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Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

Persistent link: https://www.econbiz.de/10013325198

Forecasting economic and financial variables with global VARs

Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa - 2009

Persistent link: https://www.econbiz.de/10003967398

Forecasting economic and financial variables with global VARs

Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa - In: International journal of forecasting 25 (2009) 4, pp. 642-675

Persistent link: https://www.econbiz.de/10003921251

Comment on "Forecasting economic and financial variables with global VARs"

Allen, P. G. - In: International journal of forecasting 25 (2009) 4, pp. 676-679

Persistent link: https://www.econbiz.de/10003921254

Comments on "Forecasting economic and financial variables with global VARs"

Clements, Michael P. - In: International journal of forecasting 25 (2009) 4, pp. 680-683

Persistent link: https://www.econbiz.de/10003921259

Comments on "Forecasting economic and financial variables with global VARs"

Giannone, Domenico; Reichlin, Lucrezia - In: International journal of forecasting 25 (2009) 4, pp. 684-686

Persistent link: https://www.econbiz.de/10003921271

Comments on "Forecasting economic and financial variables with global VARs"

Granger, C. W. J. - In: International journal of forecasting 25 (2009) 4, pp. 687-688

Persistent link: https://www.econbiz.de/10003921277

Comments on "Forecasting economic and financial variables with global VARs"

Lahiri, Kajal - In: International journal of forecasting 25 (2009) 4, pp. 689-692

Persistent link: https://www.econbiz.de/10003921317

Forecast evaluation of AveAve forecasts in the global VAR context

Sinclair, Tara M.; Stekler, Herman O. - In: International journal of forecasting 25 (2009) 4, pp. 693-696

Persistent link: https://www.econbiz.de/10003921322

Comments on "Forecasting economic and financial variables with global VARs"

Swanson, Norman R. - In: International journal of forecasting 25 (2009) 4, pp. 697-702

Persistent link: https://www.econbiz.de/10003921327

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