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Harding, Matthew - 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 … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …

Persistent link: https://www.econbiz.de/10012908711

Harding, Matthew - 2018

Persistent link: https://www.econbiz.de/10012911881

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

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

Testing dependence among serially correlated multi-category variables

Pesaran, M. Hashem (contributor); … - 2006

maximum canonical correlation between pairs of discrete variables. We also propose a trace canonical correlation test using … implement using multivariate regression methods. Monte Carlo experiments show that the proposed tests have good finite sample …

Persistent link: https://www.econbiz.de/10003344606

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...