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Optimal asset allocation with factor models for large portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - 2008
Persistent link: https://www.econbiz.de/10003850829
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003851191
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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/10008856398
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003604648
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Infinite dimensional VARs and factor models
Chudik, Alexander (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003596456
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem; Chudik, Alexander - 2010
Persistent link: https://www.econbiz.de/10003981026
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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808714
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A bias-corrected CD test for error cross-sectional dependence in panel data models with latent factors
Pesaran, M. Hashem; Xie, Yimeng - 2021
Persistent link: https://www.econbiz.de/10013259565