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Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, M. Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10003973331

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10003963781

Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, M. Hashem - 2009

This paper introduces a novel approach for dealing with the "curse of dimensionality" in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10003831142

Beyond the DSGE Straitjacket

Pesaran, M. Hashem - 2011

Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort...

Persistent link: https://www.econbiz.de/10013125067

From Optimal Tax Theory to Applied Tax Policy

Jacobs, Bas - 2013

This paper aims to provide a perspective on the ideal tax system using insights from optimal-tax theory supplemented …

Persistent link: https://www.econbiz.de/10013084904

Second-Best Income Taxation with Endogenous Human Capital and Borrowing Constraints

Jacobs, Bas - 2013

We formulate a two-period life-cycle model of saving, labor supply, and human capital investments when individuals differ in ability and initial wealth. Borrowing constraints prevent individuals to optimally smooth consumption over the life-cycle and to optimally invest in human capital. We show...

Persistent link: https://www.econbiz.de/10013084907

Optimal Linear Commodity Taxation Under Optimal Non-Linear Income Taxation

Jacobs, Bas - 2013

This paper analyzes optimal linear commodity taxes joint with non-linear income taxes. We provide optimal tax rules based on empirically observable elasticities. We demonstrate that commodities should be taxed/subsidized if doing so boosts labor supply. The critical role of commodity taxation is...

Persistent link: https://www.econbiz.de/10013085745

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

Al-Sadoon, Majid - 2013

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/10013089182

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

Pesaran, M. Hashem - 2017

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/10012963776

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2015

concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to …

Persistent link: https://www.econbiz.de/10013038262