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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/10010276182
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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/10010276260
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … correlations in most markets; possibly reflecting the advent of euro in 1999 and increased interdependence of financial markets. …
Persistent link: https://www.econbiz.de/10010276254
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Infinite dimensional VARs and factor models
Chudik, Alexander; Pesaran, Mohammad Hashem - 2007
that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …
Persistent link: https://www.econbiz.de/10010276258
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Aggregation in large dynamic panels
Pesaran, Mohammad Hashem; Chudik, Alexander - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10010285520