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Counterfactual Analysis in Macroeconometrics : An Empirical Investigation into the Effects of Quantitative Easing

Pesaran, M. Hashem; Smith, Ron - 2021

This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model’s parameters and where it...

Persistent link: https://www.econbiz.de/10013315894

Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults

Pesaran, M. Hashem - 2011

This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology...

Persistent link: https://www.econbiz.de/10013119521

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2015

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

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

Weak and Strong Cross Section Dependence and Estimation of Large Panels

Chudik, Alexander - 2009

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

Persistent link: https://www.econbiz.de/10013158328

Exploring the International Linkages of the Euro Area : A Global VAR Analysis

Dees, Stephane - 2006

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Persistent link: https://www.econbiz.de/10012783809

A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels

Chudik, Alexander - 2017

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …

Persistent link: https://www.econbiz.de/10012943386

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 …

Persistent link: https://www.econbiz.de/10013051612

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 using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2021

This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the 'Dutch disease' and the 'resource curse', which primarily focuses on...

Persistent link: https://www.econbiz.de/10013315924

Identification of New Keynesian Phillips Curves from a Global Perspective

Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10013316577