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Details about M Hashem Pesaran

E-mail:
Homepage:http://pesaran.com/
Phone:001 213 740 3510
Postal address:Department of Economics University of Southern California 3620 South Vermont Avenue Kaprielian Hall 300 Los Angeles, CA 90089-0253 USA
Workplace:Department of Economics, University of Southern California, (more information at EDIRC)

Access statistics for papers by M Hashem Pesaran.

Last updated 2016-12-24. Update your information in the RePEc Author Service.

Short-id: ppe34


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Working Papers

2016

  1. A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2016) Downloads
  2. Big Data Analytics: A New Perspective
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2016) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) Downloads
  3. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  4. Econometric Analysis of Production Networks with Dominant Units
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2016) Downloads
  5. Half-panel jackknife fixed effects estimation of panels with weakly exogenous regressor
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas Downloads
  6. Oil Prices and the Global Economy: Is It Different This Time Around?
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2016) Downloads View citations (2)
    IMF Working Papers, International Monetary Fund (2016) Downloads View citations (1)
    CESifo Working Paper Series, CESifo Group Munich (2016) Downloads View citations (4)
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2016) Downloads View citations (2)

2015

  1. Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (13)
    Also in Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2015) Downloads View citations (15)
    CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (14)

    See also Journal Article in Energy Economics (2016)
  2. Is There a Debt-threshold Effect on Output Growth?
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (2)
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2015) Downloads View citations (2)
  3. Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (10)
    Also in Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2015) Downloads View citations (3)
  4. Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2015) Downloads View citations (3)
  5. To Pool or not to Pool: Revisited
    CESifo Working Paper Series, CESifo Group Munich Downloads

2014

  1. A Multi-Country Approach to Forecasting Output Growth Using PMIs
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2014) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)
  2. A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (10)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) Downloads View citations (2)
  3. A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) Downloads View citations (9)

    See also Journal Article in Journal of Applied Econometrics (2016)
  4. Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (1)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2012) Downloads View citations (18)
    CESifo Working Paper Series, CESifo Group Munich (2012) Downloads View citations (17)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2012) Downloads View citations (17)

    See also Journal Article in Research in Economics (2016)
  5. Estimation of Time-invariant Effects in Static Panel Data Models
    CESifo Working Paper Series, CESifo Group Munich Downloads
  6. Tests of Policy Ineffectiveness in Macroeconometrics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2014) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2014) Downloads
  7. Theory and Practice of GVAR Modeling
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (10)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (10)
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2014) Downloads View citations (10)

    See also Journal Article in Journal of Economic Surveys (2016)
  8. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) Downloads View citations (4)
  9. Uncertainty and Economic Activity: A Global Perspective
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (8)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (19)
    IDB Publications (Working Papers), Inter-American Development Bank (2014) Downloads View citations (13)

2013

  1. Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
    Staff Working Papers, Bank of Canada Downloads View citations (3)
  2. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (17)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) Downloads View citations (17)
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2013) Downloads View citations (17)
  3. Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (13)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) Downloads View citations (28)
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2013) Downloads View citations (13)
  4. Large Panel Data Models with Cross-Sectional Dependence: A Survey
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (20)
    Also in Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2013) Downloads View citations (21)
  5. One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing?
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) Downloads View citations (12)
  6. Signs of Impact Effects in Time Series Regression Models
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    See also Journal Article in Economics Letters (2014)

2012

  1. An Empirical Growth Model for Major Oil Exporters
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (11)
    Also in CESifo Working Paper Series, CESifo Group Munich (2012) Downloads View citations (9)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) Downloads View citations (19)

    See also Journal Article in Journal of Applied Econometrics (2014)
  2. An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2012) Downloads View citations (1)
  3. China’s Emergence in the World Economy and Business Cycles in Latin America
    Staff Working Papers, Bank of Canada Downloads View citations (18)
    Also in IDB Publications (Working Papers), Inter-American Development Bank (2011) Downloads View citations (17)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2011) Downloads View citations (10)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) Downloads View citations (18)
    Research Department Publications, Inter-American Development Bank, Research Department (2011) Downloads View citations (13)

    See also Journal Article in ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION (2012)
  4. Exponent of Cross-sectional Dependence: Estimation and Inference
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (44)
    Also in CESifo Working Paper Series, CESifo Group Munich (2012) Downloads View citations (6)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2012) Downloads View citations (6)

    See also Journal Article in Journal of Applied Econometrics (2016)
  5. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2012) Downloads View citations (2)
    Working Paper Series, The Rimini Centre for Economic Analysis (2012) Downloads View citations (9)
  6. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  7. Testing CAPM with a Large Number of Assets
    Discussion Papers, Department of Economics, University of York Downloads View citations (6)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2012) Downloads View citations (2)
  8. Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
  9. Testing Weak Cross-Sectional Dependence in Large Panels
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (7)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2012) Downloads View citations (7)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) Downloads View citations (7)

    See also Journal Article in Econometric Reviews (2015)

2011

  1. Aggregation in Large Dynamic Panels
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) Downloads View citations (4)
    CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (4)
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas (2011) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2014)
  2. Beyond the DSGE Straitjacket
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) Downloads View citations (1)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2011) Downloads View citations (5)
  3. Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) Downloads View citations (4)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2011) Downloads View citations (4)
  4. Large panels with common factors and spatial correlation
    Post-Print, HAL Downloads View citations (134)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads View citations (16)
    CESifo Working Paper Series, CESifo Group Munich (2007) Downloads View citations (21)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (15)

    See also Journal Article in Journal of Econometrics (2011)
  5. On Identification of Bayesian DSGE Models
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (6)
    Also in CESifo Working Paper Series, CESifo Group Munich (2011) Downloads View citations (6)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) Downloads View citations (5)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) Downloads View citations (6)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (6)

    See also Journal Article in Journal of Business & Economic Statistics (2013)
  6. Optimal Forecasts in the Presence of Structural Breaks
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2013)
  7. Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads

2010

  1. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (12)
  2. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (13)
    See also Journal Article in Economic Modelling (2010)
  3. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (15)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2010) Downloads View citations (16)
    Working Paper Series, European Central Bank (2010) Downloads View citations (23)

