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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
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets
Bailey, Natalia - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10013051612
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
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...
Persistent link: https://www.econbiz.de/10012756639
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Variable Selection and Inference for Multi-Period Forecasting Problems
Pesaran, M. Hashem - 2011
This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...
Persistent link: https://www.econbiz.de/10012756285
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An Empirical Growth Model for Major Oil Exporters
Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2021
-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy’s steady state growth …
Persistent link: https://www.econbiz.de/10013315924