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Pesaran, M. Hashem - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10013129942

Beyond the DSGE Straitjacket

Pesaran, M. Hashem - 2011

Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort...

Persistent link: https://www.econbiz.de/10013126144

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

Al-Sadoon, Majid - 2012

This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same...

Persistent link: https://www.econbiz.de/10013096447

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi - 2012

-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy's steady state growth …

Persistent link: https://www.econbiz.de/10013107701

Testing Weak Cross-Sectional Dependence in Large Panels

Pesaran, M. Hashem - 2012

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...

Persistent link: https://www.econbiz.de/10013108232

Concentrating on the Fall of the Labor Share

Autor, David H. - 2017

The recent fall of labor's share of GDP in numerous countries is well-documented, but its causes are poorly understood. We sketch a "superstar firm" model where industries are increasingly characterized by "winner take most" competition, leading a small number of highly profitable (and low labor...

Persistent link: https://www.econbiz.de/10012963787

The Fall of the Labor Share and the Rise of Superstar Firms

Autor, David H. - 2017

The fall of labor's share of GDP in the United States and many other countries in recent decades is well documented but its causes remain uncertain. Existing empirical assessments of trends in labor's share typically have relied on industry or macro data, obscuring heterogeneity among firms. In...

Persistent link: https://www.econbiz.de/10012956029

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - 2021

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/10013316638

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

Pesaran, Bahram; Pesaran, M. Hashem - 2021

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10013316934

Panels with Nonstationary Multifactor Error Structures

Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi - 2021

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models …

Persistent link: https://www.econbiz.de/10013317495