M. Hashem Pesaran

University of Southern California - Department of Economics

3620 South Vermont Ave. Kaprielian (KAP) Hall 300

Los Angeles, CA 90089

United States

SCHOLARLY PAPERS

155

DOWNLOADS
Rank 992

SSRN RANKINGS

Top 992

in Total Papers Downloads

36,513

SSRN CITATIONS
Rank 155

SSRN RANKINGS

Top 155

in Total Papers Citations

1,528

CROSSREF CITATIONS

2,650

Scholarly Papers (155)

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 1,666 (14,935)
Citation 13

Abstract:

Loading...

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 1,233 (23,518)
Citation 1

Abstract:

Loading...

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

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

CAFE Research Paper No. 13.23
Number of pages: 68 Posted: 21 Nov 2013
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 994 (31,605)

Abstract:

Loading...

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 - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 165 (247,812)

Abstract:

Loading...

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

Predictability of Asset Returns and the Efficient Market Hypothesis

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 907 (35,989)

Abstract:

Loading...

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 188 (221,314)

Abstract:

Loading...

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

5.

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Number of pages: 70 Posted: 21 Aug 2003
University of Southern California - Department of Economics, Oliver Wyman, Mercer Oliver Wyman and Alliance Capital Management
Downloads 954 (34,012)
Citation 9

Abstract:

Loading...

Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation

6.

Random Coefficient Panel Data Models

Number of pages: 40 Posted: 06 Aug 2004
Cheng Hsiao and M. Hashem Pesaran
University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 904 (36,671)
Citation 12

Abstract:

Loading...

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 818 (42,164)
Citation 14

Abstract:

Loading...

Risk management, economic interlinkages, loss forecasting, default correlation

8.
Downloads 756 ( 46,798)
Citation 9

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 713 (49,908)
Citation 11

Abstract:

Loading...

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 43 (563,603)

Abstract:

Loading...

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

9.

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 754 (46,987)
Citation 2

Abstract:

Loading...

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

10.
Downloads 749 ( 47,400)
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 567 (67,141)
Citation 16

Abstract:

Loading...

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 182 (227,703)

Abstract:

Loading...

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

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 464 (86,304)
Citation 29

Abstract:

Loading...

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 179 (232,213)
Citation 6

Abstract:

Loading...

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

12.

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 596 (63,771)
Citation 7

Abstract:

Loading...

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 515 (75,752)

Abstract:

Loading...

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 (669,086)
Citation 2
  • Add to Cart

Abstract:

Loading...

Model averaging, value-at-risk, decision-based evaluations

14.

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

CESifo Working Paper Series No. 4118
Number of pages: 39 Posted: 22 Feb 2013
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 535 (73,041)

Abstract:

Loading...

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

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

USC-INET Research Paper No. 16-21
Number of pages: 28 Posted: 11 Jul 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 279 (151,473)
Citation 2

Abstract:

Loading...

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

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

CAMA Working Paper No. 56/2016
Number of pages: 29 Posted: 08 Sep 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 140 (283,583)
Citation 2

Abstract:

Loading...

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

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

CESifo Working Paper Series No. 5992
Number of pages: 28 Posted: 12 Aug 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 64 (470,506)

Abstract:

Loading...

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

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

IMF Working Paper No. 16/210
Number of pages: 29 Posted: 05 Sep 2017
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 25 (676,607)
Citation 10

Abstract:

Loading...

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

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

Globalization and Monetary Policy Institute Working Paper No. 277
Number of pages: 27 Posted: 27 Jul 2016
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 22 (700,639)

Abstract:

Loading...

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 267 (158,456)

Abstract:

Loading...

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 249 (169,867)
Citation 8

Abstract:

Loading...

Asset allocation, Large Porftolios, Factor models, Diversification

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

Johns Hopkins Carey Business School Research Paper No. 20-03
Number of pages: 58 Posted: 17 Apr 2020 Last Revised: 24 Mar 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 429 (94,320)
Citation 3

Abstract:

Loading...

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

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

NBER Working Paper No. w28629
Number of pages: 59 Posted: 05 Apr 2021 Last Revised: 24 Mar 2022
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 30 (640,338)

Abstract:

Loading...

