13 citations · 14 across the 11 of their papers we have counts for
7 papers · 1 filter
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…
Causal effects of the Fed's large-scale asset purchases on firms' capital structure
Andrea Nocera, M. Hashem Pesaran
We investigate the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on non-financial firms' capital structure using a threshold panel ARDL…
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…