Similar Search Results

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - In: Econometric theory 21 (2005) 4, pp. 795-837

Persistent link: https://www.econbiz.de/10003004733

Real-time econometrics

Pesaran, M. Hashem; Timmermann, Allan - In: Econometric theory 21 (2005) 1, pp. 212-231

Persistent link: https://www.econbiz.de/10002674695

Multivariate linear rational expectations models : characterization of the nature of the solutions and their fully recursive computation

Binder, Michael - In: Econometric theory 13 (1997) 6, pp. 877-888

Persistent link: https://www.econbiz.de/10001236160

An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Al-Sadoon, Majid - 2016

This paper proposes an exponential class of dynamic binary choice panel data models for the analysis of short T (time dimension) large N (cross section dimension) panel data sets that allows for unobserved heterogeneity (fixed effects) to be arbitrarily correlated with the covariates. The paper...

Persistent link: https://www.econbiz.de/10013000727

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10012959777

Detection of Units with Pervasive Effects in Large Panel Data Models

Kapetanios, George - 2019

The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such pervasive units by basing our analysis on unit-speci c residual error variances in the context...

Persistent link: https://www.econbiz.de/10012897156

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

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2016

This paper proposes a new double-question survey method that elicits information about how individuals' subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief...

Persistent link: https://www.econbiz.de/10012978031

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

Cun, Wukuang - 2020

determined jointly with location-to-location migration flows. The agent's optimal location choice and the resultant migration … wage and housing cost differentials, endogenously responding to migration flows. The model is calibrated on a panel of … California, as an example. It is shown that such a positive productivity shock raises local wages and induces net migration …

Persistent link: https://www.econbiz.de/10012852498

To Pool or Not to Pool : Revisited

Pesaran, M. Hashem - 2015

This paper provides a new comparative analysis of pooled least squares and fixed effects estimators of the slope coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed to increase without bounds. The individual effects...

Persistent link: https://www.econbiz.de/10013021006