3 papers
econ.EM2025
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…
econ.EM2023
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…
econ.EM2023
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…