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Author ID: pesaran.m-hashem Recent zbMATH articles by "Pesaran, M. Hashem"
Published as: Pesaran, M. Hashem; Pesaran, M. H.; Pesaran, Hashem; Pesaran, H. Hashem
Further Spellings: Pesaran, Mohammed Hashem
Homepage: http://www.econ.cam.ac.uk/people/emeritus/mhp1
External Links: MGP · Wikidata · Google Scholar · GND · IdRef
Documents Indexed: 96 Publications since 1973, including 5 Books
3 Contributions as Editor · 3 Further Contributions
Biographic References: 3 Publications
Co-Authors: 48 Co-Authors with 86 Joint Publications
660 Co-Co-Authors
all top 5

Co-Authors

14 single-authored
11 Shin, Yongcheol
9 Chudik, Alexander
9 Timmermann, Allan G.
7 Yamagata, Takashi
5 Binder, Michael W.
5 Kapetanios, George
5 Lee, Kevin C.
5 Smith, Ron P.
4 Bailey, Natalia
4 Hsiao, Cheng
4 Pick, Andreas
3 Pierse, R. G.
3 Potter, Simon M.
3 Smith, Richard J.
2 Garratt, Anthony
2 Li, Tong
2 McAleer, Michael
2 Pesaran, Bahram
2 Samiei, Hossein
2 Slater, Lucy Joan
2 Smith, L. Vanessa
2 Tahmiscioglu, A. Kamil
2 Tosetti, Elisa
2 Yang, Cynthia Fan
1 Ahmad, Amir A.
1 Al-Sadoon, Majid M.
1 Borooah, V. K.
1 Bouveyron, Charles
1 Coad, D. Stephen
1 Critchley, Frank
1 Dang, Wei
1 Deaton, Angus
1 Driehuis, W.
1 Fan, Jianqing
1 Fan, Yingying
1 Farné, Matteo
1 Ferreira, Marco A. R.
1 Fine, Jason Peter
1 Frommlet, Florian
1 Fryzlewicz, Piotr
1 Gijbels, Irène
1 Gilks, Wally
1 Godfrey, Leslie George
1 Grossman, Valerie
1 Halawani, Sami M.
1 Hallin, Marc
1 Hashmi, Sarosh
1 Hausman, Jerry Allen
1 Hayakawa, Kazuhiko
1 Herrmann, Klaus
1 Hey, John D.
1 Holly, Sean
1 Holzmann, Hajo
1 Hu, Charlie
1 Huang, Hanwen
1 Huang, Jian
1 Huang, Na
1 Hvozdyk, Lyudmyla
1 Jang, Woncheol
1 Jung, Sungkyu
1 Kanbur, S. M. Ravi
1 Kent, John T.
1 Koop, Gary
1 Lahiri, Kajal
1 Lam, Clifford
1 Lee, Lung-Fei
1 Leister, Anna
1 Liao, Yuan
1 Lim, Johan
1 Linton, Oliver Bruce
1 Liu, Han
1 Liu, Yufeng
1 Marron, James Stephen
1 Maruri-Aguilar, Hugo
1 Mateu, Jorge
1 Mckenzie, C. R.
1 Mincheva, Martina
1 Montanari, Angela
1 Newbery, David M. G.
1 Onatski, Alexei
1 Pagan, Adrian R.
1 Pan, Guangming
1 Peng, Heng
1 Pettenuzo, Davide
1 Pettenuzzo, Davide
1 Pourahmadi, Mohsen
1 Pranovich, Mikhail
1 Punzo, Lionello F.
1 Ruge-Murcia, Francisco J.
1 Samiei, S. Hossein
1 Samworth, Richard J.
1 Shen, Dan
1 Shen, Haipeng
1 Shupp, Franklin R.
1 Skouras, Spyros
1 Tang, Chengyong
1 Terrell, Dek
1 Ullah, Aman
1 Vajda, Steven
1 van der Ploeg, Frederick
...and 18 more Co-Authors

Publications by Year

Citations contained in zbMATH Open

94 Publications have been cited 1,796 times in 1,124 Documents Cited by Year
Estimation and inference in large heterogeneous panels with a multifactor error structure. Zbl 1152.91718
Pesaran, M. Hashem
215
2006
Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors’ reply. Zbl 1411.62138
Fan, Jianqing; Liao, Yuan; Mincheva, Martina
201
2013
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol
171
2003
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
119
1996
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
88
1995
Weak and strong cross-section dependence and estimation of large panels. Zbl 1218.62097
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa
81
2011
Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods. Zbl 1016.62132
Hsiao, Cheng; Pesaran, M. Hashem; Tahmiscioglu, A. Kamil
67
2002
Generalized impulse response analysis in linear multivariate models. Zbl 0903.90028
Pesaran, H. Hashem; Shin, Yongcheol
64
1998
Large panels with common factors and spatial correlation. Zbl 1441.62838
Pesaran, M. Hashem; Tosetti, Elisa
54
2011
On the general problem of model selection. Zbl 0317.62049
Pesaran, M. H.
