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Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

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/10003807908

A spatio-temporal model of house prices in the US

Holly, Sean (contributor); Pesaran, M. Hashem (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003379833

Learning, structural instability and present value calculations

Pesaran, M. Hashem (contributor); … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such … as well as the form and stability of the data generating process underlying the cash flows. This paper presents new … parameters characterizing the growth rate of the cash flow process. Furthermore, we explore the consequences for present values …

Persistent link: https://www.econbiz.de/10003300967

Spatial and temporal diffusion of house prices in the UK

Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi - 2010

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....

Persistent link: https://www.econbiz.de/10003925268

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009488893

Econometric analysis of production networks with dominant units

Pesaran, M. Hashem; Yang, Cynthia Fan - 2016

This paper builds on the work of Acemoglu et al. (2012) and considers a production network with unobserved common technological factor and establishes general conditions under which the network structure contributes to aggregate fluctuations. It introduces the notions of strongly and weakly...

Persistent link: https://www.econbiz.de/10011549388

Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

Persistent link: https://www.econbiz.de/10003120648

Exploring the international linkages of the euro area : a global VAR analysis

Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - 2005

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/10002746106

Pairwise tests of purchasing power parity using aggregate and disaggregate price measures

Pesaran, M. Hashem; Smith, Ron; Yamagata, Takashi; … - 2006

Persistent link: https://www.econbiz.de/10003363539

A two stage approach to spatiotemporal analysis with strong and weak cross-sectional dependence

Bailey, Natalia; Holly, Sean; Pesaran, M. Hashem - 2014

to real house price changes at the level of Metropolitan Statistical Areas in the USA, and estimate a heterogeneous …

Persistent link: https://www.econbiz.de/10010234528