Similar Search Results

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

Kapetanios, George; Pesaran, M. Hashem - In: The refinement of econometric estimation and test …, (pp. 239-281). 2007

Persistent link: https://www.econbiz.de/10003461881

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

Persistent link: https://www.econbiz.de/10002808264

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

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808714

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...

Persistent link: https://www.econbiz.de/10002734112

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

Persistent link: https://www.econbiz.de/10012583496

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10011900761

Estimation and inference in large heterogeneous panels with a multifactor error structure

Pesaran, M. Hashem - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 967-1012

Persistent link: https://www.econbiz.de/10003346168

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time …) estimation as an alternative to our proposed ML estimator, it is shown that conventional GMM estimators based on standard …

Persistent link: https://www.econbiz.de/10009786715

Estimation and inference in large heterogenous panels with cross section dependence

Pesaran, M. Hashem - 2003

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors … behind the proposed estimation procedure is to filter the individual-specific regressors by means of (weighted) cross … commond factors are eliminated. The estimation procedure has the advantage that it can be computed by OLS applied to an …

Persistent link: https://www.econbiz.de/10011505911

Variable selection, estimation and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - In: Journal of econometrics 164 (2011) 1, pp. 173-187

Persistent link: https://www.econbiz.de/10009270389

1
2
3
4
5
6
7
8
9
10
Next
Last