50
1974
Testing slope homogeneity in large panels. Zbl 1418.62530
Pesaran, M. Hashem; Yamagata, Takashi
40
2008
Forecasting time series subject to multiple structural breaks. Zbl 1201.91156
Pesaran, M. Hashem; Pettenuzo, Davide; Timmermann, Allan
39
2006
Selection of estimation window in the presence of breaks. Zbl 1360.62385
Pesaran, M. Hashem; Timmermann, Allan
38
2007
Testing non-nested nonlinear regression models. Zbl 0379.62089
Pesaran, M. H.; Deaton, A. S.
36
1978
Panels with non-stationary multifactor error structures. Zbl 1441.62767
Kapetanios, G.; Pesaran, M. Hashem; Yamagata, T.
36
2011
Pooled mean group estimation of dynamic heterogeneous panels. Zbl 1072.62635
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Ron P.
35
1999
Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. Zbl 1337.62354
Chudik, Alexander; Pesaran, M. Hashem
31
2015
A bias-adjusted LM test of error cross-section independence. Zbl 1135.91414
Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi
28
2008
Infinite-dimensional VARs and factor models. Zbl 1441.62652
Chudik, Alexander; Pesaran, M. Hashem
24
2011
Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence. Zbl 0519.62099
Godfrey, L. G.; Pesaran, M. H.
24
1983
Estimation and inference in short panel vector autoregressions with unit roots and cointegration. Zbl 1082.62072
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem
23
2005
A floor and ceiling model of US output. Zbl 0897.90071
Pesaran, M. Hashem; Potter, Simon M.
22
1997
An autoregressive distributed-lag modelling approach to cointegration analysis. Zbl 0972.91076
Pesaran, M. Hashem; Shin, Yongcheol
21
1998
Panel unit root tests in the presence of a multifactor error structure. Zbl 1283.62178
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi
20
2013
Time series and panel data econometrics. Zbl 1336.91002
Pesaran, M. Hashem
20
2015
Testing weak cross-sectional dependence in large panels. Zbl 1491.62251
Pesaran, M. Hashem
20
2015
Identification of rational expectations models. Zbl 0488.62100
Pesaran, M. H.
18
1981
A simulation approach to the problem of computing Cox’s statistic for testing nonnested models. Zbl 0769.62080
Pesaran, M. Hashem; Pesaran, Bahram
17
1993
A spatio-temporal model of house prices in the USA. Zbl 1431.62627
Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi
16
2010
Small sample properties of forecasts from autoregressive models under structural breaks. Zbl 1337.62295
Pesaran, M. Hashem; Timmermann, Allan
16
2005
Econometric issues in the analysis of contagion. Zbl 1201.91064
Pesaran, M. Hashem; Pick, Andreas
15
2007
Comparison of local power of alternative tests of non-nested regression models. Zbl 0553.62062
Pesaran, M. H.
14
1982
Structural analysis of vector error correction models with exogenous \(I(1)\) variables. Zbl 0997.62070
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J.
14
2000
Forecast combination across estimation windows. Zbl 1214.62095
Pesaran, M. Hashem; Pick, Andreas
13
2011
Long-run structural modelling. Zbl 1104.91061
Pesaran, M. Hashem; Shin, Yongcheol
12
2002
Econometric analysis of aggregation in the context of linear prediction models. Zbl 0671.62109
Pesaran, M. H.; Pierse, R. G.; Kumar, M. S.
