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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

Testing uncovered interest rate parity using LIBOR

Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - 2012

markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm … to the long-run equilibrium is proportional to the maturity of the underlying instrument. -- UIP ; LIBOR ; panel …

Persistent link: https://www.econbiz.de/10009570031

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

Endogenous skill formation and the source country effects of international labor market integration

Egger, Hartmut (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003498678

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

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

Growth and earnings persistence in banking firms: a dynamic panel investigation

Shehzad, Choudhry Tanveer; Haan, Jakob de; Scholtens, Bert - 2009

bank. Using a dynamic panel model estimated by GMM for a mixed sample of more than 1500 banks from 65 countries, we find no …

Persistent link: https://www.econbiz.de/10003883061

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

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

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