Details about M Hashem Pesaran

E-mail:
Homepage:	http://www.econ.cam.ac.uk/faculty/pesaran
Phone:	+44 1223 335216
Postal address:	Faculty of Economics, University of Cambridge Sidgwick Avenue Cambridge CB3 9DD UK
Workplace:	Faculty of Economics, University of Cambridge, (more information at EDIRC) CESifo, (more information at EDIRC) Institute for the Study of Labor (IZA), (more information at EDIRC) Cambridge Finance, University of Cambridge, (more information at EDIRC) Department of Economics, University of Southern California, (more information at EDIRC)

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Working Papers

2008

1. 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)
2. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
   Discussion Papers, School of Economics, The University of New South Wales
3. 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)
4. 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
5. Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Modelsand Observation Windows
   Working Papers, Swiss National Bank
6. 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
7. Iranian Economy in the Twentieth Century: A Global Perspective
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
8. 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)
9. 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)
10. 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

11. 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)
12. 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)
13. 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
14. 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
15. 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)
16. 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)
17. 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)
18. Monetary Policy Transmission and the Phillips Curve in a Global Context
    Kiel Working Papers, Kiel Institute for the World Economy
19. 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
20. 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
21. Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
    CESifo Working Paper Series, CESifo GmbH

2006

22. 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)
23. 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
24. 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)
25. 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)
26. 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)
27. 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)
28. 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)
29. 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
30. 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

31. 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
32. Firm Heterogeneity and Credit Risk Diversification
    CESifo Working Paper Series, CESifo GmbH View citations
33. 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
34. Market Efficiency Today
    IEPR Working Papers, Institute of Economic Policy Research (IEPR)
35. 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
36. National and Global Macroeconometric Modelling Using GVAR
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
37. 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)
38. 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)
39. 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)
40. The Forecasing time series subject to multiple structure breaks
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
41. 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
42. 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
43. 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

44. 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)
45. 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)
46. A long run structural macroeconometric model of the UK (first version)
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh
47. 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
48. 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)
49. 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)
50. Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh View citations
51. 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)
52. 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
53. 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)
54. Pooled mean group estimation of dynamic heterogeneous panels
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh View citations
55. 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
56. 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)
57. 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)
58. Structural analysis of vector error correction models exogenous i(1) variables
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh

2003

59. 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)
60. 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
61. 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)
62. 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)
63. On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
64. 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

65. Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
    Computing in Economics and Finance 2002, Society for Computational Economics View citations
66. 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
67. 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
68. 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)
69. 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

70. 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

71. ASSET PRICE DYNAMICS AND AGGREGATION
    Computing in Economics and Finance 2000, Society for Computational Economics
72. Forecast Uncertainties in Macroeconometric Models: An Application to the UK Economy
    Discussion Papers in Economics, Department of Economics, University of Leicester
73. Life-Cycle Models and Cross-Country Analysis of Saving
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
74. 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

75. 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)
76. 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
77. 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
78. Economic and Statistical Measures of Forecast Accuracy
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
79. 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)
80. 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
81. 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
82. Non-nested Hypothesis Testing: An Overview
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
83. On Aggregation of Linear Dynamic Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations

1998

84. Analytical and Numerical Solution of Finite-horizon Nonlinear Rational Expectations Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
85. Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
86. Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
87. Cross-sectional Aggregation of Non-linear Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See Also Journal Article in Journal of Econometrics (2000)
88. 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)
89. Optimal Consumption Decisions under Social Interactions
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
90. 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

91. Diagnostics for IV Regressions
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See Also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
92. 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)
93. Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
94. Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
95. 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

96. 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
97. Limited-dependent rational expectations models with jumps
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis
98. 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
99. Stochastic Growth
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
100. 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
101. 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

102. 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
103. 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)
104. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
105. 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)
106. Dynamic Linear Models for Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
107. 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
108. Iranian Economy During the Pahlavi Era
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
109. 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
110. New Directions in Applied Macroeconomic Modelling
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
111. Planning and Macroeconomic Stabilization in Iran
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
112. 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)
113. 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)
114. The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1993

115. Cointegration and Direct Tests of the Rational Expectations Hypothesis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See Also Journal Article in Econometric Reviews (1994)
116. 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)
117. Equilibrium Asset Pricing Models and Predictability of Excess Returns
     UCLA Economics Working Papers, UCLA Department of Economics
118. 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
119. Forecasting Ultimate Resource Recovery
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See Also Journal Article in International Journal of Forecasting (1995)
120. 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)
121. 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)
122. The Natural Rate Hypothesis and its Testable Implications
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations

