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Handbook of applied econometrics

Pesaran, M. Hashem (contributor) - 1995

Persistent link: https://www.econbiz.de/10000532482

Handbook of applied econometrics

Pesaran, M. Hashem (contributor); … - 1995

Persistent link: https://www.econbiz.de/10000965989

Macroeconomics

Pesaran, M. Hashem (contributor) - 1999 - 1. publ. in paperback

Persistent link: https://www.econbiz.de/10001351319

Microeconomics

Pesaran, M. Hashem (contributor) - 1997

Persistent link: https://www.econbiz.de/10000668039

Detection of Units with Pervasive Effects in Large Panel Data Models

Kapetanios, George - 2019

indices of US industrial production, US house price changes by states, and the rates of change of real GDP and real equity …

Persistent link: https://www.econbiz.de/10012897156

Exponent of Cross-Sectional Dependence for Residuals

Bailey, Natalia - 2019

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10012897997

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2016

belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets …-valued), and another regarding his/her expectations of the future price of that asset. Responses to these two questions are then … between the agents expectations of price changes and their asset valuation. Double question surveys on equity, gold and house …

Persistent link: https://www.econbiz.de/10012978031

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10012959777

To Pool or Not to Pool : Revisited

Pesaran, M. Hashem - 2015

This paper provides a new comparative analysis of pooled least squares and fixed effects estimators of the slope coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed to increase without bounds. The individual effects...

Persistent link: https://www.econbiz.de/10013021006

An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects

Al-Sadoon, Majid - 2016

This paper proposes an exponential class of dynamic binary choice panel data models for the analysis of short T (time dimension) large N (cross section dimension) panel data sets that allows for unobserved heterogeneity (fixed effects) to be arbitrarily correlated with the covariates. The paper...

Persistent link: https://www.econbiz.de/10013000727