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User profiles for author:"M Pesaran"

M. Hashem Pesaran

Professor of Economics, Cambridge University and John Elliot Chair of Economics, USC
Verified email at cam.ac.uk
Cited by 28866

Testing for unit roots in heterogeneous panels

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KS Im, MH Pesaran… - Journal of econometrics, 2003 - Elsevier
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Bounds testing approaches to the analysis of level relationships

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MH Pesaran, Y Shin… - Journal of applied …, 2001 - Wiley Online Library
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Estimating long-run relationships from dynamic heterogeneous panels

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MH Pesaran… - Journal of econometrics, 1995 - Elsevier
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An autoregressive distributed-lag modelling approach to cointegration analysis

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MH Pesaran… - ECONOMETRIC SOCIETY …, 1998 - books.google.com
Page 387. CHAPTER 11 An Autoregressive Distributed-Lag Modelling Approach
to Cointegration Analysis M. Hashem Pesaran and Yongcheol Shin 1 Introduction
Econometric analysis of long-run relations has been the focus ...
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Impulse response analysis in nonlinear multivariate models

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G Koop, MH Pesaran… - Journal of Econometrics, 1996 - Elsevier
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[CITATION] Working with Microfit 4.0: Interactive econometric analysis

MH Pesaran… - 1997 - Oxford University Press
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Pooled mean group estimation of dynamic heterogeneous panels

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MH Pesaran, Y Shin… - Journal of the American Statistical …, 1999 - JSTOR
Page 1. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels M. Hashem
PESARAN, Yongcheol SHIN, and Ron P. SMITH It is now quite common to have panels
in which both T, the number of time series observations ...
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A simple panel unit root test in the presence of cross‐section dependence

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MH Pesaran - Journal of Applied Econometrics, 2007 - Wiley Online Library
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[BOOK] The limits to rational expectations

MH Pesaran - 1989 - Cambridge Univ Press
Page 1. Econometric Theory. 6, 1990, 103-112. Printed in the United States of America. BOOK
REVIEWS THE LIMITS TO RATIONAL EXPECTATIONS by M. Hashem Pesaran Basil Blackwell,
1987 MR WlCKENS University of Southampton The title of this book is well chosen. ...
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Predictability of stock returns: Robustness and economic significance

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MH Pesaran… - Journal of Finance, 1995 - JSTOR
Page 1. THE JOURNAL OF FINANCE . VOL. L, NO. 4 a SEPTEMBER 1995
Predictability of Stock Returns: Robustness and Economic Significance M. HASHEM
PESARAN AND ALLAN TIMMERMANN* ABSTRACT This article ...
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[PDF] Growth and convergence in a multi-country empirical stochastic Solow model

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K Lee, MH Pesaran… - Journal of applied …, 1997 - homepage.ntu.edu.tw
Page 1. GROWTH AND CONVERGENCE IN A MULTI-COUNTRY EMPIRICAL
STOCHASTIC SOLOW MODEL KEVIN LEE,aà M. HASHEM PESARANb AND RON
SMITHc aDepartment of Economics, University of Leicester, University ...
Cited by 515 - Related articles - View as HTML - Library Search - BL Direct - All 14 versions

General diagnostic tests for cross section dependence in panels

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MH Pesaran - CESifo Working Paper Series No. 1229; IZA …, 2004 - papers.ssrn.com
Page 1. Center for Economic Studies & Ifo Institute for Economic Research CESifo Working
Paper No. 1229 Institute for the Study of Labor IZA IZA Discussion Paper No. 1240 General
Diagnostic Tests for Cross Section Dependence in Panels ...
Cited by 487 - Related articles - Library Search - All 35 versions

Estimation and inference in large heterogeneous panels with a multifactor error structure

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MH Pesaran - Econometrica, 2006 - Wiley Online Library
Page 1. Econometrica, Vol. 74, No. 4 (July, 2006), 967–1012 ESTIMATION AND
INFERENCE IN LARGE HETEROGENEOUS PANELS WITH A MULTIFACTOR
ERROR STRUCTURE BY M. HASHEM PESARAN1 This paper ...
Cited by 464 - Related articles - Library Search - BL Direct - All 38 versions

