Details about Mohammad Hashem Pesaran
Access statistics for papers by Mohammad Hashem Pesaran.
Last updated 2023-09-08. Update your information in the RePEc Author Service.
Short-id: ppe34
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Working Papers
2023
- A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors
Papers, arXiv.org 
Also in CESifo Working Paper Series, CESifo (2021)  Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2022)  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021)
- Heterogeneous Autoregressions in Short T Panel Data Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 
Also in Papers, arXiv.org (2023)  CESifo Working Paper Series, CESifo (2023)
- Identification and Estimation of Categorical Random Coefficient Models
Papers, arXiv.org 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)  CESifo Working Paper Series, CESifo (2022) 
See also Journal Article in Empirical Economics (2023)
- Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
Globalization Institute Working Papers, Federal Reserve Bank of Dallas
- Reflections on "Testing for Unit Roots in Heterogeneous Panels"
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 
Also in CESifo Working Paper Series, CESifo (2023)
- Revisiting the Great Ratios Hypothesis
Globalization Institute Working Papers, Federal Reserve Bank of Dallas 
Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2022)  Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)  CESifo Working Paper Series, CESifo (2022) 
See also Journal Article in Oxford Bulletin of Economics and Statistics (2023)
- The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors
CESifo Working Paper Series, CESifo 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2023)
- Variable Selection in High Dimensional Linear Regressions with Parameter Instability
Globalization Institute Working Papers, Federal Reserve Bank of Dallas 
Also in CESifo Working Paper Series, CESifo (2023)
2022
- A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
Also in CESifo Working Paper Series, CESifo (2021) 
See also Journal Article in Journal of Housing Economics (2022)
- Causal Effects of the Fed's Large-Scale Asset Purchases on Firms' Capital Structure
CESifo Working Paper Series, CESifo 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
- Climate Change and Economic Activity: Evidence from U.S. States
Janeway Institute Working Papers, Faculty of Economics, University of Cambridge View citations (2)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (2) CESifo Working Paper Series, CESifo (2022) View citations (2) CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2022) View citations (3)
- Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
CESifo Working Paper Series, CESifo View citations (2)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (2) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
- Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
Papers, arXiv.org View citations (3)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (9) CESifo Working Paper Series, CESifo (2020) View citations (8)
See also Journal Article in Journal of Applied Econometrics (2022)
- Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (1) CESifo Working Paper Series, CESifo (2022) View citations (1)
See also Journal Article in IMF Economic Review (2023)
2021
- An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels
Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
- Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article in Econometrics and Statistics (2023)
- Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia in portfolios
BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics View citations (1)
- COVID-19 Time-Varying Reproduction Numbers Worldwide: An Empirical Analysis of Mandatory and Voluntary Social Distancing
Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (3)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)  NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (6)
- Factor Strengths, Pricing Errors, and Estimation of Risk Premia
CESifo Working Paper Series, CESifo View citations (5)
- Identifying the Effects of Sanctions on the Iranian Economy Using Newspaper Coverage
CESifo Working Paper Series, CESifo View citations (4)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021) View citations (4) Papers, arXiv.org (2021) View citations (4)
See also Journal Article in Journal of Applied Econometrics (2023)
2020
- A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model
Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (18)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (31) CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (32) Working Papers, Economic Research Forum (2020) View citations (31) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (32) CESifo Working Paper Series, CESifo (2020) View citations (33) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (31)
See also Journal Article in Journal of International Money and Finance (2021)
- Measurement of Factor Strenght: Theory and Practice
CESifo Working Paper Series, CESifo View citations (2)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) View citations (2)
See also Journal Article in Journal of Applied Econometrics (2021)
- Regional Heterogeneity and U.S. Presidential Elections
CESifo Working Paper Series, CESifo 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020)
- Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
CESifo Working Paper Series, CESifo View citations (2)
- Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries
