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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - 2011
This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...
Persistent link: https://www.econbiz.de/10009010169
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Revisiting the great ratios hypothesis
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022
pooled mean group estimator (SPMG) to deal with these features. Using this new panel estimator and a dataset spanning almost …
Persistent link: https://www.econbiz.de/10013041372
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 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/10003854425
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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/10003969212
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Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
Chudik, Alexander; Pesaran, M. Hashem - 2013
This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data … cross section averages must be included in individual equations of the panel, and the number of cross section averages must … dimension of the panel is sufficiently large. …
Persistent link: https://www.econbiz.de/10009743851
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Large panel data models with cross-sectional dependence : a survey
Chudik, Alexander; Pesaran, M. Hashem - 2013
This paper provides an overview of the recent literature on estimation and inference in large panel data models with … cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with …-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between …
Persistent link: https://www.econbiz.de/10009786037
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Is there a debt-threshold effect on output growth?
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2015
develop tests for threshold effects in the context of dynamic heterogeneous panel data models with cross-sectionally dependent …
Persistent link: https://www.econbiz.de/10011292965
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Debt, inflation and growth : robust estimation of long-run effects in dynamic panel data models
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2013
the estimation of long-run effects in dynamic heterogeneous panel data models with cross-sectionally dependent errors. The …
Persistent link: https://www.econbiz.de/10010212372
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A bias-corrected method of moments approach to estimation of dynamic Short-T panels
Chudik, Alexander; Pesaran, M. Hashem - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10011735967
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Infinite dimensional VARs and factor models
Chudik, Alexander (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003624878