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Testing slope homogeneity in large panels

Pesaran, Mohammad Hashem; Yamagata, Takashi - 2005

This paper proposes a modified version of Swamy's test of slope homogeneity for panel data models where the cross section dimension (N) could be large relative to the time series dimension (T). The proposed test exploits the cross section dispersion of individual slopes weighted by their...

Persistent link: https://www.econbiz.de/10010276162

General diagnostic tests for cross section dependence in panels

Pesaran, Mohammad Hashem - 2004

This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N. The proposed tests are based on average of pair-wise correlation coefficients of...

Persistent link: https://www.econbiz.de/10010276163

General Diagnostic Tests for Cross Section Dependence in Panels

Pesaran, Mohammad Hashem - 2004

Persistent link: https://www.econbiz.de/10010276182

Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng; Pesaran, Mohammad Hashem; Pick, Andreas - 2007

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

Persistent link: https://www.econbiz.de/10010276209

Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng; Pesaran, Mohammad Hashem; Pick, Andreas - 2007

Persistent link: https://www.econbiz.de/10010276260

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, Mohammad Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10010276270

What if the UK had joined the euro in 1999? : An empirical evaluation using a Global VAR

Pesaran, Mohammad Hashem; Smith, L. Vanessa; Smith, Ron P. - 2005

macroeconometric models. As an application we consider UK entry to the euro. Entry involves a long-term commitment to restrict UK … nominal exchange rates and interest rates to be the same as those of the euro area. We derive conditional probability … distributions for the difference between the future realisations of variables of interest (e.g UK and euro area output and prices …

Persistent link: https://www.econbiz.de/10010276168

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George; Pesaran, Mohammad Hashem - 2005

problems for estimation and inference. This paper compares two alternative methods for carrying out estimation and inference in … application to company returns provides an illustration of the alternative estimation procedures. …

Persistent link: https://www.econbiz.de/10010276160

Exploring the international linkages of the euro area : a global VAR analysis

Dees, Stephane; di Mauro, Filippo; Pesaran, Mohammad Hashem - 2005

VAR is estimated for 26 countries, the euro area being treated as a single economy. This paper proposes two important … the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the …

Persistent link: https://www.econbiz.de/10010276161

Firm heterogeneity and credit risk diversification

Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

Persistent link: https://www.econbiz.de/10010276169