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Dynamic linear models for heterogeneous panels

Pesaran, M. Hashem; Smith, Ron; Im, KyungSo - 1995

Persistent link: https://www.econbiz.de/10000147764

Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices

Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

Persistent link: https://www.econbiz.de/10011983664

Mean group estimation in presence of weakly cross-correlated estimators

Chudik, Alexander; Pesaran, M. Hashem - In: Economics letters 175 (2019), pp. 101-105

Persistent link: https://www.econbiz.de/10012121199

To pool or not to pool : revisited

Pesaran, M. Hashem; Zhou, Qiankun - 2015

coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed … effects in the panel. It is shown that the pooled estimator remains consistent so long as delta < 1, and is asymptotically …

Persistent link: https://www.econbiz.de/10011283819

To pool or not to pool : revisited

Pesaran, M. Hashem; Zhou, Qiankun - 2017

Persistent link: https://www.econbiz.de/10011788732

Harding, Matthew C.; Lamarche, Carlos; Pesaran, M. Hashem - 2018

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

Persistent link: https://www.econbiz.de/10011898624

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George (contributor); … - 2005

The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...