A simple nonparametric test of predictive performance

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MH Pesaran… - Journal of Business & Economic Statistics, 1992 - JSTOR
Page 1. Journal of Business & Economic Statistics, October 1992, Vol. 10, No. 4 A
Simple Nonparametric Test of Predictive Performance M. Hashem Pesaran Faculty
of Economics and Politics, University of Cambridge, Cambridge ...
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On the general problem of model selection

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MH Pesaran - The Review of Economic Studies, 1974 - JSTOR
Page 1. On the General Problem of Model Selection 12 MH PESARAN The Central
Bank of Iran I. THE PROBLEM AND ITS POPULAR SOLUTION In econometrics, as
in any other scientific discipline, a research worker is constantly ...
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Unit roots and cointegration in panels

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J Breitung… - The Econometrics of Panel Data, 2008 - Springer
Page 1. Chapter 9 Unit Roots and Cointegration in Panels Jörg Breitung and M.
Hashem Pesaran 9.1 Introduction Recent advances in time series econometrics
and panel data analysis have focussed attention on unit root and ...
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Structural analysis of vector error correction models with exogenous< i> I</i>(1) variables

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MH Pesaran, Y Shin… - Journal of Econometrics, 2000 - Elsevier
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Testing for the'Existence of a Long-run Relationship'

MH Pesaran, Y Shin… - Cambridge Working Papers in …, 1996 - ideas.repec.org
This paper develops a new approach to testing for the existence of a linear long-run relationship,
when the orders of integration of the underlying regressors are not known with certainty. The
test is the standard Wald or F statistic for testing the significance of the lagged levels of the ...
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Long-run structural modelling

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MH Pesaran… - Econometric Reviews, 2002 - Taylor & Francis
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[PDF] Modeling regional interdependencies using a global error-correcting macroeconometric model

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MH Pesaran, T Schuermann… - Journal of Business and Economic …, 2004 - ASA
Page 1. Editor's Note: The following article was the JBES Invited Adress presented at the Joint
Statistical Meetings, San Francisco, California, August 3–7, 2003. Modeling Regional
Interdependencies Using a Global Error-Correcting Macroeconometric Model ...
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Testing non-nested nonlinear regression models

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MH Pesaran… - Econometrica: Journal of the Econometric …, 1978 - JSTOR
Page 1. Econometrica, Vol. 46, No. 3 (May, 1978) TESTING NON-NESTED
NONLINEAR REGRESSION MODELS BY MH PESARAN AND AS DEATON In
Pesaran [9], the test developed by Cox for comparing separate families ...
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Cointegration and speed of convergence to equilibrium

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MH Pesaran… - Journal of Econometrics, 1996 - Elsevier
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The role of economic theory in modelling the long run

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MH Pesaran - The Economic Journal, 1997 - JSTOR
Page 1. The Economic Journal, 107 (January), I78-I9I. ? Royal Economic Society
I997. Published by Blackwell Publishers, io8 Cowley Road, Oxford OX4 iJF, UK
and 238 Main Street, Cambridge, MA 02I42, USA. THE ROLE ...
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Structural analysis of cointegrating VARs

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MH Pesaran… - Journal of Economic Surveys, 1998 - Wiley Online Library
Page 1. STRUCTURAL ANALYSIS OF COINTEGRATING VARs M. Hashem Pesaran
Cambridge University and University of Southern California Ron P. Smith Birkbeck
College, London and University of Colorado at Boulder Abstract. ...
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Economic and statistical measures of forecast accuracy

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CWJ Granger… - 2004 - dspace.cam.ac.uk
Page 1. Economic and Statistical Measures of Forecast Accuracy Clive WJ Granger
University of California, San Diego M. Hashem Pesaran Trinity College, Cambridge
May 1999 Abstract This paper argues in favour of a closer ...
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A floor and ceiling model of US output

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MH Pesaran… - Journal of Economic Dynamics and Control, 1997 - Elsevier
Cited by 216 - Related articles - All 9 versions

Exploring the international linkages of the euro area: a global VAR analysis

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S Dees, F Mauro, MH Pesaran… - Journal of Applied …, 2007 - Wiley Online Library
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[CITATION] Dynamic linear models for heterogeneous panels

MH Pesaran, R Smith… - Cambridge Working Papers in …, 1995 - econpapers.repec.org
By M Hashem Pesaran, Ronald Smith and KS Im; Dynamic
Linear Models for Heterogeneous Panels.
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Tests of non-nested regression models* 1:: Small sample adjustments and Monte Carlo evidence

