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Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled …

Persistent link: https://www.econbiz.de/10013292495

Exponent of Cross-Sectional Dependence for Residuals

Bailey, Natalia - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10012908680

A Residual-Based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models

Kapetanios, George - 2019

The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...

Persistent link: https://www.econbiz.de/10012892182

The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models

Pesaran, M. Hashem - 2019

implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and … (pervasiveness) of non-zero pricing errors. We then show, that even when the factor loadings are known, the risk premia of a factor … results for two pass estimators of risk premia, allowing for non-zero pricing errors. We show that for inference on risk …

Persistent link: https://www.econbiz.de/10012859988

A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors

Pesaran, M. Hashem; Xie, Yimeng - 2021

In a recent paper Juodis and Reese (2021) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection and propose a randomized test statistic to correct for over-rejection, and add a screening component to...

Persistent link: https://www.econbiz.de/10013215800

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors … the stochastic discount factor (mt) used to price securities within inter-temporal asset pricing models. We show that risk … errors in the statistical factor model with mt: Secondly we compare estimates of factor risk premia using portfolios with the …

Persistent link: https://www.econbiz.de/10013233142

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

Persistent link: https://www.econbiz.de/10013316613

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

Cun, Wukuang; Pesaran, M. Hashem - 2022

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

Persistent link: https://www.econbiz.de/10013323973

Heterogeneous Autoregressions in Short T Panel Data Models

Pesaran, M. Hashem; Yang, Liying - 2023

This paper considers a ﬁrst-order autoregressive panel data model with individual-speciﬁc eﬀects and a heterogeneous autoregressive coeﬃcient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coeﬃcients, with a focus on the ﬁrst two...

Persistent link: https://www.econbiz.de/10014347822

Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010280808