3 papers
econ.EM2026
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 Pesaran and Sm…
econ.EM2026
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…
econ.EM2024
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 Ï which is identified from the cross section regression of alpha of individual se…