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

CESifo Working Paper No. 8243
Number of pages: 38 Posted: 28 Apr 2020
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 25 (676,607)

Abstract:

Loading...

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

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

NBER Working Paper No. w27039
Number of pages: 37 Posted: 28 Apr 2020 Last Revised: 20 May 2022
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 12 (790,008)

Abstract:

Loading...

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

Globalization and Monetary Policy Institute Working Paper No. 382
Number of pages: 37 Posted: 29 Apr 2020
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 8 (830,170)

Abstract:

Loading...

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

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

Globalization Institute Working Paper No. 407
Number of pages: 59 Posted: 14 May 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 7 (840,821)

Abstract:

Loading...

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

CEPR Discussion Paper No. DP14646
Number of pages: 40 Posted: 08 May 2020
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 0
Citation 10
  • Add to Cart

Abstract:

Loading...

COVID-19, employment loss, Epidemics, exposed population, Measurement error, self-isolation, SIR model, social distancing

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

CEPR Discussion Paper No. DP15993
Number of pages: 62 Posted: 14 May 2021
Alexander Chudik, M. Hashem Pesaran and Alessandro Rebucci
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...

18.
Downloads 483 ( 82,712)
Citation 3

Oil Exports and the Iranian Economy

Number of pages: 49 Posted: 23 May 2011 Last Revised: 26 May 2011
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 272 (155,442)
Citation 6

Abstract:

Loading...

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 - Judge Business School and University of Southern California - Department of Economics
Downloads 211 (199,284)
Citation 2

Abstract:

Loading...

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 - Judge Business School and University of Southern California - Department of Economics

Abstract:

Loading...

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

19.
Downloads 474 ( 84,651)
Citation 17

Uncertainty and Economic Activity: A Global Perspective

CAFE Research Paper No. 14.03
Number of pages: 66 Posted: 24 Mar 2014
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 256 (165,374)
Citation 13

Abstract:

Loading...

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 102 (357,233)
Citation 1

Abstract:

Loading...

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

Uncertainty and Economic Activity: A Multi-Country Perspective

USC-INET Research Paper No. 18-05, Johns Hopkins Carey Business School Research Paper No. 18-04
Number of pages: 87 Posted: 09 Feb 2018
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 48 (538,609)
Citation 1

Abstract:

Loading...

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

Uncertainty and Economic Activity: A Multi-Country Perspective

CESifo Working Paper Series No. 6910
Number of pages: 89 Posted: 07 May 2018
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 47 (543,388)

Abstract:

Loading...

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 18 (734,165)

Abstract:

Loading...

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

Uncertainty and Economic Activity: A Multi-Country Perspective

NBER Working Paper No. w24325
Number of pages: 87 Posted: 21 Feb 2018 Last Revised: 10 Jun 2022
Ambrogio Cesa-Bianchi, M. Hashem Pesaran and Alessandro Rebucci
Bank of England, University of Southern California - Department of Economics and Johns Hopkins University - Carey Business School
Downloads 3 (885,459)
Citation 1

Abstract:

Loading...

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 4
  • Add to Cart

Abstract:

Loading...

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

20.

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 465 (86,661)
Citation 10

Abstract:

Loading...

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

21.

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 463 (87,108)
Citation 262

Abstract:

Loading...

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

22.
Downloads 460 ( 87,763)
Citation 5

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 244 (173,234)
Citation 5

Abstract:

Loading...

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 172 (239,149)
Citation 1

Abstract:

Loading...

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 44 (558,437)

Abstract:

Loading...

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

23.
Downloads 457 ( 88,412)
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 439 (91,827)

Abstract:

Loading...

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 (734,165)
  • Add to Cart

Abstract:

Loading...

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

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 284 (148,797)
Citation 6

Abstract:

Loading...

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 164 (249,092)
Citation 1

Abstract:

Loading...

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

25.

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

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 431 (94,577)
Citation 47

Abstract:

Loading...

Global VaR (GVaR), Global interdependencies, global macroeconomic

26.
Downloads 411 ( 99,999)
Citation 33

Is There a Debt-Threshold Effect on Output Growth?

