Alexander Chudik

Federal Reserve Banks - Federal Reserve Bank of Dallas

2200 North Pearl Street

PO Box 655906

Dallas, TX 75265-5906

United States

SCHOLARLY PAPERS

46

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CITATIONS
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413

Scholarly Papers (46)

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

CAFE Research Paper No. 13.23
Number of pages: 68 Posted: 21 Nov 2013
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 753 (31,623)

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Long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, debt, in‡ation and growth, debt overhang

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

CESifo Working Paper Series No. 4508
Number of pages: 68 Posted: 23 Dec 2013
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 98 (268,949)

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

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 290 (103,401)
Citation 11

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

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

CESifo Working Paper Series No. 4371
Number of pages: 55 Posted: 04 Sep 2013
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 124 (226,963)

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

3.
Downloads 348 ( 85,268)
Citation 20

Is There a Debt-Threshold Effect on Output Growth?

USC-INET Research Paper No. 15-18
Number of pages: 54 Posted: 08 Jul 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 151 (193,670)
Citation 1

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Panel tests of threshold effects, long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, debt, inflation

Is There a Debt-Threshold Effect on Output Growth?

CESifo Working Paper Series No. 5434
Number of pages: 35 Posted: 21 Jul 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 106 (254,704)

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panel tests of threshold effects, long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, debt, and inflation

Is There a Debt-Threshold Effect on Output Growth?

IMF Working Paper No. 15/197
Number of pages: 60 Posted: 13 Oct 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 55 (375,656)

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Panel tests of threshold effects, long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, and inflation, variables, gdp, cd, inflation, Models with Panel Data, International Lending and Debt Problems, General, and inflation.,

Is There a Debt-Threshold Effect on Output Growth?

Globalization and Monetary Policy Institute Working Paper No. 245
Number of pages: 34 Posted: 17 Aug 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 36 (452,752)
Citation 3

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Downloads 336 ( 88,443)
Citation 13

Theory and Practice of GVAR Modeling

University of Southern California, Center for Applied Financial Economics (CAFE) Research Paper Series No. 14.04
Number of pages: 56 Posted: 12 May 2014
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 267 (112,890)
Citation 1

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

Theory and Practice of GVAR Modeling

CESifo Working Paper Series No. 4807
Number of pages: 56 Posted: 24 Jun 2014
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 69 (333,855)

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

5.
Downloads 333 ( 89,347)
Citation 1

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 170 (174,901)

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one covariate at a time, multiple testing, model selection, high dimensionality, penalized regressions, boosting, Monte Carlo experiments

Big Data Analytics: A New Perspective

USC-INET Research Paper No. 16-04
Number of pages: 84 Posted: 13 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 90 (284,381)

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One covariate at at time, multiple testing, model selection, high dimensionality, penalised regressions, boosting, Monte Carlo experiments

Big Data Analytics: A New Perspective

Globalization and Monetary Policy Institute Working Paper No. 268
Number of pages: 83 Posted: 03 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 73 (323,388)

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6.

Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-2011 Sovereign Debt Crisis

ECB Working Paper No. 1416
Number of pages: 48 Posted: 06 Feb 2012
Alexander Chudik and Marcel Fratzscher
Federal Reserve Banks - Federal Reserve Bank of Dallas and DIW Berlin
Downloads 266 (113,891)

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global financial crisis, sovereign debt crisis, liquidity, risk, capital flows, transmission, high dimensional VARs, advanced economies, emerging market economies

7.

Modelling Global Trade Flows: Results from a GVAR Model

ECB Working Paper No. 1087
Number of pages: 66 Posted: 09 Sep 2009
Matthieu Bussière, Alexander Chudik and Giulia Sestieri
Banque de France, Federal Reserve Banks - Federal Reserve Bank of Dallas and affiliation not provided to SSRN
Downloads 237 (128,743)
Citation 1

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International trade, global imbalances, global VAR, exchange rates, trade elasticities

8.