1992

123. A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See Also Journal Article in Economics Letters (1994)
124. 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
125. 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)
126. Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See Also Journal Article in Journal of Business & Economic Statistics (1994)
127. 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)
128. Forecasting Stock Returns
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
129. Oil Investment in the North Sea
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See Also Journal Article in Economic Modelling (1994)
130. The Interaction Between Theory and Observation in Economics
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
131. The Role of Sectoral Interactions in Wage Determination in the UK Economy
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See Also Journal Article in Economic Journal (1993)
132. Theory and Evidence in Economics
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
133. 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

134. 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 Econometrics
     See Also Journal Article in Economic Journal (1992)
135. 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)
136. THE IRANIAN FOREIGN EXCHANGE POLICY AND THE BLACK MARKET FOR DOLLARS
     Working Papers, California Los Angeles - Applied Econometrics

1990

137. 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)
138. 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)
139. ESTIMATING LIMITED-DEPENDENCE RATIONAL EXOECTATIONS MODELS
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
140. ESTIMATING LIMITED-DEPENDENT RATIONAL EXPECTATIONS MODELS
     Working Papers, California Los Angeles - Applied Econometrics View citations
141. EXPECTATIONS IN ECONOMICS
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
142. 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)
143. RATIONAL EXPECTATIONS IN DISAGGREGATED MODELS: AN EMPIRICAL ANALYSIS OF OPEC'S BEHAVIOR
     Working Papers, California Los Angeles - Applied Econometrics
144. 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

145. A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS
     Working Papers, California Los Angeles - Applied Econometrics
     See Also Journal Article in Journal of Econometrics (1993)
146. 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 Econometrics
     See Also Journal Article in Empirical Economics (1991)
147. JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
     Working Papers, California Los Angeles - Applied Econometrics
     See Also Journal Article in Econometric Reviews (1992)
148. JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
     Working Papers, Osaka - Institute of Social and Economic Research
     See Also Journal Article in Econometric Reviews (1992)

1988

149. Aggregation Bias and Labor Demand Equations for the U.K. Economy
     UCLA Economics Working Papers, UCLA Department of Economics View citations
150. 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)
151. 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)
152. Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models
     UCLA Economics Working Papers, UCLA Department of Economics

1987

153. A Rejoinder: On the Policy Ineffectiveness Proposition and a Keynesian Alternative
     UCLA Economics Working Papers, UCLA Department of Economics

Undated

154. Analytical and Numerical Solution of Multivariate Nonlinear Rational Expectations Models
     Computing in Economics and Finance 1997, Society for Computational Economics
155. Growth and Convergence in a Multi-County empirical Stochastic Solow Model
     Discussion Papers in Economics, Department of Economics, University of Leicester View citations
156. 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

1. A bias-adjusted LM test of error cross-section independence
   Econometrics Journal, 2008, 11, (1), 105-127
   See Also Working Paper (2006)
2. March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors
   Journal of Applied Econometrics, 2008, 23, (3), 391-393
3. Testing slope homogeneity in large panels
   Journal of Econometrics, 2008, 142, (1), 50-93
   See Also Working Paper (2005)

2007

4. 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)
5. 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)
6. 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)
7. 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)
8. Heterogeneity and cross section dependence in panel data models: theory and applications introduction
   Journal of Applied Econometrics, 2007, 22, (2), 229-232
9. Journal of Applied Econometrics Dissertation Prize
   Journal of Applied Econometrics, 2007, 22, (7), 1395-1395
10. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288
    See Also Working Paper (2006)
11. 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)
12. Selection of estimation window in the presence of breaks
    Journal of Econometrics, 2007, 137, (1), 134-161 View citations
13. 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

14. 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)
15. Forecasting Time Series Subject to Multiple Structural Breaks
    Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations
    See Also Working Paper (2004)
16. MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE
    Manchester School, 2006, 74, (s1), 24-49 View citations
    See Also Working Paper (2006)
17. 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

18. 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)
19. REAL-TIME ECONOMETRICS
    Econometric Theory, 2005, 21, (01), 212-231 View citations
    See Also Working Paper (2004)
20. 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)
21. The Cost Effectiveness of the UK's Sovereign Debt Portfolio
    Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 467-495

2004

22. 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)
23. 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)
24. Rejoinder
    Journal of Business & Economic Statistics, 2004, 22, 175-181