    See also Journal Article in Econometric Reviews (2013)
  4. Oil Exports and the Iranian Economy
    Working Papers, Economic Research Forum Downloads View citations (17)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (3)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) Downloads View citations (3)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2009) Downloads View citations (6)

    See also Journal Article in The Quarterly Review of Economics and Finance (2013)
  5. Panels with nonstationary multifactor error structures
    Post-Print, HAL Downloads View citations (9)
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (16)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (19)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (18)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006) Downloads View citations (28)

    See also Journal Article in Journal of Econometrics (2011)
  6. Predictability of Asset Returns and the Efficient Market Hypothesis
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2010) Downloads
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2010) Downloads
  7. Spatial and Temporal Diffusion of House Prices in the UK
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (12)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2010) Downloads View citations (5)
    Discussion Papers, Department of Economics, University of York Downloads View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) Downloads
  8. Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (26)
    Also in Working Paper Series, European Central Bank (2010) Downloads View citations (15)
  9. Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2011)

2009

  1. A VECX* model of the Swiss economy
    Economic Studies, Swiss National Bank Downloads View citations (8)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) Downloads View citations (1)
  2. Forecasting Random Walks under Drift Instability
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (4)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) Downloads View citations (4)
  3. Infinite-dimensional VARs and factor models
    Working Paper Series, European Central Bank Downloads View citations (3)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads View citations (16)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (16)
    CESifo Working Paper Series, CESifo Group Munich (2007) Downloads View citations (26)

    See also Journal Article in Journal of Econometrics (2011)
  4. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
    CESifo Working Paper Series, CESifo Group Munich Downloads
  5. Variable Selection and Inference for Multi-period Forecasting Problems
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) Downloads
  6. Weak and Strong Cross Section Dependence and Estimation of Large Panels
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (17)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) Downloads View citations (14)
    Working Paper Series, European Central Bank (2009) Downloads View citations (31)

    See also Journal Article in Econometrics Journal (2011)

2008

  1. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (31)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)
  2. Forecasting Economic and Financial Variables with Global VARs
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
    Also in Staff Reports, Federal Reserve Bank of New York (2008) Downloads View citations (3)
    CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (4)

    See also Journal Article in International Journal of Forecasting (2009)
  3. Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Modelsand Observation Windows
    Working Papers, Swiss National Bank Downloads View citations (19)
  4. Identification of New Keynesian Phillips Curves from a Global Perspective
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (36)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) Downloads View citations (28)
    Working Paper Series, European Central Bank (2008) Downloads View citations (28)
    CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (35)

    See also Journal Article in Journal of Money, Credit and Banking (2009)
  5. Iranian Economy in the Twentieth Century: A Global Perspective
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
  6. Model Averaging in Risk Management with an Application to Futures Markets
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (8)

    See also Journal Article in Journal of Empirical Finance (2009)
  7. Optimal Asset Allocation with Factor Models for Large Portfolios
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (6)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (5)
  8. Panel Unit Root Tests in the Presence of a Multifactor Error Structure
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (116)
    Discussion Papers, Department of Economics, University of York (2008) Downloads View citations (2)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads View citations (113)

    See also Journal Article in Journal of Econometrics (2013)

2007

  1. Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (1)
  2. Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Model
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2007) Downloads View citations (5)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (6)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads View citations (5)
  3. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (3)
  4. Long Run Macroeconomic Relations in the Global Economy
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW) Downloads View citations (55)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (35)
    Working Paper Series, European Central Bank (2007) Downloads View citations (35)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (42)
    CESifo Working Paper Series, CESifo Group Munich (2007) Downloads View citations (38)

    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007)
  5. Lumpy Price Adjustments, A Microeconometric Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads View citations (2)
    CESifo Working Paper Series, CESifo Group Munich (2007) Downloads View citations (10)
    Working papers, Banque de France (2007) Downloads View citations (6)
    Working Paper Research, National Bank of Belgium (2006) Downloads View citations (2)

    See also Journal Article in Journal of Business & Economic Statistics (2011)
  6. Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (9)
  7. Monetary Policy Transmission and the Phillips Curve in a Global Context
    Kiel Working Papers, Kiel Institute for the World Economy (IfW) Downloads
  8. On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) Downloads View citations (3)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007) Downloads View citations (3)
    CESifo Working Paper Series, CESifo Group Munich (2007) Downloads View citations (4)
  9. Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)

2006

  1. A Bias-Adjusted LM Test of Error Cross Section Independence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (6)
    See also Journal Article in Econometrics Journal (2008)
  2. A Spatio-Temporal Model of House Prices in the US
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (30)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006) Downloads View citations (7)

    See also Journal Article in Journal of Econometrics (2010)
  3. Econometrics: A Bird's Eye View
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2006) Downloads
  4. Exploring the International Linkages of the Euro Area: a Global VAR Analysis
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2005) Downloads View citations (26)
    Working Paper Series, European Central Bank (2005) Downloads View citations (22)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (14)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (24)

    See also Journal Article in Journal of Applied Econometrics (2007)
  5. Learning, Structural Instability and Present Value Calculations
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (29)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) Downloads View citations (1)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006) Downloads View citations (1)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (6)
    CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2007)
  6. Macroeconometric Modelling with a Global Perspective
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (60)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (65)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) Downloads View citations (66)

    See also Journal Article in Manchester School (2006)
  7. Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (2)
  8. Testing Dependence Among Serially Correlated Multi-category Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006) Downloads View citations (1)
    CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (2)

    See also Journal Article in Journal of the American Statistical Association (2009)

2005

  1. Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (10)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (7)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2005) Downloads View citations (10)
  2. Firm Heterogeneity and Credit Risk Diversification
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (13)
    See also Journal Article in Journal of Empirical Finance (2008)
  3. Global Business Cycles and Credit Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in CESifo Working Paper Series, CESifo Group Munich (2005) Downloads View citations (12)

    See also Chapter (2007)
  4. Market Efficiency Today
    IEPR Working Papers, Institute of Economic Policy Research (IEPR)
  5. 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 Downloads View citations (4)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (2)
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) Downloads View citations (5)
    CESifo Working Paper Series, CESifo Group Munich (2004) Downloads View citations (4)
  6. National and Global Macroeconometric Modelling Using GVAR
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
  7. Scope for Credit Risk Diversification
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (1)
  8. Survey Expectations
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (10)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (12)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (33)