12
1989
Decision-based methods for forecast evaluation. 1st paperback ed. Zbl 1180.91080
Pesaran, M. Hashem; Skouras, Spyros
11
2004
Variable selection, estimation and inference for multi-period forecasting problems. Zbl 1441.62837
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan
11
2011
Stochastic growth models and their econometric implications. Zbl 0933.91027
Binder, Michael; Pesaran, M. Hashem
11
1999
Econometric analysis of high dimensional VARs featuring a dominant unit. Zbl 1491.62198
Chudik, Alexander; Pesaran, M. Hashem
11
2013
Optimal forecasts in the presence of structural breaks. Zbl 1288.62140
Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail
10
2013
Econometric analysis of production networks with dominant units. Zbl 1464.62520
Pesaran, M. Hashem; Yang, Cynthia Fan
10
2020
Cointegration and speed of convergence to equilibrium. Zbl 0844.62097
Pesaran, M. Hashem; Shin, Yongcheol
10
1996
A pair-wise approach to testing for output and growth convergence. Zbl 1418.62529
Pesaran, M. Hashem
10
2007
Statistical inference in non-nested econometric models. Zbl 0658.62134
McAleer, Michael; Pesaran, M. Hashem
10
1986
A non-nested test of level-differenced versus log-differenced stationary models. Zbl 0875.62605
Pesaran, Bahram; Pesaran, M. Hashem
9
1995
Bayes estimation of short-run coefficients in dynamic panel data models. Zbl 1052.62560
Hsiao, Cheng; Pesaran, M. Hashem; Tahmiscioglu, A. Kamil
9
1999
Aggregation in large dynamic panels. Zbl 1293.62199
Pesaran, M. Hashem; Chudik, Alexander
8
2014
Testing dependence among serially correlated multicategory variables. Zbl 1388.62169
Pesaran, M. Hashem; Timmermann, Allan
8
2009
A generalized \(R^ 2\) criterion for regression models estimated by the instrumental variables method. Zbl 0805.62098
Pesaran, M. Hashem; Smith, Richard J.
8
1994
A one covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models. Zbl 1401.62107
Chudik, A.; Kapetanios, G.; Pesaran, M. Hashem
8
2018
A multiple testing approach to the regularisation of large sample correlation matrices. Zbl 1452.62365
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa
7
2019
On the comprehensive method of testing non-nested regression models. Zbl 0487.62097
Pesaran, M. H.
7
1982
Econometric analysis of structural systems with permanent and transitory shocks. Zbl 1181.91269
Pagan, A. R.; Pesaran, M. Hashem
6
2008
Exact maximum likelihood estimation of a regression equation with a first-order moving-average error. Zbl 0275.62059
Pesaran, M. H.
6
1973
Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity. Zbl 1337.62265
Hayakawa, Kazuhiko; Pesaran, M. Hashem
6
2015
Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone. Zbl 0850.62903
Pesaran, M. Hashem; Samiei, Hossein
6
1992
Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy. Zbl 0800.90237
Pesaran, M. H.; Pierse, R. G.; Lee, K. C.
6
1993
Cross-sectional aggregation of nonlinear models. Zbl 0968.62087
van Garderen, Kees Jan; Lee, Kevin; Pesaran, M. Hashem
6
2000
Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method. Zbl 0491.62095
Pesaran, M. H.
6
1981
Global and national macroeconometric modelling: a long-run structural approach. Zbl 1116.91003
Garratt, Anthony; Lee, Kevin; Pesaran, M. Hashem; Shin, Yongcheol
5
2006
A unified approach to estimation and orthogonality tests in linear single-equation econometric models. Zbl 0712.62103
Pesaran, M. Hashem; Smith, Richard J.
5
1990
A generalization of the non-parametric Henriksson-Merton test of market timing. Zbl 0799.90033
Pesaran, M. Hashem; Timmermann, Allan G.
5
1994
Asymptotic power comparisons of tests of separate parametric families by Bahadur’s approach. Zbl 0561.62020
Pesaran, M. H.
5
1984
Exponent of cross-sectional dependence for residuals. Zbl 1437.62206
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem
4
2019
Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems. Zbl 0945.91048
Binder, Michael; Pesaran, M. Hashem
4
2000
Bias reduction in estimating long-run relationships from dynamic heterogeneous panels. Zbl 1052.62564
Pesaran, M. Hashem; Zhao, Zhongyun
4
1999
Estimation and inference in spatial models with dominant units. Zbl 1471.62479
Pesaran, M. Hashem; Yang, Cynthia Fan
4
2021
A note on the maximum likelihood estimation of regression models with first order moving average errors with roots on the unit circle. Zbl 0526.62082
Pesaran, M. H.
4
1983
Limited-dependent rational expectations models with stochastic thresholds. Zbl 1284.62431
Pesaran, M. Hashem; Ruge-Murcia, Francisco J.
3
1996
Real-time econometrics. Zbl 1074.62075
Pesaran, Hashem; Timmermann, Allan
3
2005
Tests of non-nested linear regression models subject to linear restrictions. Zbl 1328.62434
Pesaran, M. H.; Hall, A. D.
