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Details about M Hashem Pesaran
Access statistics for papers by M Hashem Pesaran.
Last updated 2008-07-01. Update your information in the RePEc Author Service .
Short-id: ppe34
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Working Papers
2008
A VECX Model of the Swiss Economy
CESifo Working Paper Series, CESifo GmbH
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008)
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
Discussion Papers, School of Economics, The University of New South Wales
Forecasting Economic and Financial Variables with Global VARs
CESifo Working Paper Series, CESifo GmbH
Also in
Staff Reports, Federal Reserve Bank of New York (2008)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008)
Forecasting Random Walks Under Drift Instability
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2008) View citations
Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Modelsand Observation Windows
Working Papers, Swiss National Bank
Identification of New Keynesian Phillips Curves from a Global Perspective
CESifo Working Paper Series, CESifo GmbH View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations
Working Paper Series, European Central Bank (2008) View citations
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2008) View citations
Iranian Economy in the Twentieth Century: A Global Perspective
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Model Averaging in Risk Management with an Application to Futures Markets
CESifo Working Paper Series, CESifo GmbH
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008)
Optimal Asset Allocation with Factor Models for Large Portfolios
CESifo Working Paper Series, CESifo GmbH
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008)
Panel Unit Root Tests in the Presence of a Multifactor Error Structure
CESifo Working Paper Series, CESifo GmbH
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007)
Discussion Papers, Department of Economics, University of York (2008)
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007)
2007
Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows
IZA Discussion Papers, Institute for the Study of Labor (IZA)
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007)
CESifo Working Paper Series, CESifo GmbH (2007)
Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Model
DNB Working Papers, Netherlands Central Bank, Research Department
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007)
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007)
CESifo Working Paper Series, CESifo GmbH (2007)
Infinite Dimensional VARs and Factor Models
IZA Discussion Papers, Institute for the Study of Labor (IZA) View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations
CESifo Working Paper Series, CESifo GmbH (2007) View citations
Large Panels with Common Factors and Spatial Correlations
CESifo Working Paper Series, CESifo GmbH View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) View citations
Long Run Macroeconomic Relations in the Global Economy
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
Working Paper Series, European Central Bank (2007) View citations
Economics Discussion Papers, Kiel Institute for the World Economy (2007) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations
CESifo Working Paper Series, CESifo GmbH (2007) View citations See Also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007)
Lumpy Price Adjustments, A Microeconometric Analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
Research series, National Bank of Belgium (2006) View citations
CESifo Working Paper Series, CESifo GmbH (2007) View citations
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007)
Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
IZA Discussion Papers, Institute for the Study of Labor (IZA)
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007)
Monetary Policy Transmission and the Phillips Curve in a Global Context
Kiel Working Papers, Kiel Institute for the World Economy
On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
CESifo Working Paper Series, CESifo GmbH View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) View citations
On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables. Working paper #7
NCER Working Paper Series, National Centre for Econometric Research
Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
CESifo Working Paper Series, CESifo GmbH
2006
A Bias-Adjusted LM Test of Error Cross Section Independence
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Econometrics Journal (2008)
A Spatio-Temporal Model of House Prices in the US
IZA Discussion Papers, Institute for the Study of Labor (IZA) View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations
CESifo Working Paper Series, CESifo GmbH (2006) View citations
Econometrics: A Bird’s Eye View
CESifo Working Paper Series, CESifo GmbH
Also in
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
Exploring the International Linkages of the Euro Area: a Global VAR Analysis
Computing in Economics and Finance 2006, Society for Computational Economics View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations
Working Paper Series, European Central Bank (2005) View citations
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations
CESifo Working Paper Series, CESifo GmbH (2005) View citations See Also Journal Article in Journal of Applied Econometrics (2007)
Learning, Structural Instability and Present Value Calculations
IEPR Working Papers, Institute of Economic Policy Research (IEPR)
Also in
Computing in Economics and Finance 2006, Society for Computational Economics (2006)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
CESifo Working Paper Series, CESifo GmbH (2006)
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) See Also Journal Article in Econometric Reviews (2007)