    See also Chapter (2006)
  9. Testing Slope Homogeneity in Large Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (6)
    Also in CESifo Working Paper Series, CESifo Group Munich (2005) Downloads View citations (6)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (7)

    See also Journal Article in Journal of Econometrics (2008)
  10. The Forecasing time series subject to multiple structure breaks
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
  11. The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (3)
  12. Unit Roots and Cointegration in Panels
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (70)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (65)
    CESifo Working Paper Series, CESifo Group Munich (2005) Downloads View citations (59)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2005) Downloads View citations (59)
  13. What if the UK had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (6)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (7)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (2)

2004

  1. A Pair-Wise Approach to Testing for Output and Growth Convergence
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) Downloads View citations (3)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) Downloads View citations (7)

    See also Journal Article in Journal of Econometrics (2007)
  2. Econometric Issues in the Analysis of Contagion
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (12)
    Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) Downloads View citations (5)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) Downloads View citations (10)

    See also Journal Article in Journal of Economic Dynamics and Control (2007)
  3. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (24)
    See also Journal Article in Econometrica (2006)
  4. Forecasting Time Series Subject to Multiple Structural Breaks
    IZA Discussion Papers, Institute for the Study of Labor (IZA) Downloads View citations (12)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) Downloads View citations (20)
    CESifo Working Paper Series, CESifo Group Munich (2004) Downloads View citations (12)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (27)

    See also Journal Article in Review of Economic Studies (2006)
  5. General Diagnostic Tests for Cross Section Dependence in Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (401)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) Downloads View citations (471)
    CESifo Working Paper Series, CESifo Group Munich (2004) Downloads View citations (499)
  6. Random Coefficient Panel Data Models
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (20)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) Downloads View citations (18)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) Downloads View citations (18)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (20)
  7. Real Time Econometrics
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (6)
    IZA Discussion Papers, Institute for the Study of Labor (IZA) (2004) Downloads View citations (4)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) Downloads View citations (5)

    See also Journal Article in Econometric Theory (2005)
  8. Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads View citations (1)
    CESifo Working Paper Series, CESifo Group Munich (2003) Downloads

    See also Journal Article in Journal of Econometrics (2005)

2003

  1. A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (73)
    See also Journal Article in Journal of Applied Econometrics (2007)
  2. Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (23)
    Also in CESifo Working Paper Series, CESifo Group Munich (2003) Downloads View citations (2)
  3. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads View citations (3)

    See also Journal Article in International Journal of Forecasting (2004)
  4. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (21)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads
    CESifo Working Paper Series, CESifo Group Munich (2003) Downloads View citations (15)

    See also Journal Article in Journal of Money, Credit and Banking (2006)
  5. On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (15)
  6. Scope for Cost Minimization in Public Debt Management: the Case of the UK
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)

2002

  1. Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (2)
  2. 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
  3. Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (59)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) Downloads View citations (21)
    CESifo Working Paper Series, CESifo Group Munich (2000) Downloads
  4. Market Timing and Return Prediction under Model Instability
    FMG Discussion Papers, Financial Markets Group Downloads View citations (99)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads View citations (96)

    See also Journal Article in Journal of Empirical Finance (2002)
  5. 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 Downloads View citations (17)
    Also in EcoMod2003, EcoMod Downloads View citations (6)
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2001) Downloads View citations (59)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2001) Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (2004)

2001

  1. A long run structural macroeconometric model of the UK
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (24)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998) View citations (10)

    See also Journal Article in Economic Journal (2003)
  2. Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
    Computing in Economics and Finance 2001, Society for Computational Economics Downloads View citations (18)
    Also in Working Papers, Banco de España (2000) Downloads View citations (8)
    CESifo Working Paper Series, CESifo Group Munich (2000) Downloads View citations (12)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) Downloads View citations (63)

    See also Journal Article in Econometric Theory (2005)
  3. Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (8)

2000

  1. ASSET PRICE DYNAMICS AND AGGREGATION
    Computing in Economics and Finance 2000, Society for Computational Economics
  2. Life-Cycle Models and Cross-Country Analysis of Saving
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
  3. The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2000) Downloads View citations (1)

1999

  1. A Recursive Modelling Approach to Predicting UK Stock Returns
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations (4)

    See also Journal Article in Economic Journal (2000)
  2. A long run structural macroeconometric model of the UK (first version)
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads
  3. Bounds Testing Approaches to the Analysis of Long Run Relationships
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) Downloads View citations (30)
  4. Economic and Statistical Measures of Forecast Accuracy
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (23)
  5. Long-Run Structural Modelling
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (32)

    See also Journal Article in Econometric Reviews (2002)
  6. Model Instability and Choice of Observation Window
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (6)
  7. Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions
    IMF Working Papers, International Monetary Fund Downloads View citations (69)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) Downloads View citations (56)
  8. Non-nested Hypothesis Testing: An Overview
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (15)
  9. On Aggregation of Linear Dynamic Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
  10. Structural analysis of vector error correction models with exogenous I(1) variables
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1997) View citations (51)

    See also Journal Article in Journal of Econometrics (2000)

1998

  1. A Structural Cointegrating VAR Approach to Macroeconometric Modelling
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
    Also in ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh (1998) Downloads View citations (8)
  2. Analytical and Numerical Solution of Finite-horizon Nonlinear Rational Expectations Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
  3. Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (27)
  4. Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
  5. Cross-sectional Aggregation of Non-linear Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article in Journal of Econometrics (2000)
  6. Economic Trends and Macroeconomic Policies in Post-revolutionary Iran
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
  7. 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 (5)
    See also Journal Article in Journal of Econometrics (2002)
  8. Optimal Consumption Decisions under Social Interactions
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
  9. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
    ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh Downloads View citations (89)
  10. Structural Analysis of Cointegrating VARs
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (109)

1997

  1. 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)
  2. Generalised Impulse Response Analysis in Linear Multivariate Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (45)
    See also Journal Article in Economics Letters (1998)
  3. Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (24)
  4. Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
    See also Software Item (1997)
  5. 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 (1)