3
1988
Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth. Zbl 0808.90042
Lee, Kevin C.; Pesaran, M. Hashem
3
1993
Limited-dependent rational expectations models with future expectations. Zbl 0900.90132
Pesaran, M. Hashem; Samiei, Hossein
3
1995
Solution of nonlinear rational expectations models with applications to finite-horizon life-cycle models of consumption. Zbl 0998.91039
Binder, Michael; Pesaran, M. Hashem; Samiei, S. Hossein
3
2000
Learning, structural instability, and present value calculations. Zbl 1112.62120
Pesaran, Hashem; Pettenuzzo, Davide; Timmermann, Allan
3
2007
The role of theory in econometrics. Zbl 0825.62957
Pesaran, M. Hashem; Smith, Ron
2
1995
Correction to: “Exponent of cross-sectional dependence for residuals”. Zbl 1467.62103
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem
2
2020
The J-test as a Hausman specification test. Zbl 1273.91365
Hausman, Jerry; Pesaran, Hashem
2
1983
Dynamic regression: theory and algorithms. Zbl 0474.62105
Pesaran, M. H.; Slater, L. J.
2
1980
Pairwise tests of purchasing power parity. Zbl 1172.62038
Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; Hvozdyk, Lyudmyla
1
2009
The small sample problem of truncation remainders in the estimation of distributed lag models with autocorrelated errors. Zbl 0272.62021
Pesaran, M. Hashem
1
1973
Mean group estimation in presence of weakly cross-correlated estimators. Zbl 1410.62090
Chudik, Alexander; Pesaran, M. Hashem
1
2019
Signs of impact effects in time series regression models. Zbl 1293.91156
Pesaran, M. Hashem; Smith, Ron P.
1
2014
A proof of the asymptotic validity of a test for perfect aggregation. Zbl 1328.62631
Pesaran, M. H.; Pierse, R. G.
1
1989
Nonlinear dynamics, chaos and econometrics.Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). Zbl 0780.62103
1
1993
Analysis of panels and limited dependent variable models. In honour of G. S. Maddala. Zbl 0947.00053
1
1999
Life-cycle consumption under social interactions. Zbl 0962.91077
Binder, M.; Pesaran, M. H.
1
2001
Estimation of time-invariant effects in static panel data models. Zbl 1491.62124
Pesaran, M. Hashem; Zhou, Qiankun
1
2018
Detection of units with pervasive effects in large panel data models. Zbl 1471.62534
Kapetanios, G.; Pesaran, M. H.; Reese, S.
1
2021
Global and national macroeconometric modelling: a long-run structural approach. Reprint of the 2006 hardback ed. Zbl 1235.91003
Garratt, Anthony; Lee, Kevin; Pesaran, M. Hashem; Shin, Yongcheol
1
2012
A multi-country approach to forecasting output growth using PMIs. Zbl 1420.62481
Chudik, Alexander; Grossman, Valerie; Pesaran, M. Hashem
1
2016
Exponential class of dynamic binary choice panel data models with fixed effects. Zbl 1524.62562
Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem
1
2017
An augmented Anderson-Hsiao estimator for dynamic short-\(T\) panels. Zbl 1524.62570
Chudik, Alexander; Pesaran, M. Hashem
1
2022
An augmented Anderson-Hsiao estimator for dynamic short-\(T\) panels. Zbl 1524.62570
Chudik, Alexander; Pesaran, M. Hashem
1
2022
Estimation and inference in spatial models with dominant units. Zbl 1471.62479
Pesaran, M. Hashem; Yang, Cynthia Fan
4
2021
Detection of units with pervasive effects in large panel data models. Zbl 1471.62534
Kapetanios, G.; Pesaran, M. H.; Reese, S.
1
2021
Econometric analysis of production networks with dominant units. Zbl 1464.62520
Pesaran, M. Hashem; Yang, Cynthia Fan
10
2020
Correction to: “Exponent of cross-sectional dependence for residuals”. Zbl 1467.62103
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem
2
2020
A multiple testing approach to the regularisation of large sample correlation matrices. Zbl 1452.62365
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa
7
2019
Exponent of cross-sectional dependence for residuals. Zbl 1437.62206
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem
4
2019
Mean group estimation in presence of weakly cross-correlated estimators. Zbl 1410.62090
Chudik, Alexander; Pesaran, M. Hashem
1
2019
A one covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models. Zbl 1401.62107
Chudik, A.; Kapetanios, G.; Pesaran, M. Hashem
8
2018
Estimation of time-invariant effects in static panel data models. Zbl 1491.62124
Pesaran, M. Hashem; Zhou, Qiankun
1
2018
Exponential class of dynamic binary choice panel data models with fixed effects. Zbl 1524.62562
Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem
1
2017
A multi-country approach to forecasting output growth using PMIs. Zbl 1420.62481
Chudik, Alexander; Grossman, Valerie; Pesaran, M. Hashem
1
2016
Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. Zbl 1337.62354
Chudik, Alexander; Pesaran, M. Hashem
31
2015
Time series and panel data econometrics. Zbl 1336.91002
Pesaran, M. Hashem
20
2015
Testing weak cross-sectional dependence in large panels. Zbl 1491.62251
Pesaran, M. Hashem
20
2015
Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity. Zbl 1337.62265
Hayakawa, Kazuhiko; Pesaran, M. Hashem
6
2015
Aggregation in large dynamic panels. Zbl 1293.62199
Pesaran, M. Hashem; Chudik, Alexander
8
2014
Signs of impact effects in time series regression models. Zbl 1293.91156
Pesaran, M. Hashem; Smith, Ron P.