Macroeconometric Modelling with a Global Perspective
CESifo Working Paper Series, CESifo GmbH View citations
Also in
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations See Also Journal Article in Manchester School (2006)
Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
CESifo Working Paper Series, CESifo GmbH
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
Panels with Nonstationary Multifactor Error Structures
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2006) View citations
Working Papers, Queen Mary, University of London, Department of Economics (2006)
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006) View citations
Testing Dependence Among Serially Correlated Multi-category Variables
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Also in
CESifo Working Paper Series, CESifo GmbH (2006)
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006)
2005
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
Working Papers, Queen Mary, University of London, Department of Economics (2005)
CESifo Working Paper Series, CESifo GmbH (2005) View citations
Firm Heterogeneity and Credit Risk Diversification
CESifo Working Paper Series, CESifo GmbH View citations
Global Business Cycles and Credit Risk
CESifo Working Paper Series, CESifo GmbH View citations
Also in
NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
Market Efficiency Today
IEPR Working Papers, Institute of Economic Policy Research (IEPR)
Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
Also in
Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations
CESifo Working Paper Series, CESifo GmbH (2004) View citations
National and Global Macroeconometric Modelling Using GVAR
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
Scope for Credit Risk Diversification
IEPR Working Papers, Institute of Economic Policy Research (IEPR)
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005)
Survey Expectations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2005) View citations
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations See Also Chapter (2006)
Testing Slope Homogeneity in Large Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations
CESifo Working Paper Series, CESifo GmbH (2005) View citations See Also Journal Article in Journal of Econometrics (2008)
The Forecasing time series subject to multiple structure breaks
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations
Unit Roots and Cointegration in Panels
IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations
CESifo Working Paper Series, CESifo GmbH (2005) View citations
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2005) View citations
What if the UK had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR
CESifo Working Paper Series, CESifo GmbH
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005)
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005)
2004
A Pair-Wise Approach to Testing for Output and Growth Convergence
IZA Discussion Papers, Institute for the Study of Labor (IZA)
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations
CESifo Working Paper Series, CESifo GmbH (2004) See Also Journal Article in Journal of Econometrics (2007)
A long run structural macroeconometric model of the UK
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998)See Also Journal Article in Economic Journal (2003)
A long run structural macroeconometric model of the UK (first version)
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh
Bounds Testing Approaches to the Analysis of Long Run Relationships
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) View citations
Econometric Issues in the Analysis of Contagion
Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2004) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations See Also Journal Article in Journal of Economic Dynamics and Control (2007)
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
CESifo Working Paper Series, CESifo GmbH View citations See Also Journal Article in Econometrica (2006)
Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh View citations
Forecasting Time Series Subject to Multiple Structural Breaks
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2004) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) View citations See Also Journal Article in Review of Economic Studies (2006)
General Diagnostic Tests for Cross Section Dependence in Panels
IZA Discussion Papers, Institute for the Study of Labor (IZA) View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations
CESifo Working Paper Series, CESifo GmbH (2004) View citations
Long-Run Structural Modelling
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations See Also Journal Article in Econometric Reviews (2002)
Pooled mean group estimation of dynamic heterogeneous panels
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh View citations
Random Coefficient Panel Data Models
IZA Discussion Papers, Institute for the Study of Labor (IZA) View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2004) View citations
IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations
Real Time Econometrics
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations
IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) View citations
CESifo Working Paper Series, CESifo GmbH (2004) View citations See Also Journal Article in Econometric Theory (2005)
Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations
CESifo Working Paper Series, CESifo GmbH (2003) See Also Journal Article in Journal of Econometrics (2005)
Structural analysis of vector error correction models exogenous i(1) variables
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh
2003
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Applied Econometrics (2007)
Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2003) View citations
