Edit Profile (opens in new tab) Pesaran, M. Hashem Co-Author Distance Author ID: pesaran.m-hashem Published as: Pesaran, M. Hashem; Pesaran, M. H.; Pesaran, Hashem; Pesaran, H. Hashem more...less 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 all top 5 Serials 37 Journal of Econometrics 10 Econometric Reviews 8 Economics Letters 6 Econometrica 6 Journal of Economic Dynamics & Control 3 The Review of Economic Studies 3 Econometric Theory 2 Journal of the American Statistical Association 2 The Econometrics Journal 2 Sankhyā. Series B 1 Applied Mathematics and Computation 1 The Australian Journal of Statistics 1 Biometrika 1 International Economic Review 1 Ricerche Economiche 1 Computational Economics 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Journal of Economic Growth 1 Advances in Econometrics 1 Journal of Business and Economic Statistics all top 5 Fields 93 Statistics (62-XX) 48 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Numerical analysis (65-XX) 4 General and overarching topics; collections (00-XX) 3 Operations research, mathematical programming (90-XX) 1 History and biography (01-XX) 1 Probability theory and stochastic processes (60-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 22 Fields 914 Statistics (62-XX) 488 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 92 Numerical analysis (65-XX) 27 Probability theory and stochastic processes (60-XX) 19 Operations research, mathematical programming (90-XX) 10 Systems theory; control (93-XX) 9 General and overarching topics; collections (00-XX) 6 Computer science (68-XX) 5 History and biography (01-XX) 5 Linear and multilinear algebra; matrix theory (15-XX) 5 Dynamical systems and ergodic theory (37-XX) 3 Ordinary differential equations (34-XX) 2 Real functions (26-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Geophysics (86-XX) 2 Biology and other natural sciences (92-XX) 1 Difference and functional equations (39-XX) 1 Integral equations (45-XX) 1 Differential geometry (53-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Relativity and gravitational theory (83-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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