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LG Godfrey… - Journal of Econometrics, 1983 - Elsevier
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A recursive modelling approach to predicting UK stock returns

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MH Pesaran… - The Economic Journal, 2000 - Wiley Online Library
Page 1. A RECURSIVE MODELLING APPROACH TO PREDICTING UK STOCK
RETURNS√ M. Hashem Pesaran and Allan Timmermann This paper applies an
extended and generalised version of the recursive modelling ...
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Growth empirics: a panel data approach—a comment

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K Lee, MH Pesaran… - The Quarterly Journal of …, 1998 - qje.oxfordjournals.org
... Pesaran, M. Hashem, Ron Smith, and Kyung So Im, ''Dynamic Linear Models for
Heterogeneous Panels,'' Laslo Matyas and Patrick Sevestre, eds. The Econo- metrics of
Panel Data (Amsterdam: Kluwer Academic Publishers, 1996), pp. 145–95. ...
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Macroeconomics and credit risk: a global perspective

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MH Pesaran, BJ Treutler, T Schuermann… - 2003 - papers.ssrn.com
Page 1. Macroeconomic Dynamics and Credit Risk: A Global Perspective* M. Hashem Pesaran
University of Cambridge and USC mhp1@econ.cam.ac.uk Til Schuermann Federal Reserve
Bank of New York and Wharton Financial Institutions Center til.schuermann@ny.frb.org ...
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[CITATION] Microfit 4.0

MH Pesaran… - … Econometric Analysis (Cambridge: Camfit Data Limited …, 1997
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Survey expectations

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MH Pesaran… - Handbook of Economic Forecasting, 2006 - Elsevier
Cited by 152 - Related articles - Library Search - All 40 versions

[CITATION] Multivariate rational expectations models and macroeconometric modelling: A review and some new results

M Binder… - Handbook of Applied Econometrics: Macroeconomics, 1995
Cited by 136 - Related articles - All 5 versions

[CITATION] 11 B ayes estimation of short-run coefficients in dynamic panel data models

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C Hsiao, MH Pesaran… - Analysis of panels and …, 1999 - Cambridge Univ Pr
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Econometric issues in the analysis of contagion

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MH Pesaran… - Journal of Economic Dynamics and Control, 2007 - Elsevier
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration

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M Binder, C Hsiao… - Econometric Theory, 2005 - Cambridge Univ Press
Page 1. ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR
AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION MICHAEL
BINDER Goethe University Frankfurt CHENG HSIAO University of Southern ...
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A generalized R^ 2 criterion for regression models estimated by the instrumental variables method

MH Pesaran… - Econometrica: Journal of the Econometric Society, 1994 - JSTOR
Page 1. Econometrica, Vol. 62, No. 3 (May, 1994), 705-710 A GENERALIZED R2
CRITERION FOR REGRESSION MODELS ESTIMATED BY THE INSTRUMENTAL
VARIABLES METHOD BY M. HASHEM PESARAN AND RICHARD J. SMITH ...
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Econometric analysis of aggregation in the context of linear prediction models

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MH Pesaran, RG Pierse… - Econometrica: Journal of the …, 1989 - JSTOR
Page 1. Econometrica, Vol. 57, No. 4 (July, 1989), 861-888 ECONOMETRIC
ANALYSIS OF AGGREGATION IN THE CONTEXT OF LINEAR PREDICTION
MODELS1 BY MH PESARAN, RG PIERSE, AND MS KUMAR This paper ...
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[PDF] A decision-theoretic approach to forecast evaluation

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CWJ Granger, MH Pesaran… - DAE WORKING …, 1996 - econ.cam.ac.uk
Page 1. A Decision Theoretic Approach to Forecast Evaluation# CWJ Granger
University of California at San Diego, and Trinity College, Cambridge, and M. Hashem
Pesaran Trinity College, Cambridge June 1996 Abstract This ...
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Neglected heterogeneity and dynamics in cross-country savings regressions

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N Ul Haque, MH Pesaran… - 2001 - papers.ssrn.com
Page 1. ]1\/[F Working Paper This is a Working Paper and the author(s) would welcome
any comments on the present text. Citations should refer to a Working Paper of the
Intemational © 1999 Internanona1M0neta1y Fund Monetary Fund. ...
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Panels with non-stationary multifactor error structures

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G Kapetanios, MH Pesaran… - Journal of Econometrics, 2011 - Elsevier
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[CITATION] Expectations formations and macroeconometric modelling

