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Identification of new Keynesian Phillips Curves from a global perspective

Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2008

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10010276218

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

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

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

Learning, structural instability and present value calculations

Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10010276173

Lumpy price adjustments: a microeconometric analysis

Dhyne, Emmanuel; Fuss, Catherine; Pesaran, Mohammad Hashem - 2007

This paper presents a simple model of state-dependent pricing that allows identification of the relative importance of the degree of price rigidity that is inherent to the price setting mechanism (intrinsic) and that which is due to the price's driving variables (extrinsic). Using two data sets...

Persistent link: https://www.econbiz.de/10010276211

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …

Persistent link: https://www.econbiz.de/10010276212

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/10010276215

Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10010276222

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10010276226