1996

  1. A Decision_Theoretic Approach to Forecast Evaluation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (27)
  2. Limited-dependent rational expectations models with jumps
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (3)
  3. 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 (33)
    See also Software Item (1997)
  4. Stochastic Growth
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (39)
  5. Testing for the 'Existence of a Long-run Relationship'
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (129)
  6. The Role of Economic Theory in Modelling the Long Run
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (15)
    See also Journal Article in Economic Journal (1997)

1995

  1. A Discrete-Time Version of Target Zone Models with Jumps
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (2)
  2. A Floor and Ceiling Model of U.S. Output
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
    See also Journal Article in Journal of Economic Dynamics and Control (1997)
  3. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (126)
  4. Decision-Making in the Presence of Heterogeneous Information and Social Interactions
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
    See also Journal Article in International Economic Review (1998)
  5. Dynamic Linear Models for Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (50)
  6. 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 (4)
  7. Iranian Economy During the Pahlavi Era
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
  8. 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 (85)
    See also Software Item (1994)
  9. New Directions in Applied Macroeconomic Modelling
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
  10. Planning and Macroeconomic Stabilization in Iran
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
  11. Testing for Unit Roots in Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (267)
    See also Journal Article in Journal of Econometrics (2003)
  12. The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1993

  1. Cointegration and Direct Tests of the Rational Expectations Hypothesis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
  2. Cointegration and Speed of Convergence to Equilibrium
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    See also Journal Article in Journal of Econometrics (1996)
  3. Equilibrium Asset Pricing Models and Predictability of Excess Returns
    UCLA Economics Working Papers, UCLA Department of Economics Downloads View citations (1)
  4. 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 (1)
  5. 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)
  6. Limited-Dependaent Rational Expectations Models with Future Expectations
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (1995)
  7. Limited-Dependent Rational Expectations Models with Stochastic Thresholds
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article in Economics Letters (1996)
  8. The Natural Rate Hypothesis and its Testable Implications
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)

1992

  1. 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)
  2. 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 (7)
  3. 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 (3)
  4. 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)
  5. Estimating Long-Run Relationships From Dynamic Heterogeneous Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (127)
    See also Journal Article in Journal of Econometrics (1995)
  6. Forecasting Stock Returns
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
  7. 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)
  8. The Interaction Between Theory and Observation in Economics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
  9. 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)
  10. Theory and Evidence in Economics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
  11. 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 View citations (6)

1991

  1. 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 View citations (1)
    See also Journal Article in Economic Journal (1992)
  2. 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 Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (1992)
  3. THE IRANIAN FOREIGN EXCHANGE POLICY AND THE BLACK MARKET FOR DOLLARS
    Working Papers, California Los Angeles - Applied Econometrics View citations (1)

1990

  1. A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
    Working Papers, California Los Angeles - Applied Econometrics View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (10)

    See also Journal Article in Journal of Business & Economic Statistics (1992)
  2. ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT
    Working Papers, California Los Angeles - Applied Econometrics
    Also in Working Papers, Tilburg - Center for Economic Research (1990)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)
  3. ESTIMATING LIMITED-DEPENDENCE RATIONAL EXOECTATIONS MODELS
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
  4. ESTIMATING LIMITED-DEPENDENT RATIONAL EXPECTATIONS MODELS
    Working Papers, California Los Angeles - Applied Econometrics View citations (3)
  5. EXPECTATIONS IN ECONOMICS
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
  6. PERSISTENCE, COINTEGRATION AND AGGREGATION: A DISAGGREGATED ANALYSIS OF OUTPUT FLUCTUATIONS IN THE U.S. ECONOMY
    Working Papers, California Los Angeles - Applied Econometrics View citations (5)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (1)

    See also Journal Article in Journal of Econometrics (1993)
  7. RATIONAL EXPECTATIONS IN DISAGGREGATED MODELS: AN EMPIRICAL ANALYSIS OF OPEC'S BEHAVIOR
    Working Papers, California Los Angeles - Applied Econometrics
  8. THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
    Working Papers, California Los Angeles - Applied Econometrics View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)

1989

  1. A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS
    Working Papers, California Los Angeles - Applied Econometrics View citations (1)
    See also Journal Article in Journal of Econometrics (1993)
  2. 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)
  3. JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
    Working Papers, California Los Angeles - Applied Econometrics
  4. JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (1)

1988

  1. Aggregation Bias and Labor Demand Equations for the U.K. Economy
    UCLA Economics Working Papers, UCLA Department of Economics Downloads View citations (3)
  2. An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
    UCLA Economics Working Papers, UCLA Department of Economics Downloads
    See also Journal Article in Economic Journal (1990)
  3. Econometric Analysis of Aggregation in the Context of Linear Prediction Models
    UCLA Economics Working Papers, UCLA Department of Economics Downloads View citations (8)
    See also Journal Article in Econometrica (1989)
  4. Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models
    UCLA Economics Working Papers, UCLA Department of Economics Downloads

1987

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

Undated

  1. Analytical and Numerical Solution of Multivariate Nonlinear Rational Expectations Models
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads
  2. Growth and Convergence in a Multi-County empirical Stochastic Solow Model
    Discussion Papers in Economics, Department of Economics, University of Leicester View citations (13)

Journal Articles

2016

  1. A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence
    Journal of Applied Econometrics, 2016, 31, (1), 249-280 Downloads View citations (5)
    See also Working Paper (2014)
  2. A multi-country approach to forecasting output growth using PMIs
    Journal of Econometrics, 2016, 192, (2), 349-365 Downloads
    See also Working Paper (2014)
  3. Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing
    Research in Economics, 2016, 70, (2), 262-280 Downloads View citations (1)
    See also Working Paper (2014)
  4. Country-specific oil supply shocks and the global economy: A counterfactual analysis
    Energy Economics, 2016, 59, (C), 382-399 Downloads View citations (1)
    See also Working Paper (2015)
  5. Cross‐Sectional Dependence in Panel Data Models: A Special Issue
    Journal of Applied Econometrics, 2016, 31, (1), 1-3 Downloads
  6. Exponent of Cross‐Sectional Dependence: Estimation and Inference
    Journal of Applied Econometrics, 2016, 31, (6), 929-960 Downloads View citations (1)
    See also Working Paper (2012)
  7. THEORY AND PRACTICE OF GVAR MODELLING
    Journal of Economic Surveys, 2016, 30, (1), 165-197 Downloads View citations (8)
    See also Working Paper (2014)