USC-INET Research Paper No. 15-18
Number of pages: 54 Posted: 08 Jul 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 188 (221,314)
Citation 3

Abstract:

Loading...

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 - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 113 (332,740)
Citation 4

Abstract:

Loading...

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 - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 63 (474,411)

Abstract:

Loading...

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 - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 47 (543,388)
Citation 12

Abstract:

Loading...

27.

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

CESifo Working Paper No. 9217
Number of pages: 95 Posted: 03 Aug 2021
Dario Laudati and M. Hashem Pesaran
University of Southern California and University of Southern California - Department of Economics
Downloads 403 (102,217)

Abstract:

Loading...

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 383 (107,565)
Citation 5

Abstract:

Loading...

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 (717,070)
Citation 14
  • Add to Cart

Abstract:

Loading...

Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging

29.
Downloads 397 (104,012)
Citation 17

Theory and Practice of GVAR Modeling

University of Southern California, Center for Applied Financial Economics (CAFE) Research Paper Series No. 14.04
Number of pages: 56 Posted: 12 May 2014
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 300 (140,568)
Citation 1

Abstract:

Loading...

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 97 (369,199)
Citation 6

Abstract:

Loading...

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

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

USC-INET Research Paper No. 19-13
Number of pages: 57 Posted: 29 Jul 2019
University of Southern California, University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 201 (208,514)

Abstract:

Loading...

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: 03 Jul 2022
University of Southern California, University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 85 (401,151)
Citation 4

Abstract:

Loading...

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

CAMA Working Paper No. 49/2019
Number of pages: 58 Posted: 09 Jul 2019
University of Southern California, University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 66 (463,090)

Abstract:

Loading...

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 - Judge Business School, University of Cambridge - Faculty of Economics, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Tsing Hua University
Downloads 36 (602,366)

Abstract:

Loading...

Climate change, economic growth, adaptation, counterfactual analysis

31.

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 374 (111,338)
Citation 6

Abstract:

Loading...

Contagion, Inter-dependence, Identification, Financial Crises

32.

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 368 (113,385)
Citation 4

Abstract:

Loading...

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

33.
Downloads 363 (115,117)
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 187 (222,332)

Abstract:

Loading...

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 99 (364,406)
Citation 1

Abstract:

Loading...

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 77 (425,461)

Abstract:

Loading...

34.

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 362 (115,489)
Citation 103

Abstract:

Loading...

Economic interlinkages, global macroeconometric modeling, risk management

35.

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 347 (120,978)
Citation 7

Abstract:

Loading...

cross-section dependence, nonlinear panel data model

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 171 (240,357)
Citation 10

Abstract:

Loading...

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 164 (249,092)

Abstract:

Loading...

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

37.
Downloads 327 (129,034)
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 269 (157,261)

Abstract:

Loading...

Risk management, default dependence, economic interlinkages, portfolio choice

Global Business Cycles and Credit Risk

NBER Working Paper No. w11493
Number of pages: 56 Posted: 29 Aug 2005 Last Revised: 29 May 2022
M. Hashem Pesaran, Björn-Jakob Treutler and Til Schuermann
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 58 (494,351)

Abstract:

Loading...

38.

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 321 (131,528)

Abstract:

Loading...

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

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 227 (185,761)
Citation 3

Abstract:

Loading...

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 39 (585,144)

Abstract:

Loading...

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 33 (620,706)

Abstract:

Loading...

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

40.

Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence

Number of pages: 58 Posted: 08 Mar 2003
M. Hashem Pesaran
University of Southern California - Department of Economics
Downloads 276 (153,785)
Citation 5

Abstract:

Loading...

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

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 192 (217,198)
Citation 5

Abstract:

Loading...

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 81 (412,988)

Abstract:

Loading...

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

42.

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 270 (157,343)

Abstract:

Loading...

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

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 216 (194,958)
Citation 15

Abstract:

Loading...

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 44 (558,437)

Abstract:

Loading...

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

44.

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 256 (165,989)

Abstract:

Loading...

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

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

USC-INET Research Paper No. 15-14
Number of pages: 47 Posted: 22 May 2015
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 128 (303,968)
Citation 2

Abstract:

Loading...