In Search of Equilibrium: Estimating Equilibrium Real Exchange Rates in Sub-Saharan African Countries

IMF Working Paper No. 07/90
Number of pages: 41 Posted: 16 May 2007
Alexander Chudik and Joannes Mongardini
Federal Reserve Banks - Federal Reserve Bank of Dallas and International Monetary Fund (IMF)
Downloads 225 (134,950)

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Exchange rates, Sub-Saharan Africa, Economic models

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

USC-INET Research Paper No. 15-05
Number of pages: 47 Posted: 22 Jan 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 94 (276,487)
Citation 1

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

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

Globalization and Monetary Policy Institute Working Paper No. 223
Number of pages: 46 Posted: 17 Aug 2015
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Cambridge - Faculty of Economics and Politics, University of Southern California - Department of Economics and International Monetary Fund (IMF) - Asia and Pacific Department
Downloads 66 (344,933)
Citation 1

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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 99 (267,139)
Citation 3

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Panels, Strong and Weak Cross Section Dependence, Weak and Strong Factors

Weak and Strong Cross Section Dependence and Estimation of Large Panels

CESifo Working Paper Series No. 2689
Number of pages: 55 Posted: 07 Jul 2009
Alexander Chudik, M. Hashem Pesaran and Elisa Tosetti
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 50 (392,684)
Citation 5

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

Weak and Strong Cross-Section Dependence and Estimation of Large Panels

The Econometrics Journal, Vol. 14, Issue 1, pp. C45-C90, 2011
Number of pages: 46 Posted: 28 Feb 2011
Alexander Chudik, M. Hashem Pesaran and Elisa Tosetti
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 1 (680,701)
Citation 8
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Common correlated effects (CCE) estimator, Panels, Strong and weak cross-section dependence, Weak and strong factors

11.

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 138 (207,903)
Citation 2

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12.
Downloads 136 (210,426)
Citation 1

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 136 (211,004)
Citation 1

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

Infinite Dimensional VARs and Factor Models

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

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

13.

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 118 (234,682)
Citation 6

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

14.

Methodological Advances in the Assessment of Equilibrium Exchange Rates

ECB Working Paper No. 1151
Number of pages: 88 Posted: 09 Feb 2010
Banque de France, European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 107 (251,603)

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Equilibrium exchange rates, IMF CGER methodologies, current account, trade elasticities, global imbalances

Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis

Number of pages: 46 Posted: 16 Mar 2012
Marcel Fratzscher and Alexander Chudik
DIW Berlin and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 101 (263,523)

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global financial crisis, sovereign debt crisis, liquidity, risk, capital flows, transmission, high dimensional VARs, advanced economies, emerging market economies

Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis

CEPR Discussion Paper No. DP8787
Number of pages: 46 Posted: 31 Jan 2012
Alexander Chudik and Marcel Fratzscher
Federal Reserve Banks - Federal Reserve Bank of Dallas and DIW Berlin
Downloads 3 (655,126)
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advanced economies, capital flows, emerging market economies, global financial crisis, high dimensional VARs, liquidity, risk, sovereign debt crisis, transmission

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 70 (331,219)
Citation 1

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

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

ECB Working Paper No. 1194
Number of pages: 47 Posted: 26 May 2010
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 31 (471,898)

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

17.

Current Account Benchmarks for Central and Eastern Europe: A Desperate Search?

ECB Working Paper No. 995
Number of pages: 49 Posted: 04 Feb 2009
Michele Ca' Zorzi, Alexander Chudik and Alistair Dieppe
European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 77 (310,293)

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Current account, capital flows, financial integration, central and eastern Europe, panel data, model uncertainty, model combination

Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model

ECB Working Paper No. 1285
Number of pages: 37 Posted: 11 Jan 2011
Alexander Chudik and Marcel Fratzscher
Federal Reserve Banks - Federal Reserve Bank of Dallas and DIW Berlin
Downloads 74 (320,831)

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Liquidity, risk, financial crisis, global transmission, global VAR (GVAR), shocks, modelling, US, advanced economies, emerging market economies

Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model

CEPR Discussion Paper No. DP8093
Number of pages: 33 Posted: 29 Nov 2010
Alexander Chudik and Marcel Fratzscher
Federal Reserve Banks - Federal Reserve Bank of Dallas and DIW Berlin
Downloads 2 (666,280)
Citation 3
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advanced economies, emerging market economies, financial crisis, global transmission, global VAR (GVAR), Liquidity, risk, shocks, US

19.

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

Globalization and Monetary Policy Institute Working Paper No. 281
Number of pages: 70 Posted: 08 Sep 2016
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 73 (319,929)

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20.
Downloads 72 (322,345)
Citation 19

Aggregation in Large Dynamic Panels

IZA Discussion Paper No. 5478
Number of pages: 56 Posted: 21 Feb 2011
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 48 (399,944)
Citation 1

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

Aggregation in Large Dynamic Panels

CESifo Working Paper Series No. 3346
Number of pages: 55 Posted: 20 Feb 2011
M. Hashem Pesaran and Alexander Chudik
University of Southern California - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 24 (511,503)

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

21.