1
2014
Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors’ reply. Zbl 1411.62138
Fan, Jianqing; Liao, Yuan; Mincheva, Martina
201
2013
Panel unit root tests in the presence of a multifactor error structure. Zbl 1283.62178
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi
20
2013
Econometric analysis of high dimensional VARs featuring a dominant unit. Zbl 1491.62198
Chudik, Alexander; Pesaran, M. Hashem
11
2013
Optimal forecasts in the presence of structural breaks. Zbl 1288.62140
Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail
10
2013
Global and national macroeconometric modelling: a long-run structural approach. Reprint of the 2006 hardback ed. Zbl 1235.91003
Garratt, Anthony; Lee, Kevin; Pesaran, M. Hashem; Shin, Yongcheol
1
2012
Weak and strong cross-section dependence and estimation of large panels. Zbl 1218.62097
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa
81
2011
Large panels with common factors and spatial correlation. Zbl 1441.62838
Pesaran, M. Hashem; Tosetti, Elisa
54
2011
Panels with non-stationary multifactor error structures. Zbl 1441.62767
Kapetanios, G.; Pesaran, M. Hashem; Yamagata, T.
36
2011
Infinite-dimensional VARs and factor models. Zbl 1441.62652
Chudik, Alexander; Pesaran, M. Hashem
24
2011
Forecast combination across estimation windows. Zbl 1214.62095
Pesaran, M. Hashem; Pick, Andreas
13
2011
Variable selection, estimation and inference for multi-period forecasting problems. Zbl 1441.62837
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan
11
2011
A spatio-temporal model of house prices in the USA. Zbl 1431.62627
Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi
16
2010
Testing dependence among serially correlated multicategory variables. Zbl 1388.62169
Pesaran, M. Hashem; Timmermann, Allan
8
2009
Pairwise tests of purchasing power parity. Zbl 1172.62038
Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; Hvozdyk, Lyudmyla
1
2009
Testing slope homogeneity in large panels. Zbl 1418.62530
Pesaran, M. Hashem; Yamagata, Takashi
40
2008
A bias-adjusted LM test of error cross-section independence. Zbl 1135.91414
Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi
28
2008
Econometric analysis of structural systems with permanent and transitory shocks. Zbl 1181.91269
Pagan, A. R.; Pesaran, M. Hashem
6
2008
Selection of estimation window in the presence of breaks. Zbl 1360.62385
Pesaran, M. Hashem; Timmermann, Allan
38
2007
Econometric issues in the analysis of contagion. Zbl 1201.91064
Pesaran, M. Hashem; Pick, Andreas
15
2007
A pair-wise approach to testing for output and growth convergence. Zbl 1418.62529
Pesaran, M. Hashem
10
2007
Learning, structural instability, and present value calculations. Zbl 1112.62120
Pesaran, Hashem; Pettenuzzo, Davide; Timmermann, Allan
3
2007
Estimation and inference in large heterogeneous panels with a multifactor error structure. Zbl 1152.91718
Pesaran, M. Hashem
215
2006
Forecasting time series subject to multiple structural breaks. Zbl 1201.91156
Pesaran, M. Hashem; Pettenuzo, Davide; Timmermann, Allan
39
2006
Global and national macroeconometric modelling: a long-run structural approach. Zbl 1116.91003
Garratt, Anthony; Lee, Kevin; Pesaran, M. Hashem; Shin, Yongcheol
5
2006
Estimation and inference in short panel vector autoregressions with unit roots and cointegration. Zbl 1082.62072
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem
23
2005
Small sample properties of forecasts from autoregressive models under structural breaks. Zbl 1337.62295
Pesaran, M. Hashem; Timmermann, Allan
16
2005
Real-time econometrics. Zbl 1074.62075
Pesaran, Hashem; Timmermann, Allan
3
2005
Decision-based methods for forecast evaluation. 1st paperback ed. Zbl 1180.91080
Pesaran, M. Hashem; Skouras, Spyros
11
2004
Testing for unit roots in heterogeneous panels. Zbl 1041.62075
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol
171
2003
Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods. Zbl 1016.62132
Hsiao, Cheng; Pesaran, M. Hashem; Tahmiscioglu, A. Kamil
67
2002
Long-run structural modelling. Zbl 1104.91061
Pesaran, M. Hashem; Shin, Yongcheol
12
2002
Life-cycle consumption under social interactions. Zbl 0962.91077
Binder, M.; Pesaran, M. H.
