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An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi - 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/10013107701

On Identification of Bayesian DSGE Models

Koop, Gary - 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/10013126923

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 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/10013129942

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

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/10013316934

Oil Exports and the Iranian Economy

Esfahani, Hadi Salehi - 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/10013154980

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 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/10013110862

China's Emergence in the World Economy and Business Cycles in Latin America

Pesaran, M. Hashem - 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/10013121741

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - 2021

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/10013316638

Assessing Forecast Uncertainties in a VECX Modelfor Switzerland: An Exercise in Forecast Combinationacross Models and Observation Windows

Assenmacher-Wesche, Katrin; Pesaran, M. Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

We investigate the effect of forecast uncertainty in a cointegrating vector error correctionmodel for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First,we investigate the effect on forecasting performance of averaging over forecasts fromdifferent models...

Persistent link: https://www.econbiz.de/10005861655

On Econometric Analysis of Structural Systemswith Permanent and Transitory Shocksand Exogenous Variables

Pagan, Adrian; Pesaran, M. Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

This paper considers the implications of the permanent/transitory decomposition of shocksfor identification of structural models in the general case where the model might contain morethan one permanent structural shock. It provides a simple and intuitive generalization of theinfluential work of...

Persistent link: https://www.econbiz.de/10005863249