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

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

CESifo Working Paper Series No. 5367
Number of pages: 47 Posted: 04 Jun 2015
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 84 (404,080)
Citation 7

Abstract:

Loading...

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

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

Globalization and Monetary Policy Institute Working Paper No. 242
Number of pages: 46 Posted: 17 Aug 2015
Kamiar Mohaddes and M. Hashem Pesaran
University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 39 (585,144)
Citation 2

Abstract:

Loading...

46.
Downloads 250 (169,822)
Citation 2

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 209 (201,025)
Citation 1

Abstract:

Loading...

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 41 (574,336)
Citation 1

Abstract:

Loading...

macroeconometric models, DSGE, VARs, long run theory

47.

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 249 (170,450)
Citation 2

Abstract:

Loading...

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

48.

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 249 (170,450)
Citation 29

Abstract:

Loading...

house price, cross sectional dependence, spatial dependence

49.
Downloads 244 (173,808)
Citation 23

Macroeconometric Modelling with a Global Perspective

IEPR Working Paper No. 06.43, CESifo Working Paper Series No. 1659
Number of pages: 31 Posted: 20 Jan 2006
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 212 (198,363)
Citation 1

Abstract:

Loading...

Global VAR (GVAR), DSGE models, VARX

Macroeconometric Modelling with a Global Perspective

Manchester School, Vol. 74, No. S1, pp. 24-49, September 2006
Number of pages: 26 Posted: 17 Aug 2006
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 32 (626,986)
Citation 2

Abstract:

Loading...

50.

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 241 (175,903)
Citation 6

Abstract:

Loading...

Risk management, correlated defaults, factor models, portfolio choice

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 - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 131 (298,525)
Citation 3

Abstract:

Loading...

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

USC-INET Research Paper No. 15-05
Number of pages: 47 Posted: 22 Jan 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 105 (350,274)
Citation 6

Abstract:

Loading...

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

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 178 (232,213)
Citation 1

Abstract:

Loading...

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 47 (543,388)
Citation 5

Abstract:

Loading...

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

53.

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 220 (191,820)
Citation 1

Abstract:

Loading...

Sign Prediction, Estimation Window, Structural Breaks

54.

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 216 (195,224)
Citation 13

Abstract:

Loading...

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

55.

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 216 (195,224)
Citation 5

Abstract:

Loading...

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

56.

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 213 (197,739)
Citation 6

Abstract:

Loading...

Risk management, default dependence, economic interlinkages, portfolio choice

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 152 (265,504)

Abstract:

Loading...

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 53 (515,486)
Citation 1

Abstract:

Loading...

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

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 202 (207,719)
Citation 11

Abstract:

Loading...

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

59.

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 202 (207,719)

Abstract:

Loading...

Government debt management, cost minimisation, recursive modelling

60.
Downloads 197 (212,384)
Citation 18

An Empirical Growth Model for Major Oil Exporters

CESifo Working Paper Series No. 3780
Number of pages: 27 Posted: 05 Apr 2012
Hadi Salehi Esfahani, Kamiar Mohaddes and M. Hashem Pesaran
University of Illinois at Urbana-Champaign, University of Cambridge - Judge Business School and University of Southern California - Department of Economics
Downloads 115 (328,631)
Citation 2

Abstract:

Loading...

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 - Judge Business School and University of Southern California - Department of Economics
Downloads 82 (409,966)
Citation 1

Abstract:

Loading...

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

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 197 (212,384)
Citation 24

Abstract:

Loading...

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

62.

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

USC-INET Research Paper No. 16-13
Number of pages: 44 Posted: 18 Apr 2016
M. Hashem Pesaran and TengTeng Xu
University of Southern California - Department of Economics and International Monetary Fund (IMF)
Downloads 186 (223,431)
Citation 4

Abstract:

Loading...

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

63.

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 180 (229,882)
Citation 4

Abstract:

Loading...

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

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

Number of pages: 38 Posted: 21 Sep 2020
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 63 (474,411)

Abstract:

Loading...

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

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

CESifo Working Paper No. 8588
Number of pages: 43 Posted: 07 Oct 2020
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 51 (524,558)
Citation 6

Abstract:

Loading...