1
2001
Structural analysis of vector error correction models with exogenous \(I(1)\) variables. Zbl 0997.62070
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J.
14
2000
Cross-sectional aggregation of nonlinear models. Zbl 0968.62087
van Garderen, Kees Jan; Lee, Kevin; Pesaran, M. Hashem
6
2000
Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems. Zbl 0945.91048
Binder, Michael; Pesaran, M. Hashem
4
2000
Solution of nonlinear rational expectations models with applications to finite-horizon life-cycle models of consumption. Zbl 0998.91039
Binder, Michael; Pesaran, M. Hashem; Samiei, S. Hossein
3
2000
Pooled mean group estimation of dynamic heterogeneous panels. Zbl 1072.62635
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Ron P.
35
1999
Stochastic growth models and their econometric implications. Zbl 0933.91027
Binder, Michael; Pesaran, M. Hashem
11
1999
Bayes estimation of short-run coefficients in dynamic panel data models. Zbl 1052.62560
Hsiao, Cheng; Pesaran, M. Hashem; Tahmiscioglu, A. Kamil
9
1999
Bias reduction in estimating long-run relationships from dynamic heterogeneous panels. Zbl 1052.62564
Pesaran, M. Hashem; Zhao, Zhongyun
4
1999
Analysis of panels and limited dependent variable models. In honour of G. S. Maddala. Zbl 0947.00053
1
1999
Generalized impulse response analysis in linear multivariate models. Zbl 0903.90028
Pesaran, H. Hashem; Shin, Yongcheol
64
1998
An autoregressive distributed-lag modelling approach to cointegration analysis. Zbl 0972.91076
Pesaran, M. Hashem; Shin, Yongcheol
21
1998
A floor and ceiling model of US output. Zbl 0897.90071
Pesaran, M. Hashem; Potter, Simon M.
22
1997
Impulse response analysis in nonlinear multivariate models. Zbl 0865.62086
Koop, Gary; Pesaran, M. Hashem; Potter, Simon M.
119
1996
Cointegration and speed of convergence to equilibrium. Zbl 0844.62097
Pesaran, M. Hashem; Shin, Yongcheol
10
1996
Limited-dependent rational expectations models with stochastic thresholds. Zbl 1284.62431
Pesaran, M. Hashem; Ruge-Murcia, Francisco J.
3
1996
Estimating long-run relationships from dynamic heterogeneous panels. Zbl 0832.62104
Pesaran, M. Hashem; Smith, Ron
88
1995
A non-nested test of level-differenced versus log-differenced stationary models. Zbl 0875.62605
Pesaran, Bahram; Pesaran, M. Hashem
9
1995
Limited-dependent rational expectations models with future expectations. Zbl 0900.90132
Pesaran, M. Hashem; Samiei, Hossein
3
1995
The role of theory in econometrics. Zbl 0825.62957
Pesaran, M. Hashem; Smith, Ron
2
1995
A generalized \(R^ 2\) criterion for regression models estimated by the instrumental variables method. Zbl 0805.62098
Pesaran, M. Hashem; Smith, Richard J.
8
1994
A generalization of the non-parametric Henriksson-Merton test of market timing. Zbl 0799.90033
Pesaran, M. Hashem; Timmermann, Allan G.
5
1994
A simulation approach to the problem of computing Cox’s statistic for testing nonnested models. Zbl 0769.62080
Pesaran, M. Hashem; Pesaran, Bahram
17
1993
Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy. Zbl 0800.90237
Pesaran, M. H.; Pierse, R. G.; Lee, K. C.
6
1993
Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth. Zbl 0808.90042
Lee, Kevin C.; Pesaran, M. Hashem
3
1993
Nonlinear dynamics, chaos and econometrics.Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). Zbl 0780.62103
1
1993
Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone. Zbl 0850.62903
Pesaran, M. Hashem; Samiei, Hossein
6
1992
A unified approach to estimation and orthogonality tests in linear single-equation econometric models. Zbl 0712.62103
Pesaran, M. Hashem; Smith, Richard J.
5
1990
Econometric analysis of aggregation in the context of linear prediction models. Zbl 0671.62109
Pesaran, M. H.; Pierse, R. G.; Kumar, M. S.