NBER Working Papers, National Bureau of Economic Research, Inc View citations (65)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2020) View citations (30) CESifo Working Paper Series, CESifo (2020) View citations (62) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (62)
2019
- Estimation and inference for spatial models with heterogeneous coefficients: an application to U.S. house prices
CESifo Working Paper Series, CESifo View citations (6)
See also Journal Article in Journal of Applied Econometrics (2021)
- Estimation and inference in spatial models with dominant units
CESifo Working Paper Series, CESifo 
See also Journal Article in Journal of Econometrics (2021)
- Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR
CESifo Working Paper Series, CESifo 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2018) View citations (2) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2018)  Working Papers, Economic Research Forum (2019)  CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (2)
See also Chapter (2020)
- Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis
NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (51) CESifo Working Paper Series, CESifo (2019) View citations (55) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2019) View citations (38) Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2019) View citations (54) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2019) View citations (56) IMF Working Papers, International Monetary Fund (2019) View citations (51)
See also Journal Article in Energy Economics (2021)
- The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models
CESifo Working Paper Series, CESifo View citations (4)
2018
- A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
CESifo Working Paper Series, CESifo
- Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article in Journal of Applied Econometrics (2020)
- Exponent of Cross-sectional Dependence for Residuals
CESifo Working Paper Series, CESifo 
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) 
See also Journal Article in Sankhya B: The Indian Journal of Statistics (2019)
- Land Use Regulations, Migration and Rising House Price Dispersion in the U.S
CESifo Working Paper Series, CESifo View citations (4)
- Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators
Globalization Institute Working Papers, Federal Reserve Bank of Dallas 
See also Journal Article in Economics Letters (2019)
- Uncertainty and Economic Activity: A Multi-Country Perspective
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (20) CESifo Working Paper Series, CESifo (2018) View citations (20) Bank of England working papers, Bank of England (2018) View citations (20)
See also Journal Article in Review of Financial Studies (2020)
2017
- A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
CESifo Working Paper Series, CESifo View citations (1)
- Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors
CESifo Working Paper Series, CESifo 
Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017)
- Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Discussion Papers, Department of Economics, University of York View citations (17)
Also in CESifo Working Paper Series, CESifo (2017) View citations (16)
- Tests of Policy Interventions in DSGE Models
BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics 
See also Journal Article in Oxford Bulletin of Economics and Statistics (2018)
- To Pool or not to Pool: Revisited
Departmental Working Papers, Department of Economics, Louisiana State University 
Also in CESifo Working Paper Series, CESifo (2015) View citations (1)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2018)
2016
- 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 View citations (1)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (4)
See also Journal Article in Econometrica (2018)
- Big Data Analytics: A New Perspective
CESifo Working Paper Series, CESifo View citations (4)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (1) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (4)
- Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
CESifo Working Paper Series, CESifo 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) 
See also Journal Article in Journal of Business & Economic Statistics (2020)
- Econometric Analysis of Production Networks with Dominant Units
CESifo Working Paper Series, CESifo View citations (22)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (19)
See also Journal Article in Journal of Econometrics (2020)
- Half-panel jackknife fixed effects estimation of panels with weakly exogenous regressor
Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (14)
- Oil Prices and the Global Economy: Is It Different This Time Around?
IMF Working Papers, International Monetary Fund View citations (21)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (14) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (20) CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2016) View citations (21) Working Papers, Economic Research Forum (2016) View citations (25) CESifo Working Paper Series, CESifo (2016) View citations (20)
See also Journal Article in Energy Economics (2017)
2015
- A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) View citations (10) CESifo Working Paper Series, CESifo (2014) View citations (22)
See also Journal Article in Journal of Econometrics (2019)
- Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (15)
Also in Working Papers, Economic Research Forum (2015) View citations (15) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (15) Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2015) View citations (4) CESifo Working Paper Series, CESifo (2015) View citations (15)
See also Journal Article in Energy Economics (2016)
- Is There a Debt-threshold Effect on Output Growth?