2015

  1. Testing Weak Cross-Sectional Dependence in Large Panels
    Econometric Reviews, 2015, 34, (6-10), 1089-1117 Downloads View citations (17)
    See also Working Paper (2012)

2014

  1. AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS
    Journal of Applied Econometrics, 2014, 29, (1), 1-21 Downloads View citations (24)
    See also Working Paper (2012)
  2. Aggregation in large dynamic panels
    Journal of Econometrics, 2014, 178, (P2), 273-285 Downloads View citations (12)
    See also Working Paper (2011)
  3. Constructing Multi-Country Rational Expectations Models
    Oxford Bulletin of Economics and Statistics, 2014, 76, (6), 812-840 Downloads View citations (5)
  4. Signs of impact effects in time series regression models
    Economics Letters, 2014, 122, (2), 150-153 Downloads View citations (4)
    See also Working Paper (2013)

2013

  1. DISTINGUISHED AUTHORS
    Journal of Applied Econometrics, 2013, 28, (5), 901-902 Downloads
  2. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
    Econometric Reviews, 2013, 32, (5-6), 592-649 Downloads View citations (21)
    See also Working Paper (2010)
  3. Oil exports and the Iranian economy
    The Quarterly Review of Economics and Finance, 2013, 53, (3), 221-237 Downloads View citations (18)
    See also Working Paper (2010)
  4. On Identification of Bayesian DSGE Models
    Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 Downloads View citations (16)
    See also Working Paper (2011)
  5. Optimal forecasts in the presence of structural breaks
    Journal of Econometrics, 2013, 177, (2), 134-152 Downloads View citations (24)
    See also Working Paper (2011)
  6. Panel unit root tests in the presence of a multifactor error structure
    Journal of Econometrics, 2013, 175, (2), 94-115 Downloads View citations (35)
    See also Working Paper (2008)

2012

  1. China's Emergence in the World Economy and Business Cycles in Latin America
    ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, 2012, Volume 12 Number 2, (Spring 2012), 1-75 Downloads View citations (26)
    See also Working Paper (2012)
  2. Diagnostic Tests of Cross‐section Independence for Limited Dependent Variable Panel Data Models
    Oxford Bulletin of Economics and Statistics, 2012, 74, (2), 253-277 Downloads View citations (10)
  3. On the interpretation of panel unit root tests
    Economics Letters, 2012, 116, (3), 545-546 Downloads View citations (15)
  4. The Richard Stone Prize in Applied Econometrics
    Journal of Applied Econometrics, 2012, 27, (7), 1211-1212
    Also in Journal of Applied Econometrics, 2009, 24, (5), 863-863 (2009) Downloads
    Journal of Applied Econometrics, 2010, 25, (6), 1067-1068 (2010) Downloads

2011

  1. BEYOND THE DSGE STRAITJACKET-super-1
    Manchester School, 2011, 79, (s2), 5-16 Downloads View citations (4)
  2. Forecast Combination Across Estimation Windows
    Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 Downloads View citations (35)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 (2011) Downloads View citations (37)
  3. Infinite-dimensional VARs and factor models
    Journal of Econometrics, 2011, 163, (1), 4-22 Downloads View citations (28)
    See also Working Paper (2009)
  4. Journal of Applied Econometrics distinguished authors
    Journal of Applied Econometrics, 2011, 26, (3), 545-546
    Also in Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010) Downloads
    Journal of Applied Econometrics, 2001, 16, (5), 653-654 (2001)
  5. Large panels with common factors and spatial correlation
    Journal of Econometrics, 2011, 161, (2), 182-202 Downloads View citations (112)
    See also Working Paper (2011)
  6. Lumpy Price Adjustments: A Microeconometric Analysis
    Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 Downloads View citations (4)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 (2011) Downloads View citations (8)

    See also Working Paper (2007)
  7. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 Downloads View citations (155)
    See also Working Paper (2010)
  8. The spatial and temporal diffusion of house prices in the UK
    Journal of Urban Economics, 2011, 69, (1), 2-23 Downloads View citations (32)
  9. Variable selection, estimation and inference for multi-period forecasting problems
    Journal of Econometrics, 2011, 164, (1), 173-187 Downloads View citations (33)
    See also Working Paper (2010)
  10. Weak and strong cross‐section dependence and estimation of large panels
    Econometrics Journal, 2011, 14, C45-C90 Downloads View citations (61)
    Also in Econometrics Journal, 2011, 14, (1), C45-C90 (2011) Downloads View citations (126)

    See also Working Paper (2009)

2010

  1. A spatio-temporal model of house prices in the USA
    Journal of Econometrics, 2010, 158, (1), 160-173 Downloads View citations (96)
    See also Working Paper (2006)
  2. Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
    Economic Modelling, 2010, 27, (6), 1398-1416 Downloads View citations (14)
    See also Working Paper (2010)

2009

  1. Announcement
    Journal of Applied Econometrics, 2009, 24, (5), 865-865 Downloads
  2. Forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 642-675 Downloads View citations (59)
    See also Working Paper (2008)
  3. Identification of New Keynesian Phillips Curves from a Global Perspective
    Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 Downloads View citations (36)
    See also Working Paper (2008)
  4. In memory of Clive Granger: an advisory board member of the journal
    Journal of Applied Econometrics, 2009, 24, (6), 871-873 Downloads
  5. Journal of Applied Econometrics Dissertation Prize
    Journal of Applied Econometrics, 2009, 24, (1), 207-207 Downloads
    Also in Journal of Applied Econometrics, 2007, 22, (7), 1395-1395 (2007) Downloads
  6. Model averaging in risk management with an application to futures markets
    Journal of Empirical Finance, 2009, 16, (2), 280-305 Downloads View citations (11)
    See also Working Paper (2008)
  7. Pairwise Tests of Purchasing Power Parity
    Econometric Reviews, 2009, 28, (6), 495-521 Downloads View citations (34)
  8. Rejoinder to comments on forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 703-715 Downloads View citations (43)
  9. Testing Dependence Among Serially Correlated Multicategory Variables
    Journal of the American Statistical Association, 2009, 104, (485), 325-337 Downloads View citations (68)
    See also Working Paper (2006)

