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Hsiao, Cheng; Pesaran, M. Hashem - 2021

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coefficients formulation using...

Persistent link: https://www.econbiz.de/10013319138

General Diagnostic Tests for Cross Section Dependence in Panels

Pesaran, M. Hashem - 2021

, and as predicted by the theory, quite robust to the presence of unit roots and structural breaks. The use of the CD test …

Persistent link: https://www.econbiz.de/10013319142

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - 2021

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if...

Persistent link: https://www.econbiz.de/10013319180

Real Time Econometrics

Pesaran, M. Hashem; Timmermann, Allan - 2021

This paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Persistent link: https://www.econbiz.de/10013319323

How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series?

Pesaran, M. Hashem; Timmermann, Allan - 2021

Empirical evidence suggests that many macroeconomic and financial time series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation between the forecast and the realization and on the ability to forecast...

Persistent link: https://www.econbiz.de/10013320053

The Cost Efficiency of UK Debt Management : A Recursive Modelling Approach

Coe, Patrick; Pesaran, M. Hashem; Vahey, Shaun - 2021

This paper presents an empirical analysis of the efficiency of the UK debt management authorities?s (DMA) behaviour from a cost minimisation perspective over the period January 1985 to March 1995. During this period, the maturity structure of the government?s bond portfolio was subject to...

Persistent link: https://www.econbiz.de/10013321183

A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages

Cun, Wukuang; Pesaran, M. Hashem - 2022

This paper develops and solves a spatiotemporal equilibrium model in which regional wages and house prices are jointly determined with location-to-location migration flows. The agent’s optimal location choice and the resultant migration process are shown to be Markovian, with the transition...

Persistent link: https://www.econbiz.de/10013323973

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

Persistent link: https://www.econbiz.de/10013325198

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled …

Persistent link: https://www.econbiz.de/10013176894

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors … the stochastic discount factor (mt) used to price securities within inter-temporal asset pricing models. We show that risk … errors in the statistical factor model with mt: Secondly we compare estimates of factor risk premia using portfolios with the …

Persistent link: https://www.econbiz.de/10013233142