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Learning, structural instability and present value calculations

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

Persistent link: https://www.econbiz.de/10003328204

Optimal asset allocation with factor models for large portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2008

Persistent link: https://www.econbiz.de/10003850829

Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2008

Persistent link: https://www.econbiz.de/10003850869

Variable selection and inference for multi-period forecasting problems

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

Persistent link: https://www.econbiz.de/10003851191

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...