy Interventions in DSGE Models

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 3, pp. 457-484, 2018
Number of pages: 28 Posted: 08 May 2018
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
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138.

Theory and Practice of GVAR Modelling

Journal of Economic Surveys, Vol. 30, Issue 1, pp. 165-197, 2016
Number of pages: 33 Posted: 06 Jan 2016
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
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Citation 4
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Global VAR, Global macroeconometric modelling, Global interdependencies, Policy simulations

139.

A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence

Journal of Applied Econometrics, 9, pp. S95-S112, 1994
Posted: 23 Sep 2009 Last Revised: 01 May 2012
Carlo A. Favero, M. Hashem Pesaran and Sunil Sharma
Bocconi University - Department of Finance, University of Southern California - Department of Economics and George Washington University - Elliott School of International Affairs

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140.

A Recursive Modelling Approach to Predicting UK Stock Returns

Posted: 31 Jul 2000
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD

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141.

Life and Work of John Richard Nicholas Stone 1913-1991

Posted: 30 Jul 2000
M. Hashem Pesaran and G. C. Harcourt
University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics

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142.

Predictability of Stock Returns: Robustness and Economic Significance

JOURNAL OF FINANCE, Vol. 50 No. 4, September 1995
Posted: 24 Aug 1998
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD

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