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

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

NBER Working Paper No. w27855
Number of pages: 39 Posted: 28 Sep 2020 Last Revised: 10 Feb 2022
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 22 (700,639)
Citation 1

Abstract:

Loading...

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

CAMA Working Paper No. 85/2020
Number of pages: 40 Posted: 23 Sep 2020 Last Revised: 25 Sep 2020
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 19 (725,535)
Citation 1

Abstract:

Loading...

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

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

Globalization Institute Working Paper No. 402
Number of pages: 39 Posted: 05 Oct 2020 Last Revised: 11 Jan 2022
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Judge Business School, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Johns Hopkins University - Carey Business School
Downloads 18 (734,165)
Citation 1

Abstract:

Loading...

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

Weak and Strong Cross Section Dependence and Estimation of Large Panels

ECB Working Paper No. 1100
Number of pages: 58 Posted: 22 Dec 2009
Alexander Chudik, M. Hashem Pesaran and Elisa Tosetti
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 111 (337,051)
Citation 15

Abstract:

Loading...

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 61 (482,275)
Citation 7

Abstract:

Loading...

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

66.

Measurement of Factor Strenght: Theory and Practice

CESifo Working Paper No. 8146
Number of pages: 106 Posted: 11 Mar 2020
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 168 (243,677)
Citation 2

Abstract:

Loading...

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

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 116 (326,621)

Abstract:

Loading...

present value, stock prices, structural breaks, Bayesian learning

Learning, Structural Instability and Present Value Calculations

Econometric Reviews 26 (2-4), 253-–288
Number of pages: 35 Posted: 10 Jan 2006 Last Revised: 30 Nov 2012
M. Hashem Pesaran, Davide Pettenuzzo and Allan Timmermann
University of Southern California - Department of Economics, Brandeis University - International Business School and UCSD
Downloads 51 (524,558)
Citation 8

Abstract:

Loading...

present value, stock prices, structural breaks, Bayesian learning

68.

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 164 (248,701)
Citation 5

Abstract:

Loading...

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

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 99 (364,406)

Abstract:

Loading...

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 61 (482,275)

Abstract:

Loading...

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

70.

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 159 (255,333)
Citation 10

Abstract:

Loading...

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 121 (316,954)

Abstract:

Loading...

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 38 (590,644)
Citation 10

Abstract:

Loading...

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

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 75 (431,949)

Abstract:

Loading...

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 65 (466,758)
Citation 2

Abstract:

Loading...

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 18 (734,165)

Abstract:

Loading...

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

73.

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 154 (261,967)
Citation 2

Abstract:

Loading...

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

74.

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 153 (263,312)
Citation 10

Abstract:

Loading...

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

75.

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 153 (263,312)

Abstract:

Loading...

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

Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks

Number of pages: 42 Posted: 21 Aug 2003
M. Hashem Pesaran and Allan Timmermann
University of Southern California - Department of Economics and UCSD
Downloads 141 (282,019)

Abstract:

Loading...

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 (790,008)
Citation 6
  • Add to Cart

Abstract:

Loading...

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

77.

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 153 (263,312)
Citation 4

Abstract:

Loading...

78.

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 152 (264,776)
Citation 78

Abstract:

Loading...

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

79.
Downloads 147 (272,063)
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 85 (401,151)
Citation 5

Abstract:

Loading...

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 62 (478,281)

Abstract:

Loading...

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

80.

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

Number of pages: 111 Posted: 12 Feb 2020 Last Revised: 18 Feb 2022
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 146 (275,078)
Citation 1

Abstract:

Loading...

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

81.

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 146 (273,554)
Citation 6

Abstract:

Loading...

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

82.
Downloads 146 (273,554)
Citation 7

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 146 (274,397)
Citation 7

Abstract:

Loading...

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

Infinite Dimensional VARs and Factor Models

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

Abstract:

Loading...

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

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 93 (379,266)
Citation 6

Abstract:

Loading...

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 49 (533,830)
Citation 4

Abstract:

Loading...

house prices, cross sectional dependence, spatial dependence

84.