2008

  1. A bias-adjusted LM test of error cross-section independence
    Econometrics Journal, 2008, 11, (1), 105-127 Downloads View citations (96)
    See also Working Paper (2006)
  2. Econometric analysis of structural systems with permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 Downloads View citations (27)
    See also Working Paper (2008)
  3. Firm heterogeneity and credit risk diversification
    Journal of Empirical Finance, 2008, 15, (4), 583-612 Downloads View citations (14)
    See also Working Paper (2005)
  4. March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors
    Journal of Applied Econometrics, 2008, 23, (3), 391-393 Downloads
  5. Testing slope homogeneity in large panels
    Journal of Econometrics, 2008, 142, (1), 50-93 Downloads View citations (105)
    See also Working Paper (2005)

2007

  1. A pair-wise approach to testing for output and growth convergence
    Journal of Econometrics, 2007, 138, (1), 312-355 Downloads View citations (103)
    See also Working Paper (2004)
  2. A simple panel unit root test in the presence of cross-section dependence
    Journal of Applied Econometrics, 2007, 22, (2), 265-312 Downloads View citations (969)
    See also Working Paper (2003)
  3. Econometric issues in the analysis of contagion
    Journal of Economic Dynamics and Control, 2007, 31, (4), 1245-1277 Downloads View citations (101)
    See also Working Paper (2004)
  4. Exploring the international linkages of the euro area: a global VAR analysis
    Journal of Applied Econometrics, 2007, 22, (1), 1-38 Downloads View citations (406)
    See also Working Paper (2006)
  5. Heterogeneity and cross section dependence in panel data models: theory and applications introduction
    Journal of Applied Econometrics, 2007, 22, (2), 229-232 Downloads View citations (14)
  6. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 Downloads View citations (8)
    See also Working Paper (2006)
  7. Long Run Macroeconomic Relations in the Global Economy
    Economics - The Open-Access, Open-Assessment E-Journal, 2007, 1, 1-20 Downloads View citations (38)
    See also Working Paper (2007)
  8. Selection of estimation window in the presence of breaks
    Journal of Econometrics, 2007, 137, (1), 134-161 Downloads View citations (131)
  9. 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 Downloads View citations (57)

2006

  1. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
    Econometrica, 2006, 74, (4), 967-1012 Downloads View citations (789)
    See also Working Paper (2004)
  2. Forecasting Time Series Subject to Multiple Structural Breaks
    Review of Economic Studies, 2006, 73, (4), 1057-1084 Downloads View citations (137)
    See also Working Paper (2004)
  3. MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE
    Manchester School, 2006, 74, (s1), 24-49 Downloads View citations (55)
    See also Working Paper (2006)
  4. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 Downloads View citations (103)
    See also Working Paper (2003)

2005

  1. ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
    Econometric Theory, 2005, 21, (04), 795-837 Downloads View citations (88)
    See also Working Paper (2001)
  2. REAL-TIME ECONOMETRICS
    Econometric Theory, 2005, 21, (01), 212-231 Downloads View citations (20)
    See also Working Paper (2004)
  3. Small sample properties of forecasts from autoregressive models under structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 183-217 Downloads View citations (80)
    See also Working Paper (2004)
  4. The Cost Effectiveness of the UK's Sovereign Debt Portfolio
    Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 467-495 Downloads View citations (1)

2004

  1. How costly is it to ignore breaks when forecasting the direction of a time series?
    International Journal of Forecasting, 2004, 20, (3), 411-425 Downloads View citations (56)
    See also Working Paper (2003)
  2. Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
    Journal of Business & Economic Statistics, 2004, 22, 129-162 Downloads View citations (296)
    See also Working Paper (2002)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2004, 22, 175-181 Downloads

2003

  1. A Long run structural macroeconometric model of the UK
    Economic Journal, 2003, 113, (487), 412-455 Downloads View citations (95)
    See also Working Paper (2001)
  2. Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
    Economic Modelling, 2003, 20, (2), 383-415 Downloads View citations (30)
  3. Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
    Journal of the American Statistical Association, 2003, 98, 829-838 Downloads View citations (27)
  4. Introducing a replication section
    Journal of Applied Econometrics, 2003, 18, (1), 111-111 Downloads
  5. Journal of applied econometrics scholars programme
    Journal of Applied Econometrics, 2003, 18, (5), 619-619 Downloads
  6. Testing for unit roots in heterogeneous panels
    Journal of Econometrics, 2003, 115, (1), 53-74 Downloads View citations (2984)
    See also Working Paper (1995)

2002

  1. LONG-RUN STRUCTURAL MODELLING
    Econometric Reviews, 2002, 21, (1), 49-87 Downloads View citations (86)
    See also Working Paper (1999)
  2. Market timing and return prediction under model instability
    Journal of Empirical Finance, 2002, 9, (5), 495-510 Downloads View citations (96)
    See also Working Paper (2002)
  3. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
    Journal of Econometrics, 2002, 109, (1), 107-150 Downloads View citations (91)
    See also Working Paper (1998)

2001

  1. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
    Journal of Applied Econometrics, 2001, 16, (3), 197-202 Downloads
  2. Bounds testing approaches to the analysis of level relationships
    Journal of Applied Econometrics, 2001, 16, (3), 289-326 Downloads View citations (1863)
  3. Journal of Applied Econometrics Conference Sponsorship Grants
    Journal of Applied Econometrics, 2001, 16, (4), 561-561
  4. Life-cycle consumption under social interactions
    Journal of Economic Dynamics and Control, 2001, 25, (1-2), 35-83 Downloads View citations (13)