How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
CESifo Working Paper Series, CESifo GmbH
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations See Also Journal Article in International Journal of Forecasting (2004)
Macroeconomic Dynamics and Credit Risk: A Global Perspective
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
CESifo Working Paper Series, CESifo GmbH (2003) View citations See Also Journal Article in Journal of Money, Credit and Banking (2006)
On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Scope for Cost Minimization in Public Debt Management: the Case of the UK
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
2002
Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
Computing in Economics and Finance 2002, Society for Computational Economics View citations
Dynamics of convergence to purchasing power parity in the World economy
10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data
Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy
Royal Economic Society Annual Conference 2002, Royal Economic Society View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2000)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations
Market Timing and Return Prediction under Model Instability
FMG Discussion Papers, Financial Markets Group View citations See Also Journal Article in Journal of Empirical Finance (2002)
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2001)
10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2001) View citations See Also Journal Article in Journal of Business & Economic Statistics (2004)
2001
Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
Computing in Economics and Finance 2001, Society for Computational Economics View citations
Also in
CESifo Working Paper Series, CESifo GmbH (2000) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations
Banco de España Working Papers, Banco de España (2000) View citations See Also Journal Article in Econometric Theory (2005)
2000
ASSET PRICE DYNAMICS AND AGGREGATION
Computing in Economics and Finance 2000, Society for Computational Economics
Forecast Uncertainties in Macroeconometric Models: An Application to the UK Economy
Discussion Papers in Economics, Department of Economics, University of Leicester
Life-Cycle Models and Cross-Country Analysis of Saving
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach
CESifo Working Paper Series, CESifo GmbH View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations
1999
A Recursive Modelling Approach to Predicting UK Stock Returns
FMG Discussion Papers, Financial Markets Group
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations See Also Journal Article in Economic Journal (2000)
A structural cointegrating VAR approach to macroeconometric modelling
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998) View citations
Economic Trends and Macroeconomic Policies in Post-Revolutionary Iran
Working Papers, Economic Research Forum
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998) View citations
Economic and Statistical Measures of Forecast Accuracy
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Life and Work of John Richard Nicholas Stone, 1913-1991
Electronic-Only (EO) Working Papers, Faculty of Economics, University of Cambridge See Also Journal Article in Economic Journal (2000)
Model Instability and Choice of Observation Window
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions
IMF Working Papers, International Monetary Fund View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) View citations
Non-nested Hypothesis Testing: An Overview
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
On Aggregation of Linear Dynamic Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
1998
Analytical and Numerical Solution of Finite-horizon Nonlinear Rational Expectations Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Cross-sectional Aggregation of Non-linear Models
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in Journal of Econometrics (2000)
Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Econometrics (2002)
Optimal Consumption Decisions under Social Interactions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Structural Analysis of Cointegrating VARs
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Economic Surveys (1998)
1997
Diagnostics for IV Regressions
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
Generalised Impulse Response Analysis in Linear Multivariate Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Economics Letters (1998)
Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Econometrics (2000)
1996
A Decision Theoretic Approach to Forecast Evaluation
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations
Limited-dependent rational expectations models with jumps
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis
Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Stochastic Growth
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Testing for the 'Existence of a Long-run Relationship'
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Also in
Working Papers, Institut National de la Statistique et des Etudes Economiques- (1996) View citations
The Role of Economic Theory in Modelling the Long Run
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Economic Journal (1997)
1995
A Discrete-Time Version of Target Zone Models with Jumps
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
Also in
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations
A Floor and Ceiling Model of U.S. Output
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Economic Dynamics and Control (1997)
An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Decision-Making in the Presence of Heterogeneous Information and Social Interactions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in International Economic Review (1998)