MH Pesaran… - 1985 - The Department
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Market timing and return prediction under model instability

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MH Pesaran… - Journal of Empirical Finance, 2002 - Elsevier
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[PDF] Forecast Uncertainties in Macroeconomic Modeling

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A Garratt, K Lee, MH Pesaran… - Journal of the American Statistical …, 2003 - ASA
Page 1. Forecast Uncertainties in Macroeconomic Modeling: An Application to the
UK Economy Anthony GARRATT, Kevin LEE, M. Hashem PESARAN, and Yongcheol
SHIN We argue that probability forecasts convey information ...
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How costly is it to ignore breaks when forecasting the direction of a time series?

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MH Pesaran… - International Journal of Forecasting, 2004 - Elsevier
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Large panels with common factors and spatial correlation

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MH Pesaran… - Journal of Econometrics, 2011 - Elsevier
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A spatio-temporal model of house prices in the USA

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S Holly, MH Pesaran… - Journal of Econometrics, 2010 - Elsevier
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Comparison of local power of alternative tests of non-nested regression models

MH Pesaran - Econometrica: Journal of the Econometric Society, 1982 - JSTOR
Page 1. Econometrica, Vol. 50, No. 5 (September, 1982) COMPARISON OF LOCAL
POWER OF ALTERNATIVE TESTS OF NON-NESTED REGRESSION MODELS BY
MH PESARAN1 The paper derives and compares the local ...
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Estimation and inference in large heterogenous panels with cross section dependence

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MH Pesaran - 2003 - papers.ssrn.com
Page 1. ESTIMATION AND INFERENCE IN LARGE HETEROGENOUS PANELS WITH CROSS
SECTION DEPENDENCE M. HASHEM PESARAN CESIFO WORKING PAPER NO. 869
CATEGORY 10: EMPIRICAL AND THEORETICAL METHODS FEBRUARY 2003 ...
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Selection of estimation window in the presence of breaks

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MH Pesaran… - Journal of Econometrics, 2007 - Elsevier
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Forecasting stock returns an examination of stock market trading in the presence of transaction costs

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MH Pesaran… - Journal of Forecasting, 1994 - Wiley Online Library
Page 1. Journal of Forecasting, Vol. 13, 335-367 (1994) Forecasting Stock Returns An
Examination of Stock Market Trading in the Presence of Transaction Costs M. HASHEM
PESARAN Trinity College, Cambridge ALLAN TIMMERMANN ...
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Decision‐Based Methods for Forecast Evaluation

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MH Pesaran… - A Companion to Economic …, 2002 - Wiley Online Library
Page 1. DECISION-BASED METHODS 241 CHAPTER ELEVEN Decision-Based
Methods for Forecast Evaluation M. Hashem Pesaran and Spyros Skouras 11.1.
INTRODUCTION This chapter provides an overview of techniques ...
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Persistence, cointegration, and aggregation* 1:: A disaggregated analysis of output fluctuations in the US economy

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MH Pesaran, RG Pierse… - Journal of Econometrics, 1993 - Elsevier
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A critique of the proposed tests of the natural rate-rational expectations hypothesis

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MH Pesaran - The Economic Journal, 1982 - JSTOR
Page 1. THE ECONOMIC JOURNAL SEPTEMBER 1982 The Economic Journal, 92 (September
1982), 529-554 Printed in Great Britain A CRITIQUE OF THE PROPOSED TESTS OF THE
NATURAL RATE-RATIONAL EXPECTATIONS HYPOTHESIS* MH Pesaran ...
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Formation of inflation expectations in British manufacturing industries

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MH Pesaran - The Economic Journal, 1985 - JSTOR
Page 1. The Economic Journal, 95 (December I985), 948-975 Printed in Great Britain
FORMATION OF INFLATION EXPECTATIONS IN BRITISH MANUFACTURING
INDUSTRIES MH Pesaran* Over the past decade increasing ...
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Weak and strong cross‐section dependence and estimation of large panels

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A Chudik, MH Pesaran… - The Econometrics Journal, 2011 - Wiley Online Library
Skip to Main Content. Wiley Online Library will be disrupted 3
Mar from 10-13 GMT for monthly maintenance. ...
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Identification of rational expectations models