2000

  1. A Recursive Modelling Approach to Predicting UK Stock Returns
    Economic Journal, 2000, 110, (460), 159-91 Downloads View citations (89)
    See also Working Paper (1999)
  2. Cross-sectional aggregation of non-linear models
    Journal of Econometrics, 2000, 95, (2), 285-331 Downloads View citations (28)
    See also Working Paper (1998)
  3. Life and Work of John Richard Nicholas Stone 1913-1991
    Economic Journal, 2000, 110, (461), F146-65 Downloads View citations (2)
  4. Solution of Nonlinear Rational Expectations Models with Applications to Finite-Horizon Life-Cycle Models of Consumption
    Computational Economics, 2000, 15, (1-2), 25-57 Downloads View citations (4)
  5. Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
    Journal of Economic Dynamics and Control, 2000, 24, (3), 325-346 Downloads View citations (5)
  6. Structural analysis of vector error correction models with exogenous I(1) variables
    Journal of Econometrics, 2000, 97, (2), 293-343 Downloads View citations (288)
    See also Working Paper (1999)

1999

  1. 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 (9)
  2. Diagnostics for IV Regressions
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 255-81 Downloads View citations (28)
    See also Working Paper (1997)
  3. Stochastic Growth Models and Their Econometric Implications
    Journal of Economic Growth, 1999, 4, (2), 139-83 Downloads View citations (60)

1998

  1. Decision Making in the Presence of Heterogeneous Information and Social Interactions
    International Economic Review, 1998, 39, (4), 1027-52 View citations (10)
    See also Working Paper (1995)
  2. Generalized impulse response analysis in linear multivariate models
    Economics Letters, 1998, 58, (1), 17-29 Downloads View citations (1084)
    See also Working Paper (1997)

1997

  1. A floor and ceiling model of US output
    Journal of Economic Dynamics and Control, 1997, 21, (4-5), 661-695 Downloads View citations (96)
    See also Working Paper (1995)
  2. Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
    Journal of Applied Econometrics, 1997, 12, (5), 586-87 Downloads
  3. Growth and Convergence in Multi-country Empirical Stochastic Solow Model
    Journal of Applied Econometrics, 1997, 12, (4), 357-92 Downloads View citations (189)
  4. Multivariate Linear Rational Expectations Models
    Econometric Theory, 1997, 13, (06), 877-888 Downloads View citations (17)
  5. 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 Downloads
  6. 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 Downloads
  7. The Role of Economic Theory in Modelling the Long Run
    Economic Journal, 1997, 107, (440), 178-91 Downloads View citations (158)
    See also Working Paper (1996)

1996

  1. Cointegration and speed of convergence to equilibrium
    Journal of Econometrics, 1996, 71, (1-2), 117-143 Downloads View citations (210)
    See also Working Paper (1993)
  2. Impulse response analysis in nonlinear multivariate models
    Journal of Econometrics, 1996, 74, (1), 119-147 Downloads View citations (1153)
  3. Limited-dependent rational expectations models with stochastic thresholds
    Economics Letters, 1996, 51, (3), 267-276 Downloads View citations (10)
    See also Working Paper (1993)

1995

  1. Estimating long-run relationships from dynamic heterogeneous panels
    Journal of Econometrics, 1995, 68, (1), 79-113 Downloads View citations (1328)
    See also Working Paper (1992)
  2. Forecasting ultimate resource recovery
    International Journal of Forecasting, 1995, 11, (4), 543-555 Downloads View citations (16)
    See also Working Paper (1993)
  3. Limited-dependent rational expectations models with future expectations
    Journal of Economic Dynamics and Control, 1995, 19, (8), 1325-1353 Downloads View citations (13)
    See also Working Paper (1993)
  4. Predictability of Stock Returns: Robustness and Economic Significance
    Journal of Finance, 1995, 50, (4), 1201-28 Downloads View citations (257)
  5. The role of theory in econometrics
    Journal of Econometrics, 1995, 67, (1), 61-79 Downloads View citations (25)

1994

  1. A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
    Journal of Applied Econometrics, 1994, 9, (S), S95-112 Downloads View citations (27)
  2. A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method
    Econometrica, 1994, 62, (3), 705-10 Downloads View citations (17)
  3. A generalization of the non-parametric Henriksson-Merton test of market timing
    Economics Letters, 1994, 44, (1-2), 1-7 Downloads View citations (33)
    See also Working Paper (1992)
  4. Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods
    Journal of Business & Economic Statistics, 1994, 12, (1), 11-21 View citations (10)
    See also Working Paper (1992)
  5. Oil investment in the North Sea
    Economic Modelling, 1994, 11, (3), 308-329 Downloads View citations (13)
    See also Working Paper (1992)

1993

  1. A simulation approach to the problem of computing Cox's statistic for testing nonnested models
    Journal of Econometrics, 1993, 57, (1-3), 377-392 Downloads View citations (23)
    See also Working Paper (1989)
  2. Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
    Ricerche Economiche, 1993, 47, (3), 293-322 Downloads View citations (42)
  3. Persistence, cointegration, and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy
    Journal of Econometrics, 1993, 56, (1-2), 57-88 Downloads View citations (32)
    See also Working Paper (1990)
  4. The Role of Sectoral Interactions in Wage Determination in the UK Economy
    Economic Journal, 1993, 103, (416), 21-55 Downloads View citations (22)
    See also Working Paper (1992)

1992

  1. A Simple Nonparametric Test of Predictive Performance
    Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations (246)
    See also Working Paper (1990)
  2. An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model
    Economic Journal, 1992, 102, (411), 388-401 Downloads View citations (17)
    See also Working Paper (1991)
  3. Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
    Journal of Econometrics, 1992, 53, (1-3), 141-163 Downloads View citations (16)
    See also Working Paper (1991)
  4. Nonlinear Dynamics and Econometrics: An Introduction
    Journal of Applied Econometrics, 1992, 7, (S), S1-7 Downloads View citations (17)
  5. Persistence of Shocks and Their
    Economic Journal, 1992, 102, (411), 342-56 Downloads View citations (19)

1991

  1. Costly Adjustment under Rational Expectations: A Generalization
    The Review of Economics and Statistics, 1991, 73, (2), 353-58 Downloads View citations (16)
  2. Estimation of Simple Class of Multivariate Rational Expectations Models: A Test of the New Classical Model at a Sectoral Level
    Empirical Economics, 1991, 16, (2), 211-32
    See also Working Paper (1989)
  3. The Et Interview: Professor Sir Richard Stone
    Econometric Theory, 1991, 7, (01), 85-123 Downloads View citations (4)

