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Impulse response analysis in nonlinear multivariate models

Koop, Gary; Pesaran, M. Hashem; Potter, Simon M. - In: Journal of econometrics 74 (1996) 1, pp. 119-147

Persistent link: https://www.econbiz.de/10001755367

Nonlinear time series modelling : an introduction

Potter, Simon M. - 1999

Persistent link: https://www.econbiz.de/10001410019

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 possibly correlated with exogenously given individual-specific regressors and/or the observed common effects. The basic idea behind the proposed estimation procedure is to filter...

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

Estimation of a simple class of multivariate rational expectations models : a test of the new classical model at a sectoral level

Pesaran, M. Hashem - 1989 - rev. version

Persistent link: https://www.econbiz.de/10000127652

A generalised R 2 criterion for regression models estimated by the instrumental variable method

Pesaran, M. Hashem - 1992

Persistent link: https://www.econbiz.de/10000137152

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

Pesaran, M. Hashem (contributor) - 2004

This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure where the unobserved common factors are (possibly) correlated with exogenously given individual-specific regressors, and the factor loadings differ over the cross section units....