Climate change and economic activity: Evidence from US states

Number of pages: 20 Posted: 30 Jan 2022
University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) - Fiscal Affairs Department and Department of Economics, National Taiwan University, Taiwan
Downloads 141 (281,033)

Abstract:

Loading...

Climate change, economic growth, adaptation, United States.

85.
Downloads 137 (287,404)
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 91 (384,497)

Abstract:

Loading...

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 27 (661,532)
Citation 39

Abstract:

Loading...

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

Lumpy Price Adjustments: A Microeconometric Analysis

National Bank of Belgium Working Paper No. 100
Number of pages: 75 Posted: 09 Oct 2010
National Bank of Belgium, National Bank of Belgium, University of Southern California - Department of Economics and Aix-Marseille University
Downloads 19 (725,535)
Citation 100

Abstract:

Loading...

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 75 (431,949)
Citation 1

Abstract:

Loading...

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

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

IDB Working Paper No. IDB-WP-266
Number of pages: 67 Posted: 14 Dec 2011
Bank of England, University of Southern California - Department of Economics, Johns Hopkins University - Carey Business School and affiliation not provided to SSRN
Downloads 61 (482,275)
Citation 31

Abstract:

Loading...

87.

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 134 (292,288)
Citation 26

Abstract:

Loading...

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

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

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 100 (361,959)

Abstract:

Loading...

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 31 (633,534)

Abstract:

Loading...

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

Revisiting the Great Ratios Hypothesis

CESifo Working Paper No. 9625
Number of pages: 95 Posted: 22 Mar 2022
Alexander Chudik, M. Hashem Pesaran and Ron Smith
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Birkbeck College
Downloads 124 (311,137)

Abstract:

Loading...

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

Revisiting the Great Ratios Hypothesis

Globalization Institute Working Paper No. 415
Number of pages: 94 Posted: 30 Mar 2022
Alexander Chudik, M. Hashem Pesaran and Ron Smith
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Birkbeck College
Downloads 6 (851,273)

Abstract:

Loading...

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

90.
Downloads 130 (299,132)
Citation 5

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 65 (466,758)

Abstract:

Loading...

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 65 (466,758)
Citation 5

Abstract:

Loading...

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

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

USC-INET Research Paper No. 16-28
Number of pages: 50 Posted: 06 Dec 2016
M. Hashem Pesaran and Ida Johnsson
University of Southern California - Department of Economics and University of Southern California, Department of Economics, Students
Downloads 101 (359,623)

Abstract:

Loading...

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 28 (654,308)

Abstract:

Loading...

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

92.
Downloads 127 (304,407)
Citation 50

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 79 (419,035)
Citation 34

Abstract:

Loading...

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 48 (538,609)
Citation 7

Abstract:

Loading...

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

93.

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 127 (304,407)
Citation 5

Abstract:

Loading...

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

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 90 (387,159)
Citation 5

Abstract:

Loading...

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 34 (614,253)
Citation 6

Abstract:

Loading...

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

95.
Downloads 123 (311,606)
Citation 3

To Pool or Not to Pool: Revisited

USC-INET Research Paper No. 15-16
Number of pages: 22 Posted: 16 Jun 2015
M. Hashem Pesaran and Qiankun Zhou
University of Southern California - Department of Economics and University of Southern California
Downloads 83 (406,992)
Citation 3

Abstract:

Loading...

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 38 (590,644)

Abstract:

Loading...

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 2 (899,404)

Abstract:

Loading...

96.

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 120 (317,293)
Citation 2

Abstract:

Loading...

Long-run structural vector autoregression

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 85 (401,151)
Citation 5

Abstract:

Loading...

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 34 (614,253)

Abstract:

Loading...

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

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 87 (395,461)
Citation 2

Abstract:

Loading...

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 31 (633,534)
Citation 2

Abstract:

Loading...

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

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 79 (419,035)
Citation 4

Abstract:

Loading...

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 38 (590,644)

Abstract:

Loading...

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 63 (474,411)

Abstract:

Loading...

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 52 (520,019)

Abstract:

Loading...

counterfactuals, policy analysis, policy ineffectiveness test, macroeconomics

101.

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 112 (332,962)
Citation 5

Abstract:

Loading...

contingency tables, canonical correlations, serial dependence, tests of

102.