1990

  1. A unified approach to estimation and orthogonality tests in linear single-equation econometric models
    Journal of Econometrics, 1990, 44, (1-2), 41-66 Downloads View citations (8)
  2. An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
    Economic Journal, 1990, 100, (401), 367-90 Downloads View citations (28)
    See also Working Paper (1988)
  3. Testing for Aggregation Bias in Linear Models
    Economic Journal, 1990, 100, (400), 137-50 Downloads View citations (17)

1989

  1. A proof of the asymptotic validity of a test for perfect aggregation
    Economics Letters, 1989, 30, (1), 41-47 Downloads View citations (2)
  2. Consistency of short-term and long-term expectations
    Journal of International Money and Finance, 1989, 8, (4), 511-516 Downloads View citations (4)
  3. Econometric Analysis of Aggregation in the Context of Linear Prediction Models
    Econometrica, 1989, 57, (4), 861-88 Downloads View citations (60)
    See also Working Paper (1988)

1988

  1. On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder
    Economic Journal, 1988, 98, (391), 504-08 Downloads View citations (7)
  2. Tests of non-nested linear regression models subject to linear restrictions
    Economics Letters, 1988, 27, (4), 341-348 Downloads View citations (8)
  3. The Role of Theory in Applied Econometrics
    The Economic Record, 1988, 64, (187), 336-39 View citations (1)

1987

  1. Global and Partial Non-Nested Hypotheses and Asymptotic Local Power
    Econometric Theory, 1987, 3, (01), 69-97 Downloads View citations (8)

1985

  1. Evaluation of macroeconometric models
    Economic Modelling, 1985, 2, (2), 125-134 Downloads View citations (10)
  2. Formation of Inflation Expectations in British Manufacturing Industries
    Economic Journal, 1985, 95, (380), 948-75 Downloads View citations (14)
  3. Testing for Structural Stability and Predictive Failure: A Review
    The Manchester School of Economic & Social Studies, 1985, 53, (3), 280-95 View citations (13)

1984

  1. Inflation, Capital Gains and U.K. Personal Savings: 1953-1981
    Economic Journal, 1984, 94, (374), 237-57 Downloads View citations (4)
  2. Macroeconomic Policy in an Oil-exporting Economy with Foreign Exchange Controls
    Economica, 1984, 51, (23), 253-70 Downloads View citations (4)

1983

  1. Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence
    Journal of Econometrics, 1983, 21, (1), 133-154 Downloads View citations (57)
  2. The J-test as a Hausman specification test
    Economics Letters, 1983, 12, (3-4), 277-281 Downloads View citations (1)

1982

  1. A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis
    Economic Journal, 1982, 92, (367), 529-54 Downloads View citations (10)
  2. Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
    Econometrica, 1982, 50, (5), 1287-1305 Downloads View citations (16)
  3. On the comprehensive method of testing non-nested regression models
    Journal of Econometrics, 1982, 18, (2), 263-274 Downloads View citations (6)

1981

  1. Expenditure of oil revenue: An optimal control approach with application to the Iranian economy: H. Motamen, (Frances Pinter, London, 1979) pp. 189, [UK pound]12.50
    Journal of Economic Dynamics and Control, 1981, 3, (1), 387-391 Downloads
  2. Identification of rational expectations models
    Journal of Econometrics, 1981, 16, (3), 375-398 Downloads View citations (27)
  3. Pitfalls of testing non-nested hypotheses by the lagrange multiplier method
    Journal of Econometrics, 1981, 17, (3), 323-331 Downloads View citations (8)
    Also in Journal of Econometrics, 1981, 16, (1), 158-158 (1981) Downloads View citations (8)

1978

  1. Testing Non-Nested Nonlinear Regression Models
    Econometrica, 1978, 46, (3), 677-94 Downloads View citations (47)

1976

  1. The Determinants of United Kingdom Import Prices-A Note
    Economic Journal, 1976, 86, (342), 315-20 Downloads View citations (1)

1973

  1. An Alternative Econometric Approach to the Permanent Income Hypothesis: An International Comparison: A Comment
    The Review of Economics and Statistics, 1973, 55, (2), 259-61 Downloads
  2. The Small Sample Problem of Truncation Remainders in the Estimation of Distributed Lag Models with Autocorrelated Errors
    International Economic Review, 1973, 14, (1), 120-31 Downloads View citations (1)

Books

2015

  1. Time Series and Panel Data Econometrics
    OUP Catalogue, Oxford University Press View citations (11)

2012

  1. Global and National Macroeconometric Modelling: A Long-Run Structural Approach
    OUP Catalogue, Oxford University Press View citations (11)
    Also in OUP Catalogue, Oxford University Press (2006) View citations (131)

Edited books

2013

  1. The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis
    OUP Catalogue, Oxford University Press View citations (12)

2010

  1. Analysis of Panels and Limited Dependent Variable Models
    Cambridge Books, Cambridge University Press

1999

  1. Analysis of Panels and Limited Dependent Variable Models
    Cambridge Books, Cambridge University Press View citations (8)

Chapters

2007

  1. Global Business Cycles and Credit Risk
    A chapter in The Risks of Financial Institutions, 2007, pp 419-474 Downloads View citations (11)
    See also Working Paper (2005)

2006

  1. Survey Expectations
    Elsevier Downloads View citations (67)
    See also Working Paper (2005)

1993

  1. Discussion of 'The Role of the Exchange Rate in Monetary Policy - the Experience of Other Countries'
    A chapter in The Exchange Rate, International Trade and the Balance of Payments, 1993 Downloads

Software Items

1997

  1. GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
    See also Working Paper (1996)
  2. GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
    See also Working Paper (1997)

1994

  1. GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
    See also Working Paper (1995)

Editor

  1. Journal of Applied Econometrics
    John Wiley & Sons, Ltd.
  2. Journal of Applied Econometrics
    John Wiley & Sons, Ltd.
 
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