Thousands of Models, One Story: Current Account Imbalances in the Global Economy

ECB Working Paper No. 1441
Number of pages: 34 Posted: 09 Jul 2012
Alexander Chudik, Alistair Dieppe and Michele Ca' Zorzi
Federal Reserve Banks - Federal Reserve Bank of Dallas, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 60 (354,633)

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Current account, global imbalances, panel data, model uncertainty, model combination

22.

Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR

ECB Working Paper No. 1292
Number of pages: 55 Posted: 13 Feb 2011
Matthieu Bussière, Alexander Chudik and Arnaud Mehl
Banque de France, Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 59 (357,576)

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Euro, Real Effective Exchange Rates, Weak and Strong Cross Sectional Dependence, High-Dimensional VAR, Identification of Shocks

23.

Impact of Chinese Slowdown on U.S. No Longer Negligible

Economic Letter, Vol. 11, Issue 5, pp. 1-4, 2016
Number of pages: 4 Posted: 13 May 2016
Alexander Chudik and Arthur Hinojosa
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 50 (386,113)

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

CAMA Working Paper No. 06/2019
Number of pages: 112 Posted: 24 Jan 2019
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 33 (461,930)

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

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

CESifo Working Paper No. 7454
Number of pages: 112 Posted: 21 Feb 2019
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 12 (589,542)

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

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

Globalization and Monetary Policy Institute Working Paper No. 351
Number of pages: 51 Posted: 24 Jan 2019 Last Revised: 21 Feb 2019
Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 4 (646,231)

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

25.

Using the Global Dimension to Identify Shocks with Sign Restrictions

ECB Working Paper No. 1318
Number of pages: 27 Posted: 11 Apr 2011
Alexander Chudik and Michael Fidora
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 49 (389,491)

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Identification of shocks, sign restrictions, VAR, global VAR, oil shocks

26.
Downloads 43 (410,731)
Citation 5

Size, Openness, and Macroeconomic Interdependence

ECB Working Paper No. 1172
Number of pages: 48 Posted: 19 Apr 2010
Alexander Chudik and Roland Straub
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 42 (422,779)

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DSGE Models, Open Economy Macroeconomics, Weak and Strong Cross Section Dependence, Factor Models

Size, Openness, and Macroeconomic Interdependence

International Economic Review, Vol. 58, Issue 1, pp. 33-55, 2017
Number of pages: 23 Posted: 06 Feb 2017
Alexander Chudik and Roland Straub
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 1 (680,701)
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27.

A Multi-Country Approach to Forecasting Output Growth Using PMIs

CAFE Research Paper No. 15.01
Number of pages: 59 Posted: 14 Jan 2015
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 42 (414,427)

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Global VARs, High-dimensional VARs, Augmented GVAR, Forecasting, Nowcasting, Data-rich methods, GDP and PMIs

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

USC-INET Research Paper No. 17-26
Number of pages: 74 Posted: 27 Sep 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 34 (457,267)
Citation 1

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

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

Globalization and Monetary Policy Institute Working Paper No. 327
Number of pages: 73 Posted: 15 Nov 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 6 (631,294)

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29.

How Have Global Shocks Impacted the Real Effective Exchange Rates of Individual Euro Area Countries Since the Euro's Creation?

Banque de France Working Paper No. 336
Number of pages: 47 Posted: 30 Jul 2011
Matthieu Bussière, Alexander Chudik and Arnaud Mehl
Banque de France, Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 35 (442,411)
Citation 16

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Euro, Real Effective Exchange Rates, Weak and Strong Cross Sectional Dependence, High-Dimensional VAR, Identification of Shocks

30.

A Multi-Country Approach to Forecasting Output Growth Using PMIS

CESifo Working Paper Series No. 5100
Number of pages: 59 Posted: 19 Dec 2014
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 34 (446,587)

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

31.

A Multi-Country Approach to Forecasting Output Growth Using PMIs

USC-INET Research Paper No. 14-05
Number of pages: 59 Posted: 24 Nov 2014
Alexander Chudik, Valerie Grossman and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 30 (464,796)
Citation 3

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Global VARs, High-dimensional VARs, Augmented GVAR, Forecasting, Nowcasting, Data-rich methods, GDP, PMIs

32.

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

USC-INET Research Paper No. 18-04 (Revised)
Number of pages: 187 Posted: 31 Jan 2017 Last Revised: 10 Feb 2018
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, University of Southern California - Department of Economics and Department of Economics, National Tsing Hua University
Downloads 28 (474,576)

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Panel Data Models, Weakly Exogenous Regressors, Lagged Dependent Variable, Fixed Effects, Time Effects, Unbalanced Panels, Half-Panel Jackknife, Bias Correction

33.

