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Infinite dimensional VARs and factor models

Chudik, Alexander; Pesaran, Mohammad Hashem - 2007

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 shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

Persistent link: https://www.econbiz.de/10010276258

Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad Hashem - 2010

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …

Persistent link: https://www.econbiz.de/10010276268

Sind Nominallöhne starr? Neuere Evidenz und wirtschaftspolitische Implikationen

Beissinger, Thomas; Knoppik, Christoph - 2003

Bei Vorliegen nach unten starrer Nominallöhne erschwert niedrige Inflation Reallohnanpassungen und führt so möglicherweise zu erhöhter gleichgewichtiger Arbeitslosigkeit. Dieser Aufsatz analysiert die wachsende Evidenz zu nach unten starren Nominallöhnen. Es werden nicht nur die...

Persistent link: https://www.econbiz.de/10010261537

A Pair-Wise Approach to Testing for Output and Growth Convergence

Pesaran, Mohammad Hashem - 2004

This paper proposes a pair-wise approach to testing for output convergence that considers all N(N-1)/2 possible pairs of log per capita output gaps across N economies. A general probabilistic definition of output convergence is also proposed, which suggests that all such output gap pairs must be...

Persistent link: https://www.econbiz.de/10010276183

Identification of New Keynesian Phillips Curves from a global perspective

Dees, Stephane; Pesaran, Mohammad 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/10010276262