13 citations · 14 across the 11 of their papers we have counts for
13 papers · 1 filter
The Output Convergence Debate Revisited: Lessons from recent developments in the analysis of panel data models
M Hashem Pesaran, Ron Smith
This paper provides a critical examination of the empirical basis of the output convergence debate in the light of recent developments in the analysis of dynamic heterogeneous pane…
Analysis of Multiple Long-Run Relations in Panel Data Models
Alexander Chudik, M. Hashem Pesaran, Ron P. Smith
The literature on panel cointegration is extensive but does not cover data sets where the cross section dimension, , is larger than the time series dimension . This paper pro…
Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors
M. Hashem Pesaran, Ron P. Smith
The risk premia of traded factors are the sum of factor means and a parameter vector we denote by ϕ which is identified from the cross section regression of alpha of individual sec…
Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity
M. Hashem Pesaran, Andreas Pick, Allan Timmermann
We provide a comprehensive examination of the predictive performance of panel forecasting methods based on individual, pooling, fixed effects, and empirical Bayes estimation, and p…
High-dimensional forecasting with known knowns and known unknowns
M. Hashem Pesaran, Ron P. Smith
Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecast…
Variable Selection in High Dimensional Linear Regressions with Parameter Instability
Alexander Chudik, M. Hashem Pesaran, Mahrad Sharifvaghefi
This paper considers the problem of variable selection allowing for parameter instability. It distinguishes between signal and pseudo-signal variables that are correlated with the…
Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels
Alexander Chudik, M. Hashem Pesaran, Ron P. Smith
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneou…
Estimation of Average Effects in Short Heterogeneous Panels
M. Hashem Pesaran, Liying Yang
The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. The mean group estimator proposed by \cite{PesaranS…
Structural Econometric Estimation of the Basic Reproduction Number for Covid-19 Across U.S. States and Selected Countries
Ida Johnsson, M. Hashem Pesaran, Cynthia Fan Yang
This paper proposes a structural econometric approach to estimating the basic reproduction number () of Covid-19. This approach identifies in a p…
Heterogeneous Autoregressions in Short T Panel Data Models
M. Hashem Pesaran, Liying Yang
This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], th…
Identification and Estimation of Categorical Random Coefficient Models
Zhan Gao, M. Hashem Pesaran
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are i…
How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test
M. Hashem Pesaran, Yimeng Xie
In a recent paper Juodis and Reese (2022) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-reje…
Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
M. Hashem Pesaran, Cynthia Fan Yang
This paper develops an individual-based stochastic network SIR model for the empirical analysis of the Covid-19 pandemic. It derives moment conditions for the number of infected an…