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Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices
Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019
This paper considers the problem of identification, estimation and inference in the case of spatial panel data models …
Persistent link: https://www.econbiz.de/10011983664
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To pool or not to pool : revisited
Pesaran, M. Hashem; Zhou, Qiankun - 2015
coefficients in the case of panel data models when the time dimension (T) is fixed while the cross section dimension (N) is allowed … effects in the panel. It is shown that the pooled estimator remains consistent so long as delta < 1, and is asymptotically …
Persistent link: https://www.econbiz.de/10011283819
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Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. - 2023
This paper, using the Bewley (1979) transformation of the autoregressive distributed lag model, proposes a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics, in the same setting as the widely used Pooled Mean Group (PMG)...
Persistent link: https://www.econbiz.de/10014357208
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Trimmed mean group estimation of average treatment effects in ultra short T panels under correlated heterogeneity
Pesaran, M. Hashem; Yang, Liying - 2023
if the time dimension of the panel is as small as the number of its regressors. Extensions to panels with time effects …
Persistent link: https://www.econbiz.de/10014393231
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943386
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012943450
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we … focus on the latter and consider both univariate and multivariate panel data models with short time dimension. Simple Bias …
Persistent link: https://www.econbiz.de/10012946881
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Heterogeneous autoregressions in short T panel data models
Pesaran, M. Hashem; Yang, Liying - 2023
This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous …
Persistent link: https://www.econbiz.de/10014304441
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Estimation and Inference for Spatial Models with Heterogeneous Coefficients : An Application to U.S. House Prices
Aquaro, Michele - 2019
This paper considers the problem of identification, estimation and inference in the case of spatial panel data models …
Persistent link: https://www.econbiz.de/10012890630