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Infinite dimensional VARs and factor models

Chudik, Alexander (contributor); … - 2007

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10003646695

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756

The economics of human development and social mobility

Heckman, James J.; Mosso, Stefano - 2014

This paper distills and extends recent research on the economics of human development and social mobility. It summarizes the evidence from diverse literatures on the importance of early life conditions in shaping multiple life skills and the evidence on critical and sensitive investment periods...

Persistent link: https://www.econbiz.de/10010252655

Identification of New Keynesian Phillips Curves from a global perspective

Dées, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008

number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first …

Persistent link: https://www.econbiz.de/10003652695

China's emergence in the world economy and business cycles in Latin America

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2011

world have altered the transmission mechanism of international business cycles to Latin America. Evidence based on a Global … world shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased by three … associated with a deceleration in China's economic growth in the future for both Latin America and the rest of the world economy …

Persistent link: https://www.econbiz.de/10009311486

Skill policies for Scotland

Heckman, James J. (contributor); … - 2004

This paper argues that skill formation is a life-cycle process and develops the implications of this insight for Scottish social policy. Families are major producers of skills, and a successful policy needs to promote effective families and to supplement failing ones. We present evidence that...

Persistent link: https://www.econbiz.de/10002540578

A pair-wise approach to testing for output and growth convergence

Pesaran, M. Hashem (contributor) - 2004 - [Elektronische Ressource]

to output series in the Penn World Tables over 1950-2000, as well as to Maddion's historical series over 1870 …

Persistent link: https://www.econbiz.de/10002422931

Instrumental variables in models with multiple outcomes : the general unordered case

Heckman, James J. (contributor); Urzua, Sergio (contributor) - 2008

This paper develops the method of local instrumental variables for models with multiple, unordered treatments when treatment choice is determined by a nonparametric version of the multinomial choice model. Responses to interventions are permitted to be heterogeneous in a general way and agents...

Persistent link: https://www.econbiz.de/10003729412

Panel unit root tests in the presence of a multifactor error structure

Pesaran, M. Hashem (contributor); … - 2007

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

Persistent link: https://www.econbiz.de/10003652679

Forecasting time series subject to multiple structural breaks

Pesaran, M. Hashem (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002120362

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