Econometric Analysis of Structural Systems with Permanent and Transitory Shocks

UNSW Australian School of Business Research Paper No. 2008 ECON 04
Number of pages: 26 Posted: 27 Aug 2008
Adrian Pagan and M. Hashem Pesaran
Australian National University (ANU) - Research School of Social Sciences (RSSS) and University of Southern California - Department of Economics
Downloads 110 (337,116)
Citation 31

Abstract:

Loading...

Permanent shocks, structural identification, error correction

103.

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 110 (337,116)
Citation 1

Abstract:

Loading...

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

104.

Climate Change and Economic Activity: Evidence from U.S. States

CESifo Working Paper No. 9542
Number of pages: 20 Posted: 02 Feb 2022
University of Cambridge - Judge Business School, University of Cambridge, University of Southern California - Department of Economics, International Monetary Fund (IMF) and Department of Economics, National Taiwan University, Taiwan
Downloads 109 (339,167)

Abstract:

Loading...

climate change, economic growth, adaptation, United States

105.

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

CESifo Working Paper No. 8695
Number of pages: 89 Posted: 19 Nov 2020
M. Hashem Pesaran and Cynthia Fan Yang
University of Southern California - Department of Economics and Florida State University - Department of Economics
Downloads 109 (339,167)

Abstract:

Loading...

Covid-19, multigroup SIR model, basic and effective reproduction numbers, transmission rates, vaccination, calibration and counterfactual analysis

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

CAFE Research Paper No. 14.01
Number of pages: 35 Posted: 07 Jan 2014
Natalia Bailey, Sean Holly and M. Hashem Pesaran
Monash University, University of Cambridge - Department of Applied Economics and University of Southern California - Department of Economics
Downloads 59 (490,283)

Abstract:

Loading...

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 50 (529,170)
Citation 9

Abstract:

Loading...

spatial and factor dependence, spatiotemporal models, house price changes

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

USC-INET Research Paper No. 18-08 (Revised)
Number of pages: 94 Posted: 16 Apr 2018 Last Revised: 11 Apr 2022
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
Downloads 92 (387,159)
Citation 2

Abstract:

Loading...

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

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

CESifo Working Paper No. 9343
Number of pages: 96 Posted: 18 Oct 2021
Wukuang Cun and M. Hashem Pesaran
Shanghai University of Finance and Economics - Department of Finance and University of Southern California - Department of Economics
Downloads 15 (761,042)

Abstract:

Loading...

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

108.

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

CESifo Working Paper No. 9001
Number of pages: 29 Posted: 16 Apr 2021
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 106 (345,660)

Abstract:

Loading...

Signs of Impact Effects in Time Series Regression Models

CAFE Research Paper No. 13.22
Number of pages: 9 Posted: 10 Oct 2013
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 54 (511,125)

Abstract:

Loading...

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 51 (524,558)
Citation 3

Abstract:

Loading...

regression coefficients, impact effects

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

CAMA Working Paper No. 06/2019
Number of pages: 112 Posted: 24 Jan 2019
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Judge Business School
Downloads 50 (529,170)
Citation 1

Abstract:

Loading...

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

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

CESifo Working Paper No. 7454
Number of pages: 112 Posted: 21 Feb 2019
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Judge Business School
Downloads 37 (596,400)
Citation 6

Abstract:

Loading...

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 - Judge Business School
Downloads 9 (819,768)

Abstract:

Loading...

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

111.

Optimal Forecasts in the Presence of Structural Breaks

De Nederlandsche Bank Working Paper No. 327
Number of pages: 55 Posted: 27 Dec 2011
University of Southern California - Department of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and University of CambridgeInternational Monetary Fund (IMF)
Downloads 93 (376,155)
Citation 12

Abstract:

Loading...

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

112.

Factor Strengths, Pricing Errors, and Estimation of Risk Premia

CESifo Working Paper No. 8947
Number of pages: 44 Posted: 18 Mar 2021
M. Hashem Pesaran and Ron Smith
University of Southern California - Department of Economics and Birkbeck College
Downloads 91 (381,191)

Abstract:

Loading...

113.

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 86 (394,646)

Abstract:

Loading...

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