Narrow search
Showing 1 - 10 of 37
Cover Image
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
Cover Image
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
Cover Image
Endogenous skill formation and the source country effects of international labor market integration
Egger, Hartmut (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003498678
Cover Image
Immigration, search, and redistribution : a quantitative assessment of native welfare
Battisti, Michele; Felbermayr, Gabriel; Peri, Giovanni; … - 2014
We study the effects of immigration on native welfare in a general equilibrium model featuring two skill types, search frictions, wage bargaining, and a redistributive welfare state. Our quantitative analysis suggests that, in all 20 countries studied, immigration attenuates the effects of...
Persistent link: https://www.econbiz.de/10010418118
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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/10003963781
Cover Image
The perils of aggregating foreign variables in panel data models
Ca'Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - 2012
Persistent link: https://www.econbiz.de/10009765178
Cover Image
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