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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …
Persistent link: https://www.econbiz.de/10012943450
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A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model
Chudik, Alexander - 2020
This paper develops a threshold-augmented dynamic multi-country model (TGVAR) to quantify the macroeconomic effects of COVID-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant...
Persistent link: https://www.econbiz.de/10012822827
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Estimation and Inference for Spatial Models with Heterogeneous Coefficients : An Application to U.S. House Prices
Aquaro, Michele - 2020
This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag …) estimation procedure is developed and the conditions for identification of the spatial coefficients are derived. The QML …
Persistent link: https://www.econbiz.de/10012849871
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Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators
Chudik, Alexander - 2020
This paper extends the mean group (MG) estimator for random coefficient panel data models by allowing the underlying individual estimators to be weakly cross-correlated. Weak cross-sectional dependence of the individual estimators can arise, for example, in panels with spatially correlated...
Persistent link: https://www.econbiz.de/10012850844
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets
Bailey, Natalia - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10013051612
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10013053343
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Learning, Structural Instability and Present Value Calculations
Pesaran, M. Hashem - 2016
Persistent link: https://www.econbiz.de/10012991185
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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/10013041372
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Forecasting Random Walks under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10012714199
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Identifying global and national output and fiscal policy shocks using a GVAR
Chudik, Alexander; Pesaran, M. Hashem; Mohaddes, Kamiar - 2018
Persistent link: https://www.econbiz.de/10012672302