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MH Pesaran - Journal of Econometrics, 1981 - Elsevier
This paper deals with the problem of the identification of simultaneous Rational Expectations
(RE) models. In the case of RE models with current expectations of.
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Small sample properties of forecasts from autoregressive models under structural breaks

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MH Pesaran… - Journal of Econometrics, 2005 - Elsevier
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MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE*

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MH Pesaran… - The Manchester School, 2006 - Wiley Online Library
Page 1. MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE* by
M. HASHEM PESARAN Cambridge University and RON SMITH Birkbeck College,
London This paper provides a synthesis and further development ...
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An econometric analysis of exploration and extraction of oil in the UK Continental Shelf

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MH Pesaran - The Economic Journal, 1990 - JSTOR
Page 1. THE ECONOMIC JOURNAL JUNE 1990 The Economic Journal, ioo (June 1990),
367-390 Printed in Great Britain AN ECONOMETRIC ANALYSIS OF EXPLORATION AND
EXTRACTION OF OIL IN THE UK CONTINENTAL SHELF* M. Hashem Pesaran* ...
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Persistence profiles and business cycle fluctuations in a disaggregated model of UK output growth

KC Lee… - Ricerche Economiche, 1993 - Elsevier
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Stochastic growth models and their econometric implications

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M Binder… - Journal of Economic Growth, 1999 - Springer
Page 1. Journal of Economic Growth, 4: 139–183 (June 1999) c 1999 Kluwer Academic
Publishers, Boston. Stochastic Growth Models and Their Econometric Implications MICHAEL
BINDER Department of Economics, University of Maryland, College Park, MD ...
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[BOOK] Nonnested hypothesis testing: an overview

[PDF] from cam.ac.uk
MH Pesaran… - 1999 - Wiley Online Library
Page 1. NONNESTED HYPOTHESIS TESTING 279 CHAPTER THIRTEEN Nonnested
Hypothesis Testing: An Overview M. Hashem Pesaran and Melvyn Weeks 1
INTRODUCTION This chapter focuses on the hypotheses testing ...
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[CITATION] The robustness and economic significance of predictability of stock returns

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MH Pesaran… - Journal of Finance, 1995
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Persistence of shocks and their sources in a multisectoral model of UK output growth

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KC Lee, MH Pesaran… - The Economic Journal, 1992 - JSTOR
Page 1. The Economic Journal, 102 (March I 992), 342-356 Printed in Great Britain
PERSISTENCE OF SHOCKS AND THEIR SOURCES IN A MULTISECTORAL MODEL OF UK
OUTPUT GROWTH* Kevin C. Lee, M. Hashem Pesaran and Richard G. Pierse ...
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A generalization of the non-parametric Henriksson-Merton test of market timing

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MH Pesaran… - Economics Letters, 1994 - Elsevier
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Testing for structural stability and predictive failure: a review

MH Pesaran, RP Smith… - The Manchester School, 1985 - Wiley Online Library
Page 1. TESTING FOR STRUCTURAL STABILITY AND PREDICTIVE FAILURE: A
REVIEW* by MH PESARAN Trinity College, Cambridge RP SMITH Birkbeck College,
London and JS YEOt Centre for Economic Policy Research, London ...
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Firm heterogeneity and credit risk diversification

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SG Hanson, MH Pesaran… - Journal of Empirical Finance, 2008 - Elsevier
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A structural cointegrating VAR approach to macroeconometric modelling

[PDF] from ed.ac.uk
A Garratt, K Lee, MH Pesaran… - Econometric modelling: …, 2000 - books.google.com
Page 110. A structural cointegrating VAR approach to macroeconometric modelling
ANTHONY GARRATT, KEVIN LEE, M. HASHEM PESARAN and YONGCHEOL SHIN
1. Introduction1 Macroeconometric modelling in the UK ...
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Infinite-dimensional VARs and factor models

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A Chudik… - Journal of Econometrics, 2011 - Elsevier
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Long run macroeconomic relations in the global economy

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S Dees, S Holly, MH Pesaran… - 2010 - papers.ssrn.com
Page 1. © Author(s) 2007. This work is licensed under a Creative Commons License -
Attribution-NonCommercial 2.0 Germany discussion Papers Discussion Paper 2007-7 March
1, 2007 Long Run Macroeconomic Relations in the Global Economy Stephane Dees ...
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Testing for unit roots in panels with a factor structure