Dynamic Linear Models for Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Growth and Convergence: A Multi-Country Empirical Analysis of the Solow Growth Model
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Iranian Economy During the Pahlavi Era
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
New Directions in Applied Macroeconomic Modelling
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Planning and Macroeconomic Stabilization in Iran
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Predictability of Stock Returns: Robustness and Economic Significance
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations See Also Journal Article in Journal of Finance (1995)
Testing for Unit Roots in Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Econometrics (2003)
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
1993
Cointegration and Direct Tests of the Rational Expectations Hypothesis
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in Econometric Reviews (1994)
Cointegration and Speed of Convergence to Equilibrium
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Econometrics (1996)
Equilibrium Asset Pricing Models and Predictability of Excess Returns
UCLA Economics Working Papers, UCLA Department of Economics
Exchange Rate Unification, the Role of Markets and Planning in the Iranian Economic Reconstruction
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Forecasting Ultimate Resource Recovery
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in International Journal of Forecasting (1995)
Limited-Dependaent Rational Expectations Models with Future Expectations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Economic Dynamics and Control (1995)
Limited-Dependent Rational Expectations Models with Stochastic Thresholds
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Economics Letters (1996)
The Natural Rate Hypothesis and its Testable Implications
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
1992
A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in Economics Letters (1994)
A Generalised R2 Criterion for Regression Models Estimated by the Instrumental Variable Method
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
A Non-Nested Test of Level-Differenced versus Log-Differenced Stationary Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Econometric Reviews (1995)
Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in Journal of Business & Economic Statistics (1994)
Estimating Long-Run Relationships From Dynamic Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations See Also Journal Article in Journal of Econometrics (1995)
Forecasting Stock Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
Oil Investment in the North Sea
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in Economic Modelling (1994)
The Interaction Between Theory and Observation in Economics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
The Role of Sectoral Interactions in Wage Determination in the UK Economy
Cambridge Working Papers in Economics, Faculty of Economics, University of CambridgeSee Also Journal Article in Economic Journal (1993)
Theory and Evidence in Economics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Uncertainty and Irreversible Investment: An Empirical Analysis of Development of Oilfields on the UKCS
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
1991
An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model
Working Papers, California Los Angeles - Applied EconometricsSee Also Journal Article in Economic Journal (1992)
Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone
UCLA Economics Working Papers, UCLA Department of Economics View citations See Also Journal Article in Journal of Econometrics (1992)
THE IRANIAN FOREIGN EXCHANGE POLICY AND THE BLACK MARKET FOR DOLLARS
Working Papers, California Los Angeles - Applied Econometrics
1990
A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
Working Papers, California Los Angeles - Applied Econometrics View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations See Also Journal Article in Journal of Business & Economic Statistics (1992)
ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT
Working Papers, Tilburg - Center for Economic Research
Also in
Working Papers, California Los Angeles - Applied Econometrics (1990)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)
ESTIMATING LIMITED-DEPENDENCE RATIONAL EXOECTATIONS MODELS
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
ESTIMATING LIMITED-DEPENDENT RATIONAL EXPECTATIONS MODELS
Working Papers, California Los Angeles - Applied Econometrics View citations
EXPECTATIONS IN ECONOMICS
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
PERSISTENCE, COINTEGRATION AND AGGREGATION: A DISAGGREGATED ANALYSIS OF OUTPUT FLUCTUATIONS IN THE U.S. ECONOMY
Working Papers, California Los Angeles - Applied Econometrics View citations
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)See Also Journal Article in Journal of Econometrics (1993)
RATIONAL EXPECTATIONS IN DISAGGREGATED MODELS: AN EMPIRICAL ANALYSIS OF OPEC'S BEHAVIOR
Working Papers, California Los Angeles - Applied Econometrics
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
Working Papers, California Los Angeles - Applied Econometrics
Also in
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)
1989
A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS
Working Papers, California Los Angeles - Applied EconometricsSee Also Journal Article in Journal of Econometrics (1993)
ESTIMATION OF SIMPLE CLASS OF MULTIVARIATE RATIONAL EXPECTATIONS MODELS: A TEST OF THE NEW CLASSICAL MODEL AT A SECTORAL LEVEL
Working Papers, California Los Angeles - Applied EconometricsSee Also Journal Article in Empirical Economics (1991)
JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