12
1989
A proof of the asymptotic validity of a test for perfect aggregation. Zbl 1328.62631
Pesaran, M. H.; Pierse, R. G.
1
1989
Tests of non-nested linear regression models subject to linear restrictions. Zbl 1328.62434
Pesaran, M. H.; Hall, A. D.
3
1988
Statistical inference in non-nested econometric models. Zbl 0658.62134
McAleer, Michael; Pesaran, M. Hashem
10
1986
Asymptotic power comparisons of tests of separate parametric families by Bahadur’s approach. Zbl 0561.62020
Pesaran, M. H.
5
1984
Tests of non-nested regression models. Small sample adjustments and Monte Carlo evidence. Zbl 0519.62099
Godfrey, L. G.; Pesaran, M. H.
24
1983
A note on the maximum likelihood estimation of regression models with first order moving average errors with roots on the unit circle. Zbl 0526.62082
Pesaran, M. H.
4
1983
The J-test as a Hausman specification test. Zbl 1273.91365
Hausman, Jerry; Pesaran, Hashem
2
1983
Comparison of local power of alternative tests of non-nested regression models. Zbl 0553.62062
Pesaran, M. H.
14
1982
On the comprehensive method of testing non-nested regression models. Zbl 0487.62097
Pesaran, M. H.
7
1982
Identification of rational expectations models. Zbl 0488.62100
Pesaran, M. H.
18
1981
Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method. Zbl 0491.62095
Pesaran, M. H.
6
1981
Dynamic regression: theory and algorithms. Zbl 0474.62105
Pesaran, M. H.; Slater, L. J.
2
1980
Testing non-nested nonlinear regression models. Zbl 0379.62089
Pesaran, M. H.; Deaton, A. S.
36
1978
On the general problem of model selection. Zbl 0317.62049
Pesaran, M. H.
50
1974
Exact maximum likelihood estimation of a regression equation with a first-order moving-average error. Zbl 0275.62059
Pesaran, M. H.
6
1973
The small sample problem of truncation remainders in the estimation of distributed lag models with autocorrelated errors. Zbl 0272.62021
Pesaran, M. Hashem
1
1973
all top 5

Cited by 1,590 Authors