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J Breitung, S Das, J Bai, S Ng, J Bai… - Econometric …, 2008 - Cambridge Univ Press
Page 1. TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
JÖRG BREITUNG University of Bonn SAMARJIT DAS Indian Statistical Institute
This paper considers various tests of the unit root hypothesis ...
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Forecasting economic and financial variables with global VARs

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MH Pesaran, T Schuermann… - International Journal of …, 2009 - Elsevier
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[BOOK] Alternative approaches to estimation and inference in large multifactor panels: Small sample results with an application to modelling of asset returns

[PDF] from cam.ac.uk
G Kapetanios… - 2005 - papers.ssrn.com
Page 1. ALTERNATIVE APPROACHES TO ESTIMATION AND INFERENCE IN LARGE
MULTIFACTOR PANELS: SMALL SAMPLE RESULTS WITH AN APPLICATION TO MODELLING
OF ASSET RETURNS GEORGE KAPETANIOS M. HASHEM PESARAN ...
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[CITATION] 12 Bias reduction in estimating long-run relationships from dynamic heterogeneous panels

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MH Pesaran… - … dependent variable models: in honour of …, 1999 - Cambridge Univ Pr
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Cross-sectional aggregation of non-linear models

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KJ Van Garderen, K Lee… - Journal of Econometrics, 2000 - Elsevier
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The role of theory in econometrics

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MH Pesaran… - Journal of Econometrics, 1995 - Elsevier
... Kim, K. and AR Pagan, 1995, The econometric analysis of calibrated macroeconomic models,
in: MH Pesaran and M. Wickens, eds., Handbook of applied econometrics. Vol. ... Pesaran, MH,
1987a, Econometrics, The new Palgrave: A dictionary of economics, Vol. ...
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Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management

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MH Pesaran… - CESifo Working Paper Series No. 1358 …, 2004 - papers.ssrn.com
Page 1. Center for Economic Studies & Ifo Institute for Economic Research CESifo Working
Paper No. 1358 Institute for Economic Policy Research IEPR IEPR Working Paper No.
04.3 Model Averaging and Value-at-Risk Based Evaluation ...
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Multivariate linear rational expectations models

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M Binder… - Econometric Theory, 1997 - Cambridge Univ Press
Page 1. Econometric Theory, 13, 1997, 877-888. Printed in the United States of America.
MULTIVARIATE LINEAR RATIONAL EXPECTATIONS MODELS Characterization of the
Nature of the Solutions and Their Fully Recursive Computation ...
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Inflation, Capital Gains and UK Personal Savings: 1953-1981

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MH Pesaran… - The Economic Journal, 1984 - JSTOR
Page 1. TH E ECONOMI C JOURNAL JUNE 1984 The Economic Journal, 94 (June
1984), 237-257 Printed in Great Britain INFLATION, CAPITAL GAINS AND UK
PERSONAL SAVINGS: 1953-1981* MH Pesaran and RA Evans ...
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The role of sectoral interactions in wage determination in the UK economy

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KC Lee… - The Economic Journal, 1993 - JSTOR
Page 1. The Economic Journal, 103 (January I 993), 2I-55 Printed in Great Britain
THE ROLE OF SECTORAL INTERACTIONS IN WAGE DETERMINATION IN THE
UK ECONOMY* Kevin C. Lee and M. Hashem Pesaran The ...
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[CITATION] Y. Shin (1997):“Testing for Unit Roots in Heterogeneous Panels”

KS Im… - Manuscript, University of Cambridge
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Identification of new Keynesian Phillips curves from a global perspective

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S Dees, MH Pesaran, LV Smith… - Journal of Money, Credit …, 2009 - Wiley Online Library
Skip to Main Content. ...
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Global and partial non-nested hypotheses and asymptotic local power

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MH Pesaran - Econometric Theory, 1987 - Cambridge Univ Press
Page 1. Econometric Theory, 3, 1987, 69-97. Printed in the United States of America.
GLOBAL AND PARTIAL NON-NESTED HYPOTHESES AND ASYMPTOTIC LOCAL
POWER M. Hashem PESARAN Trinity College, Cambridge, UK ...
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Lumpy price adjustments: A microeconometric analysis

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E Dhyne, C Fuss, MH Pesaran… - Journal of Business & …, 2011 - Taylor & Francis
Page 1. Supplementary materials for this article are available online. Please click the
JBES link at http://pubs.amstat.org. Lumpy Price Adjustments: A Microeconometric
Analysis Emmanuel DHYNE National Bank of Belgium, Boulevard ...
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Global business cycles and credit risk

