3 papers
econ.EM2026
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…
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.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…