Working Papers, California Los Angeles - Applied EconometricsSee Also Journal Article in Econometric Reviews (1992)
JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
Working Papers, Osaka - Institute of Social and Economic ResearchSee Also Journal Article in Econometric Reviews (1992)
1988
Aggregation Bias and Labor Demand Equations for the U.K. Economy
UCLA Economics Working Papers, UCLA Department of Economics View citations
An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
UCLA Economics Working Papers, UCLA Department of Economics See Also Journal Article in Economic Journal (1990)
Econometric Analysis of Aggregation in the Context of Linear Prediction Models
UCLA Economics Working Papers, UCLA Department of Economics View citations See Also Journal Article in Econometrica (1989)
Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models
UCLA Economics Working Papers, UCLA Department of Economics
1987
A Rejoinder: On the Policy Ineffectiveness Proposition and a Keynesian Alternative
UCLA Economics Working Papers, UCLA Department of Economics
Undated
Analytical and Numerical Solution of Multivariate Nonlinear Rational Expectations Models
Computing in Economics and Finance 1997, Society for Computational Economics
Growth and Convergence in a Multi-County empirical Stochastic Solow Model
Discussion Papers in Economics, Department of Economics, University of Leicester View citations
Structural analysis of vector error correction models with exogenous I(1) variables (first version)
ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh View citations
Journal Articles
2008
A bias-adjusted LM test of error cross-section independence
Econometrics Journal , 2008, 11 , (1), 105-127 See Also Working Paper (2006)
March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors
Journal of Applied Econometrics , 2008, 23 , (3), 391-393
Testing slope homogeneity in large panels
Journal of Econometrics , 2008, 142 , (1), 50-93 See Also Working Paper (2005)
2007
A pair-wise approach to testing for output and growth convergence
Journal of Econometrics , 2007, 138 , (1), 312-355 View citations See Also Working Paper (2004)
A simple panel unit root test in the presence of cross-section dependence
Journal of Applied Econometrics , 2007, 22 , (2), 265-312 View citations See Also Working Paper (2003)
Econometric issues in the analysis of contagion
Journal of Economic Dynamics and Control , 2007, 31 , (4), 1245-1277 View citations See Also Working Paper (2004)
Exploring the international linkages of the euro area: a global VAR analysis
Journal of Applied Econometrics , 2007, 22 , (1), 1-38 View citations See Also Working Paper (2006)
Heterogeneity and cross section dependence in panel data models: theory and applications introduction
Journal of Applied Econometrics , 2007, 22 , (2), 229-232
Journal of Applied Econometrics Dissertation Prize
Journal of Applied Econometrics , 2007, 22 , (7), 1395-1395
Learning, Structural Instability, and Present Value Calculations
Econometric Reviews , 2007, 26 , (2-4), 253-288 See Also Working Paper (2006)
Long Run Macroeconomic Relations in the Global Economy
Economics - The Open-Access, Open-Assessment E-Journal , 2007, 1 , (3) View citations See Also Working Paper (2007)
Selection of estimation window in the presence of breaks
Journal of Econometrics , 2007, 137 , (1), 134-161 View citations
What if the UK or Sweden had joined the euro in 1999? An empirical evaluation using a Global VAR
International Journal of Finance & Economics , 2007, 12 , (1), 55-87
2006
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
Econometrica , 2006, 74 , (4), 967-1012 View citations See Also Working Paper (2004)
Forecasting Time Series Subject to Multiple Structural Breaks
Review of Economic Studies , 2006, 73 , (4), 1057-1084 View citations See Also Working Paper (2004)
MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE
Manchester School , 2006, 74 , (s1), 24-49 View citations See Also Working Paper (2006)
Macroeconomic Dynamics and Credit Risk: A Global Perspective
Journal of Money, Credit and Banking , 2006, 38 , (5), 1211-1261 View citations See Also Working Paper (2003)
2005
ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
Econometric Theory , 2005, 21 , (04), 795-837 View citations See Also Working Paper (2001)
REAL-TIME ECONOMETRICS
Econometric Theory , 2005, 21 , (01), 212-231 View citations See Also Working Paper (2004)
Small sample properties of forecasts from autoregressive models under structural breaks
Journal of Econometrics , 2005, 129 , (1-2), 183-217 View citations See Also Working Paper (2004)
The Cost Effectiveness of the UK's Sovereign Debt Portfolio
Oxford Bulletin of Economics and Statistics , 2005, 67 , (4), 467-495
2004
How costly is it to ignore breaks when forecasting the direction of a time series?
International Journal of Forecasting , 2004, 20 , (3), 411-425 View citations See Also Working Paper (2003)
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
Journal of Business & Economic Statistics , 2004, 22 , 129-162 View citations See Also Working Paper (2002)
Rejoinder
Journal of Business & Economic Statistics , 2004, 22 , 175-181
2003
A Long run structural macroeconometric model of the UK
Economic Journal , 2003, 113 , (487), 412-455 View citations See Also Working Paper (2004)
Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
Economic Modelling , 2003, 20 , (2), 383-415 View citations
Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
Journal of the American Statistical Association , 2003, 98 , 829-838 View citations
Introducing a replication section
Journal of Applied Econometrics , 2003, 18 , (1), 111-111
Journal of applied econometrics scholars programme
Journal of Applied Econometrics , 2003, 18 , (5), 619-619
Testing for unit roots in heterogeneous panels
Journal of Econometrics , 2003, 115 , (1), 53-74 View citations See Also Working Paper (1995)
