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An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem - CESifo - 2012

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same...

Persistent link: https://www.econbiz.de/10010598909

Estimation of Time-invariant Effects in Static Panel Data Models

Pesaran, M. Hashem; Zhou, Qiankun - CESifo - 2014

This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators...

Persistent link: https://www.econbiz.de/10010948893

Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models

Hayakawa, Kazuhiko; Pesaran, M. Hashem - CESifo - 2012

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are cross-sectionally heteroskedastic. This extension is not trivial due to the incidental parameters problem that...

Persistent link: https://www.econbiz.de/10010554827

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

Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - CESifo - 2013

This paper investigates the long-run effects of public debt and inflation on economic growth. Our contribution is both theoretical and empirical. On the theoretical side, we develop a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in dynamic...

Persistent link: https://www.econbiz.de/10010721613

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

Bailey, Natalia; Holly, Sean; Pesaran, M. Hashem - CESifo - 2014

An understanding of the spatial dimension of economic and social activity requires methods that can separate out the relationship between spatial units that is due to the effect of common factors from that which is purely spatial even in an abstract sense. The same applies to the empirical...

Persistent link: https://www.econbiz.de/10010736752

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - CESifo - 2014

This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive fixed effects, and provides an extension of Hsiao et al. (2002) that allows for a multifactor error structure. This is an important extension since it retains the advantages of...

Persistent link: https://www.econbiz.de/10010779414

Spatial and Temporal Diffusion of House Prices in the UK

Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi - CESifo - 2010

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....

Persistent link: https://www.econbiz.de/10008583638

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - CESifo - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10005766178

A Multi-Country Approach to Forecasting Output Growth Using PMIs

Chudik, Alexander; Grossman, Valerie; Pesaran, M. Hashem - CESifo - 2014

This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a … number of data-rich forecasting methods, including Lasso, Ridge, partial least squares and factor-based methods. It is found …

Persistent link: https://www.econbiz.de/10011093979

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

Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; … - CESifo - 2006

In this paper we adopt a new approach to testing for purchasing power parity, PPP, that is robust to base country effects, cross-section dependence, and aggregation. Given data on N +1 countries, i, j = 0, 1, 2, ..., N, the standard procedure is to apply unit root or stationarity tests to N...

Persistent link: https://www.econbiz.de/10005094274