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Microeconomics

Pesaran, M. Hashem (contributor) - 1997

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

Macroeconomics

Pesaran, M. Hashem (contributor) - 1999 - 1. publ. in paperback

Persistent link: https://www.econbiz.de/10001351319

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

Al-Sadoon, Majid - 2016

This paper proposes an exponential class of dynamic binary choice panel data models for the analysis of short T (time dimension) large N (cross section dimension) panel data sets that allows for unobserved heterogeneity (fixed effects) to be arbitrarily correlated with the covariates. The paper...

Persistent link: https://www.econbiz.de/10013000727

Forecasting with Dynamic Pane Data Models

Liu, Laura - 2017

This paper considers the problem of forecasting a collection of short time series using cross sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coeffcients under a correlated random effects distribution. This...

Persistent link: https://www.econbiz.de/10012964303

Econometric Analysis of Production Networks with Dominant Units

Pesaran, M. Hashem - 2016

This paper builds on the work of Acemoglu et al. (2012) and considers a production network with unobserved common technological factor and establishes general conditions under which the network structure contributes to aggregate fluctuations. It introduces the notions of strongly and weakly...

Persistent link: https://www.econbiz.de/10012981387

Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors

Chudik, Alexander - 2015

This paper develops a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in large dynamic heterogeneous panel data models with cross-sectionally dependent errors. The asymptotic distribution of the CS-DL estimator is derived under coefficient...

Persistent link: https://www.econbiz.de/10013029905

Detection of Units with Pervasive Effects in Large Panel Data Models

Kapetanios, George - 2019

indices of US industrial production, US house price changes by states, and the rates of change of real GDP and real equity …

Persistent link: https://www.econbiz.de/10012897156

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

Cun, Wukuang - 2020

This paper develops and solves a spatiotemporal equilibrium model in which regional wages and house prices are determined jointly with location-to-location migration flows. The agent's optimal location choice and the resultant migration process is shown to be Markovian with the transition...

Persistent link: https://www.econbiz.de/10012852498

To Pool or Not to Pool : Revisited

Pesaran, M. Hashem - 2015

This paper provides a new comparative analysis of pooled least squares and fixed effects estimators of the slope coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed to increase without bounds. The individual effects...

Persistent link: https://www.econbiz.de/10013021006

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2016

belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets …-valued), and another regarding his/her expectations of the future price of that asset. Responses to these two questions are then … between the agents expectations of price changes and their asset valuation. Double question surveys on equity, gold and house …

Persistent link: https://www.econbiz.de/10012978031