2002
LONG-RUN STRUCTURAL MODELLING
Econometric Reviews , 2002, 21 , (1), 49-87 View citations See Also Working Paper (2004)
Market timing and return prediction under model instability
Journal of Empirical Finance , 2002, 9 , (5), 495-510 View citations See Also Working Paper (2002)
Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
Journal of Econometrics , 2002, 109 , (1), 107-150 View citations See Also Working Paper (1998)
2001
A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
Journal of Applied Econometrics , 2001, 16 , (3), 197-202
Bounds testing approaches to the analysis of level relationships
Journal of Applied Econometrics , 2001, 16 , (3), 289-326 View citations
Journal of Applied Econometrics Conference Sponsorship Grants
Journal of Applied Econometrics , 2001, 16 , (4), 561-561
Journal of Applied Econometrics distinguished authors
Journal of Applied Econometrics , 2001, 16 , (5), 653-654
Life-cycle consumption under social interactions
Journal of Economic Dynamics and Control , 2001, 25 , (1-2), 35-83 View citations
2000
A Recursive Modelling Approach to Predicting UK Stock Returns
Economic Journal , 2000, 110 , (460), 159-91 View citations See Also Working Paper (1999)
Cross-sectional aggregation of non-linear models
Journal of Econometrics , 2000, 95 , (2), 285-331 View citations See Also Working Paper (1998)
Life and Work of John Richard Nicholas Stone 1913-1991
Economic Journal , 2000, 110 , (461), F146-65 See Also Working Paper (1999)
Solution of Nonlinear Rational Expectations Models with Applications to Finite-Horizon Life-Cycle Models of Consumption
Computational Economics , 2000, 15 , (1-2), 25-57
Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
Journal of Economic Dynamics and Control , 2000, 24 , (3), 325-346 View citations
Structural analysis of vector error correction models with exogenous I(1) variables
Journal of Econometrics , 2000, 97 , (2), 293-343 View citations See Also Working Paper (1997)
1999
Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model with Jumps
Journal of Business & Economic Statistics , 1999, 17 , (1), 50-66 View citations
Diagnostics for IV Regressions
Oxford Bulletin of Economics and Statistics , 1999, 61 , (2), 255-81 View citations See Also Working Paper (1997)
Stochastic Growth Models and Their Econometric Implications
Journal of Economic Growth , 1999, 4 , (2), 139-83 View citations
1998
Decision Making in the Presence of Heterogeneous Information and Social Interactions
International Economic Review , 1998, 39 , (4), 1027-52 View citations See Also Working Paper (1995)
Generalized impulse response analysis in linear multivariate models
Economics Letters , 1998, 58 , (1), 17-29 View citations See Also Working Paper (1997)
Growth Empirics: A Panel Data Approach- A Comment
The Quarterly Journal of Economics , 1998, 113 , (1), 319-323 View citations
Structural Analysis of Cointegrating VARs
Journal of Economic Surveys , 1998, 12 , (5), 471-505 View citations See Also Working Paper (1998)
1997
A floor and ceiling model of US output
Journal of Economic Dynamics and Control , 1997, 21 , (4-5), 661-695 View citations See Also Working Paper (1995)
Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
Journal of Applied Econometrics , 1997, 12 , (5), 586-87
Growth and Convergence in Multi-country Empirical Stochastic Solow Model
Journal of Applied Econometrics , 1997, 12 , (4), 357-92 View citations
On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Comments
Journal of Applied Econometrics , 1997, 12 , (5), 500-503
The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments
Journal of Applied Econometrics , 1997, 12 , (5), 527-29
The Role of Economic Theory in Modelling the Long Run
Economic Journal , 1997, 107 , (440), 178-91 View citations See Also Working Paper (1996)
1996
Cointegration and speed of convergence to equilibrium
Journal of Econometrics , 1996, 71 , (1-2), 117-143 View citations See Also Working Paper (1993)
Impulse response analysis in nonlinear multivariate models
Journal of Econometrics , 1996, 74 , (1), 119-147 View citations
Limited-dependent rational expectations models with stochastic thresholds
Economics Letters , 1996, 51 , (3), 267-276 View citations See Also Working Paper (1993)
1995
A non-nested test of level-differenced versus log-differenced stationary models
Econometric Reviews , 1995, 14 , (2), 213-227 View citations See Also Working Paper (1992)
Estimating long-run relationships from dynamic heterogeneous panels
Journal of Econometrics , 1995, 68 , (1), 79-113 View citations See Also Working Paper (1992)
Forecasting ultimate resource recovery
International Journal of Forecasting , 1995, 11 , (4), 543-555 See Also Working Paper (1993)
Limited-dependent rational expectations models with future expectations
Journal of Economic Dynamics and Control , 1995, 19 , (8), 1325-1353 View citations See Also Working Paper (1993)
Predictability of Stock Returns: Robustness and Economic Significance
Journal of Finance , 1995, 50 , (4), 1201-28 View citations See Also Working Paper (1995)
The role of theory in econometrics
Journal of Econometrics , 1995, 67 , (1), 61-79 View citations
1994
A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
Journal of Applied Econometrics , 1994, 9 , (S), S95-112 View citations
A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method
Econometrica , 1994, 62 , (3), 705-10
A generalization of the non-parametric Henriksson-Merton test of market timing
Economics Letters , 1994, 44 , (1-2), 1-7 View citations See Also Working Paper (1992)
Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods
Journal of Business & Economic Statistics , 1994, 12 , (1), 11-21 View citations See Also Working Paper (1992)
Cointegration and direct tests of the rational expectations hypothesis
Econometric Reviews , 1994, 13 , (2), 231-258 See Also Working Paper (1993)