2003

25. A Long run structural macroeconometric model of the UK
    Economic Journal, 2003, 113, (487), 412-455 View citations
    See Also Working Paper (2004)
26. Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
    Economic Modelling, 2003, 20, (2), 383-415 View citations
27. Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
    Journal of the American Statistical Association, 2003, 98, 829-838 View citations
28. Introducing a replication section
    Journal of Applied Econometrics, 2003, 18, (1), 111-111
29. Journal of applied econometrics scholars programme
    Journal of Applied Econometrics, 2003, 18, (5), 619-619
30. Testing for unit roots in heterogeneous panels
    Journal of Econometrics, 2003, 115, (1), 53-74 View citations
    See Also Working Paper (1995)

2002

31. LONG-RUN STRUCTURAL MODELLING
    Econometric Reviews, 2002, 21, (1), 49-87 View citations
    See Also Working Paper (2004)
32. Market timing and return prediction under model instability
    Journal of Empirical Finance, 2002, 9, (5), 495-510 View citations
    See Also Working Paper (2002)
33. 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

34. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
    Journal of Applied Econometrics, 2001, 16, (3), 197-202
35. Bounds testing approaches to the analysis of level relationships
    Journal of Applied Econometrics, 2001, 16, (3), 289-326 View citations
36. Journal of Applied Econometrics Conference Sponsorship Grants
    Journal of Applied Econometrics, 2001, 16, (4), 561-561
37. Journal of Applied Econometrics distinguished authors
    Journal of Applied Econometrics, 2001, 16, (5), 653-654
38. Life-cycle consumption under social interactions
    Journal of Economic Dynamics and Control, 2001, 25, (1-2), 35-83 View citations

2000

39. A Recursive Modelling Approach to Predicting UK Stock Returns
    Economic Journal, 2000, 110, (460), 159-91 View citations
    See Also Working Paper (1999)
40. Cross-sectional aggregation of non-linear models
    Journal of Econometrics, 2000, 95, (2), 285-331 View citations
    See Also Working Paper (1998)
41. Life and Work of John Richard Nicholas Stone 1913-1991
    Economic Journal, 2000, 110, (461), F146-65
    See Also Working Paper (1999)
42. Solution of Nonlinear Rational Expectations Models with Applications to Finite-Horizon Life-Cycle Models of Consumption
    Computational Economics, 2000, 15, (1-2), 25-57
43. 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
44. 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

45. 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
46. Diagnostics for IV Regressions
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 255-81 View citations
    See Also Working Paper (1997)
47. Stochastic Growth Models and Their Econometric Implications
    Journal of Economic Growth, 1999, 4, (2), 139-83 View citations

1998

48. 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)
49. Generalized impulse response analysis in linear multivariate models
    Economics Letters, 1998, 58, (1), 17-29 View citations
    See Also Working Paper (1997)
50. Growth Empirics: A Panel Data Approach- A Comment
    The Quarterly Journal of Economics, 1998, 113, (1), 319-323 View citations
51. Structural Analysis of Cointegrating VARs
    Journal of Economic Surveys, 1998, 12, (5), 471-505 View citations
    See Also Working Paper (1998)

1997

52. 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)
53. Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 586-87
54. Growth and Convergence in Multi-country Empirical Stochastic Solow Model
    Journal of Applied Econometrics, 1997, 12, (4), 357-92 View citations
55. 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
56. 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
57. 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

58. Cointegration and speed of convergence to equilibrium
    Journal of Econometrics, 1996, 71, (1-2), 117-143 View citations
    See Also Working Paper (1993)
59. Impulse response analysis in nonlinear multivariate models
    Journal of Econometrics, 1996, 74, (1), 119-147 View citations
60. Limited-dependent rational expectations models with stochastic thresholds
    Economics Letters, 1996, 51, (3), 267-276 View citations
    See Also Working Paper (1993)

1995

61. 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)
62. Estimating long-run relationships from dynamic heterogeneous panels
    Journal of Econometrics, 1995, 68, (1), 79-113 View citations
    See Also Working Paper (1992)
63. Forecasting ultimate resource recovery
    International Journal of Forecasting, 1995, 11, (4), 543-555
    See Also Working Paper (1993)
64. 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)
65. Predictability of Stock Returns: Robustness and Economic Significance
    Journal of Finance, 1995, 50, (4), 1201-28 View citations
    See Also Working Paper (1995)
66. The role of theory in econometrics
    Journal of Econometrics, 1995, 67, (1), 61-79 View citations

1994

67. A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
    Journal of Applied Econometrics, 1994, 9, (S), S95-112 View citations
68. A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method
    Econometrica, 1994, 62, (3), 705-10
69. 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)
70. 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)
71. Cointegration and direct tests of the rational expectations hypothesis
    Econometric Reviews, 1994, 13, (2), 231-258
    See Also Working Paper (1993)