Similar Search Results

Identification of New Keynesian Phillips Curves from a global perspective

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

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

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

An empirical growth model for major oil exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2012

This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focuses on...

Persistent link: https://www.econbiz.de/10009535794

Infinite dimensional VARs and factor models

Chudik, Alexander (contributor); … - 2007

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

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

On identification of Bayesian DSGE models

Koop, Gary; Pesaran, M. Hashem; Smith, Ron - 2011

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...

Persistent link: https://www.econbiz.de/10009238657

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10003586562

Aggregation in large dynamic panels

Pesaran, M. Hashem; Chudik, Alexander - 2011

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

Persistent link: https://www.econbiz.de/10009130496

Oil exports and the Iranian economy

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2009

the world. We also find that the Iranian economy adjusts quite quickly to the shocks in foreign output and oil exports …

Persistent link: https://www.econbiz.de/10003909263

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/10009530816

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

On econometric analysis of structural systems with permanent and transitory shocks and exogenous variables

Pagan, Adrian R. (contributor); … - 2007

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...

Persistent link: https://www.econbiz.de/10003536155