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Cointegration and direct tests of the rational expectations hypothesis

McAleer, Michael; McKenzie, Colin; Pesaran, M. Hashem - 1993

Persistent link: https://www.econbiz.de/10000142719

Forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1992

Persistent link: https://www.econbiz.de/10000137149

Persistence, cointegration and aggregation : a disaggregated analysis of output fluctuations in the US economy

Pesaran, M. Hashem; Pierse, Richard G.; Lee, Kevin C. - 1990

Persistent link: https://www.econbiz.de/10000805454

Structural analysis of vector error correction models with exogenous I(1) variables

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1997

Persistent link: https://www.econbiz.de/10000629002

A floor and ceiling model of US output

Pesaran, M. Hashem; Potter, Simon M. - 1994

Persistent link: https://www.econbiz.de/10000147746

Pooled estimation of long-run relationships in dynamic heterogeneous panels

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Ron - 1997

Persistent link: https://www.econbiz.de/10000642967

Structural analysis of cointegrating VARs

Pesaran, M. Hashem; Smith, Ron - 1998

Persistent link: https://www.econbiz.de/10001350652

Neglected heterogeneity and dynamics in cross-country savings regressions

Haque, Nadeem Ul; Pesaran, M. Hashem; Sharma, Sunil - 1999

Persistent link: https://www.econbiz.de/10001354563

Bounds testing approaches to the analysis of long-run relationships

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1999

Persistent link: https://www.econbiz.de/10001387285

Exponent of Cross-Sectional Dependence for Residuals

Bailey, Natalia - 2019

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10012897997