Similar Search Results

Signs of impact effects in time series regression models

Pesaran, M. Hashem; Smith, Ron P. - In: Economics Letters 122 (2014) 2, pp. 150-153

In this paper we consider the problem of interpreting the signs of the estimated coefficients in multivariate time series regressions where the regressors are correlated. Using a continuous time model, we argue that focusing on the signs of individual coefficients in such regressions could be...

Persistent link: https://www.econbiz.de/10010743709

Econometrics: A Bird’s Eye View

Geweke, John F.; Horowitz, Joel L.; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2006

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly … modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy … process; thus paving the way for establishing the foundation of "real time econometrics". This paper attempts to provide an …

Persistent link: https://www.econbiz.de/10005763931

A Structural Cointegrating VAR Approach to Macroeconometric Modelling

Garratt, Anthony; Lee, Kevin C; Pesaran, M. Hashem; … - Faculty of Economics, University of Cambridge - 1998

This paper discusses the ?structural cointegrating VAR? approach to macroeconometric modelling and compares it to other approaches currently followed in the literature, namely, the large-scale simultaneous equation macroeconometric models, the structural VARs, and the dynamic stochastic general...

Persistent link: https://www.econbiz.de/10005647467

Econometrics : A Bird's Eye View

Geweke, John - 2008

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly … modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy … process; thus paving the way for establishing the foundation of real time econometrics. This paper attempts to provide an …

Persistent link: https://www.econbiz.de/10012773713

Signs of Impact Effects in Time Series Regression Models

Pesaran, M. Hashem - 2013

Persistent link: https://www.econbiz.de/10013074725

Revisiting the Great Ratios Hypothesis

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022

The idea that certain economic variables are roughly constant in the long run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical models in economics as conditions for balanced growth,...

Persistent link: https://www.econbiz.de/10013295156

Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, M. Hashem; Zaffaroni, Paolo - 2004

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...

Persistent link: https://www.econbiz.de/10002574365

Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

Pesaran, M. Hashem (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002523934

Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management

Pesaran, M. Hashem; Zaffaroni, Paolo - 2005

Persistent link: https://www.econbiz.de/10003224850

Social distancing, vaccination and evolution of COVID-19 transmission rates in Europe

Chudik, Alexander; Pesaran, M. Hashem; Rebucci, Alessandro - In: IMF economic review 71 (2023) 2, pp. 474-508

Persistent link: https://www.econbiz.de/10014327142