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

CAFE Research Paper No. 13.14
Number of pages: 62 Posted: 27 Aug 2013
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 27 (479,710)
Citation 7

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

34.

Spatial Considerations on the PPP Debate

ECB Working Paper No. 1534
Number of pages: 21 Posted: 08 May 2013
Michele Ca' Zorzi and Alexander Chudik
European Central Bank (ECB) and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 22 (507,374)

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Half-life estimates, PPP, price convergence, cointegration, aggregation across space

35.

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

CESifo Working Paper Series No. 6688
Number of pages: 75 Posted: 17 Nov 2017
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 21 (513,200)

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

36.

Risk, Uncertainty Separately Cloud Global Growth Forecasting

Economic Letter, Vol. 11, Issue 9, pp. 1-4, 2016
Number of pages: 4 Posted: 25 Jul 2016
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Bank of Dallas - Research Department and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 21 (513,200)

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37.

Geographic Inequality of Economic Well-Being Among U.S. Cities: Evidence from Micro Panel Data

Globalization and Monetary Policy Institute Working Paper No. 330
Number of pages: 33 Posted: 15 Nov 2017
C. Y. Choi and Alexander Chudik
University of Texas at Arlington - College of Business Administration - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (536,500)

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38.

The Perils of Aggregating Foreign Variables in Panel Data Models

ECB Working Paper No. 1444
Number of pages: 31 Posted: 10 Jul 2012
Michele Ca' Zorzi, Alexander Chudik and Alistair Dieppe
European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 16 (542,240)

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Curse of dimensionality, panel data models, current account

Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators

USC-INET Research Paper No. 18-22
Number of pages: 15 Posted: 04 Dec 2018
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 11 (596,381)

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Mean Group Estimator, Cross Sectional Dependence, Spatial Models, Panel Data

Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators

Globalization and Monetary Policy Institute Working Paper No. 349
Number of pages: 15 Posted: 27 Nov 2018 Last Revised: 21 Feb 2019
Alexander Chudik and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California - Department of Economics
Downloads 2 (666,280)

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Mean Group Estimator, Cross-Sectional Dependence, Spatial Models, Panel Data

40.

Cheaper Crude Oil Affects Consumer Prices Unevenly

Economic Letter, Vol. 10, Issue 11, pp. 1-4, 2015
Number of pages: 4 Posted: 29 Mar 2016
Alexander Chudik and Janet Koech
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 10 (578,845)

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41.

Global and National Shocks Explain a Large Share of State Job Growth

Economic Letter, Vol. 12, Issue 10, pp. 1-4, 2017
Number of pages: 4 Posted: 23 Oct 2017
Alexander Chudik, Janet Koech and Mark Wynne
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of Dallas
Downloads 8 (591,439)

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42.

Global, National Business Cycles and Energy Explain Texas Metro Growth

Economic Letter, Vol. 13, Issue 4, pp. 1-4, 2018
Number of pages: 4 Posted: 27 Jul 2018
Alexander Chudik, Janet Koech and Mark Wynne
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of Dallas
Downloads 4 (618,022)

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Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables

ECB Working Paper No. 2307
Number of pages: 43 Posted: 14 Aug 2019
Alexander Chudik and Georgios Georgiadis
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 2 (666,280)

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estimation and inference, impulse response functions, mixed frequencies, temporal aggregation, VAR models

Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables

Globalization and Monetary Policy Institute Working Paper No. 356
Number of pages: 36 Posted: 22 Apr 2019
Alexander Chudik and Georgios Georgiadis
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
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Mixed frequencies, temporal aggregation, impulse response functions, estimation and inference, VAR models

44.

Estimating Impulse Response Functions When the Shock Series is Observed

Globalization and Monetary Policy Institute Working Paper No. 353
Number of pages: 22 Posted: 08 Apr 2019
C. Y. Choi and Alexander Chudik
University of Texas at Arlington - College of Business Administration - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
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Observed shock, Impulse-response functions, Monte Carlo experiments, Finite sample performance

45.

The Heterogeneous Effects of Global and National Business Cycles on Employment in U.S. States and Metropolitan Areas

Globalization and Monetary Policy Institute Working Paper No. 343
Number of pages: 47 Posted: 17 Sep 2018 Last Revised: 16 Jul 2019
Alexander Chudik, Janet Koech and Mark Wynne
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of Dallas
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Global and regional business cycles, U.S. state and metro employment fluctuations, Global VAR (GVAR) approach

46.

Theory and Practice of GVAR Modelling

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