59 Pesaran, M. Hashem
29 Westerlund, Joakim
20 Su, Liangjun
18 Hsiao, Cheng
16 Kapetanios, George
16 Shin, Yongcheol
14 Peng, Bin
13 Gao, Jiti
13 Lee, Lung-Fei
12 Shin, Dongwan
12 Timmermann, Allan G.
11 Bai, Jushan
11 Baltagi, Badi H.
11 Yamagata, Takashi
9 Chudik, Alexander
9 Herwartz, Helmut
9 Trapani, Lorenzo
8 Hayakawa, Kazuhiko
8 Kao, Chihwa
8 Linton, Oliver Bruce
8 McAleer, Michael
8 Phillips, Peter Charles Bonest
8 Sarafidis, Vasilis
8 Tzavalis, Elias
7 Ando, Tomohiro
7 Li, Kunpeng
7 Yu, Jihai
6 Breitung, Jorg
6 Feng, Long
6 Franses, Philip Hans
6 Godfrey, Leslie George
6 Juodis, Artūras
6 Li, Qi
6 Moon, Hyungsik Roger
6 Semmler, Willi
5 Fan, Jianqing
5 Fuertes, Ana-María
5 Greenaway-McGrevy, Ryan
5 Han, Chirok
5 Hendry, David F.
5 Jin, Sainan
5 Liao, Yuan
5 Liu, Binghui
5 Lu, Xun
5 Otero, Jesús
5 Ruge-Murcia, Francisco J.
5 Seo, Myunghwan
5 Smith, Ron P.
5 Urbain, Jean-Pierre
5 van Dijk, Dick
5 Yang, Zhenlin
5 Zhou, Qiankun
4 Bailey, Natalia
4 Bekiros, Stelios D.
4 Chambers, Marcus J.
4 Chang, Yoosoon
4 Chen, Jia
4 Chen, Mingjing
4 Coakley, Jerry
4 Cui, Guowei
4 Diebold, Francis Xavier
4 Giulietti, Monica
4 Horváth, Lajos
4 Konstantakis, Konstantinos N.
4 Kruiniger, Hugo
4 Li, Degui
4 Li, Tong
4 Lütkepohl, Helmut
4 Maasoumi, Esfandiar
4 MacKinnon, James G.
4 Meligkotsidou, Loukia
4 Michaelides, Panayotis G.
4 Oh, Man-Suk
4 Paccagnini, Alessia
4 Palm, Franz C.
4 Pellegrino, Giovanni
4 Perron, Benoit
4 Pick, Andreas
4 Pirotte, Alain
4 Sayyareh, Abdolreza
4 Smeekes, Stephan
4 Sul, Donggyu
4 Velasco, Carlos
4 Wagner, Martin Franz-Xaver
4 Walle, Yabibal M.
4 Weidner, Martin P.
4 White, Halbert Lynn jun.
4 Xiao, Zhijie
4 Zhu, Yinchu
3 Anderson, Theodore Wilbur jun.
3 Bahmani-Oskooee, Mohsen
3 Bao, Yong
3 Bauwens, Luc Claude A.
3 Binder, Michael W.
3 Bresson, Georges
3 Cai, Zongwu
3 Castelnuovo, Efrem
3 Castle, Jennifer L.
3 Cavaliere, Giuseppe
3 Davidson, Russell
...and 1,490 more Authors
all top 5

Cited in 111 Serials

308 Journal of Econometrics
130 Economics Letters
91 Econometric Reviews
72 Journal of Economic Dynamics & Control
40 Econometric Theory
31 Open Economies Review
30 Computational Statistics and Data Analysis
29 Studies in Nonlinear Dynamics and Econometrics
22 Communications in Statistics. Theory and Methods
20 Journal of Time Series Analysis
20 The Econometrics Journal
14 Journal of Applied Statistics
14 Quantitative Finance
12 Journal of Statistical Planning and Inference
12 Statistical Methods and Applications
11 Communications in Statistics. Simulation and Computation
10 Journal of the American Statistical Association
10 Annals of Operations Research
10 European Journal of Operational Research
10 Journal of Statistical Computation and Simulation
9 The Annals of Statistics
9 Journal of Business and Economic Statistics
8 Asia-Pacific Financial Markets
7 Journal of Multivariate Analysis
7 Bulletin of Economic Research
6 International Economic Review
6 Statistics & Probability Letters
6 Statistical Papers
5 The Canadian Journal of Statistics
5 Journal of Forecasting
5 AStA. Advances in Statistical Analysis
5 Statistics and Computing
4 Applied Mathematics and Computation
4 Insurance Mathematics & Economics
4 Computational Statistics
4 Quantitative Economics
4 Journal of Econometric Methods
3 Metrika
3 Physica A
3 Mathematics and Computers in Simulation
3 Statistica Neerlandica
3 Statistics
3 Computational Economics
3 Statistica Sinica
3 Macroeconomic Dynamics
3 Journal of the Korean Statistical Society
3 Electronic Journal of Statistics
3 Science China. Mathematics
3 Sankhyā. Series B
3 Annals of Finance
2 International Journal of Systems Science
2 Automatica
2 Journal of Economic Theory
2 The Scandinavian Journal of Economics
2 Communications in Statistics. Econometric Reviews
2 Test
2 International Transactions in Operational Research
2 Australian & New Zealand Journal of Statistics
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Journal of the Royal Statistical Society. Series C. Applied Statistics
2 Experimental Economics
2 Journal of Economic Growth
2 CEJOR. Central European Journal of Operations Research
2 Applied Stochastic Models in Business and Industry
2 Journal of Systems Science and Complexity
2 AStA. Allgemeines Statistisches Archiv
2 The Annals of Applied Statistics
2 Croatian Operational Research Review (CRORR)
2 Bayesian Analysis
2 Journal of Time Series Econometrics
1 General Relativity and Gravitation
1 Scandinavian Journal of Statistics
1 Information Sciences
1 International Statistical Review
1 Journal of Computational and Applied Mathematics
1 Journal of Environmental Economics and Management
1 Journal of Mathematical Economics
1 Metroeconomica
1 Theory and Decision
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistical Science
1 International Journal of Approximate Reasoning
1 European Journal of Applied Mathematics
1 Journal of Risk and Uncertainty
1 Applications of Mathematics
1 Applied Mathematical Modelling
1 Journal of Computer and Systems Sciences International
1 Applied Mathematics. Series B (English Edition)
1 Journal of Mathematical Sciences (New York)
1 Bernoulli
1 ELA. The Electronic Journal of Linear Algebra
1 Mathematical Problems in Engineering
1 Soft Computing
1 Chaos
1 Natural Resource Modeling
1 Communications in Nonlinear Science and Numerical Simulation
1 International Journal of Applied Mathematics and Computer Science
1 Decisions in Economics and Finance
1 Journal of Machine Learning Research (JMLR)
1 Computational Management Science
...and 11 more Serials

Citations by Year

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