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Lumpy price adjustments : a microeconometric analysis

Dhyne, Emmanuel; Fuss, Catherine; Pesaran, M. Hashem; … - 2007

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 consisting of a large fraction of the price quotes used to … compute the Belgian and French CPI, we are able to assess the role of intrinsic and extrinsic price stickiness in explaining …

Persistent link: https://www.econbiz.de/10003595347

Handbook of applied econometrics

Pesaran, M. Hashem (contributor) - 1995

Persistent link: https://www.econbiz.de/10000532482

Microeconomics

Pesaran, M. Hashem (contributor) - 1997

Persistent link: https://www.econbiz.de/10000668039

Forecasting time series subject to multiple structural breaks

Pesaran, M. Hashem (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002120362

Panels with nonstationary multifactor error structures

Kapetanios, George (contributor); … - 2006

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models …

Persistent link: https://www.econbiz.de/10003355571

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

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10003586562

Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng (contributor); Pesaran, M. Hashem (contributor) - 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/10003590525

Large panels with common factors and spatial correlations

Pesaran, M. Hashem (contributor); Tosetti, Elisa (contributor) - 2007

This paper considers the statistical analysis of large panel data sets where even after conditioning on common observed effects the cross section units might remain dependently distributed. This could arise when the cross section units are subject to unobserved common effects and/or if there are...

Persistent link: https://www.econbiz.de/10003561622

On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables

Pagan, Adrian R. (contributor); … - 2007

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...

Persistent link: https://www.econbiz.de/10003536155

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756