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MH Pesaran, T Schuermann… - 2005 - nber.org
Page 1. NBER WORKING PAPER SERIES GLOBAL BUSINESS CYCLES AND
CREDIT RISK M. Hashem Pesaran Til Schuermann Björn-Jakob Treutler Working
Paper 11493 http://www.nber.org/papers/w11493 NATIONAL ...
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On the comprehensive method of testing non-nested regression models

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MH Pesaran - Journal of Econometrics, 1982 - Elsevier
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Exact maximum likelihood estimation of a regression equation with a first-order moving-average error

MH Pesaran - The Review of Economic Studies, 1973 - JSTOR
Page 1. Exact Maximum Likelihood Estima- tion of a Regression Equation with a
First-Order Moving-Average Error12 MH PESARAN University of Cambridge I.
INTRODUCTION The problem of estimation and hypothesis testing ...
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

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B Pesaran… - 2007 - papers.ssrn.com
Page 1. IEPR WORKING PAPER NO. 07.19 ~ and~ CESifo WORKING PAPER NO. 2056
CATEGORY 10: EMPIRICAL AND THEORETICAL METHODS ~ and~ IZA DISCUSSION PAPER
NO. 2906 Modelling Volatilities and Conditional Correlations in Futures Markets with a ...
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A bias‐adjusted LM test of error cross‐section independence

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MH Pesaran, A Ullah… - The Econometrics Journal, 2008 - Wiley Online Library
Skip to Main Content. ...
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Model averaging in risk management with an application to futures markets

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MH Pesaran, C Schleicher… - Journal of Empirical Finance, 2009 - Elsevier
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[CITATION] Handbook of applied econometrics: Macroeconomics

MH Pesaran… - 1999 - Wiley-Blackwell
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Testing for aggregation bias in linear models

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KC Lee, MH Pesaran… - The Economic Journal, 1990 - JSTOR
Page 1. The Economic Journal, I00 (Conference I990), I37-I50 Printed in Great Britain
TESTING FOR AGGREGATION BIAS IN LINEAR MODELS KC Lee, MH Pesaran
and RG Pierse The problem of aggregation over micro units ...
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What if the UK had Joined the Euro in 1999? An empirical evaluation using a Global VAR

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MH Pesaran, R Smith… - CESifo Working Paper Series No. …, 2005 - papers.ssrn.com
Page 1. Center for Economic Studies & Ifo Institute for Economic Research CESifo Working Paper
No. 1477 Institute for Economic Policy Research IEPR IEPR Working Paper No. 05.24 What if
the UK had Joined the Euro in 1999? An Empirical Evaluation using a Global VAR ...
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An analysis of the determination of Deutsche mark/French franc exchange rate in a discrete-time target-zone model

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MH Pesaran… - The Economic Journal, 1992 - JSTOR
Page 1. The Economic Journal, 102 (March 1992), 388-401 Printed in Great Britain AN ANALYSIS
OF THE DETERMINATION OF DEUTSCHE MARK/FRENCH FRANC EXCHANGE RATE IN A
DISCRETE-TIME TARGET-ZONE MODEL* M. Hashem Pesaran and Hossein Samiei ...
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[BOOK] Aggregation bias in labour demand equations for the UK economy

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K Lee, MH Pesaran, RG Pierse… - 1989 - econ.ucla.edu
Page 1. AGGREGATION BIAS AND LABOR DEMAND EQUATIONS FOR THE UK ECONOMY*
by 1 2 1 K. Lee, , MH Pesaran, , RG Pierse July 1988 UCLA Working Paper No. 492 * We are
grateful to Ed Learner and Franco Peracchi for helpful comments and suggestions. ...
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Evaluation of macroeconometric models

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MH Pesaran… - Economic modelling, 1985 - Elsevier
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The system of dependent capitalism in pre-and post-revolutionary Iran

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MH Pesaran - International Journal of Middle East Studies, 1982 - Cambridge Univ Press
Page 1. Int. J. Middle East Stud. 14 (1982), 501-522 Printed in the. United States
of America MH Pesaran THE SYSTEM OF DEPENDENT CAPITALISM IN PRE- AND
POST-REVOLUTIONARY IRAN INTRODUCTION Whatever ...
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