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (25)
Also in IMF Working Papers, International Monetary Fund (2015) View citations (46) CESifo Working Paper Series, CESifo (2015) View citations (19) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (6)
See also Journal Article in The Review of Economics and Statistics (2017)
- 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 View citations (31)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (6)
See also Chapter (2016)
- Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients
CESifo Working Paper Series, CESifo View citations (25)
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) View citations (25)
2014
- A Multi-Country Approach to Forecasting Output Growth Using PMIs
CESifo Working Paper Series, CESifo View citations (6)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (2)
See also Journal Article in Journal of Econometrics (2016)
- A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence
CESifo Working Paper Series, CESifo View citations (2)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (26)
See also Journal Article in Journal of Applied Econometrics (2016)
- 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 View citations (7)
Also in CESifo Working Paper Series, CESifo (2012) View citations (45) Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (43) IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (46)
See also Journal Article in Research in Economics (2016)
- Estimation of Time-invariant Effects in Static Panel Data Models
CESifo Working Paper Series, CESifo View citations (21)
See also Journal Article in Econometric Reviews (2018)
- Tests of Policy Ineffectiveness in Macroeconometrics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2014) View citations (2) CESifo Working Paper Series, CESifo (2014) View citations (2)
- Theory and Practice of GVAR Modeling
CESifo Working Paper Series, CESifo View citations (34)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) View citations (33) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (19)
See also Journal Article in Journal of Economic Surveys (2016)
- Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
CESifo Working Paper Series, CESifo View citations (5)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) View citations (5)
- Uncertainty and Economic Activity: A Global Perspective
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (46)
Also in IDB Publications (Working Papers), Inter-American Development Bank (2014) View citations (45) CESifo Working Paper Series, CESifo (2014) View citations (50)
2013
- Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Staff Working Papers, Bank of Canada View citations (11)
- Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (63)
Also in CESifo Working Paper Series, CESifo (2013) View citations (59) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (26)
- Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
CESifo Working Paper Series, CESifo View citations (77)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (41) Working Papers, Economic Research Forum (2013) View citations (86) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (82)
- Large Panel Data Models with Cross-Sectional Dependence: A Survey
CESifo Working Paper Series, CESifo View citations (88)
Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (64)
- One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing?
CESifo Working Paper Series, CESifo View citations (16)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (41) Working Papers, Economic Research Forum (2013) View citations (15)
- Signs of Impact Effects in Time Series Regression Models
CESifo Working Paper Series, CESifo View citations (4)
See also Journal Article in Economics Letters (2014)
2012
- An Empirical Growth Model for Major Oil Exporters
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (19)
Also in Working Papers, Economic Research Forum (2012) View citations (18) CESifo Working Paper Series, CESifo (2012) View citations (17) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) View citations (25)
See also Journal Article in Journal of Applied Econometrics (2014)
- An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (1)
Also in CESifo Working Paper Series, CESifo (2012) View citations (1)
See also Journal Article in Econometric Reviews (2017)
- China’s Emergence in the World Economy and Business Cycles in Latin America
Staff Working Papers, Bank of Canada View citations (57)
Also in IDB Publications (Working Papers), Inter-American Development Bank (2011) View citations (17) IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (35) Research Department Publications, Inter-American Development Bank, Research Department (2011) View citations (17) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (27)
See also Journal Article in Economía Journal (2012)
- Exponent of Cross-sectional Dependence: Estimation and Inference
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (69)
Also in CESifo Working Paper Series, CESifo (2012) View citations (27) IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (27)
See also Journal Article in Journal of Applied Econometrics (2016)
- Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (8)
Also in Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (9) CESifo Working Paper Series, CESifo (2012) View citations (8)
- Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
- Testing CAPM with a Large Number of Assets
Discussion Papers, Department of Economics, University of York View citations (23)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (22)
- Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (11)
- Testing Weak Cross-Sectional Dependence in Large Panels
CESifo Working Paper Series, CESifo View citations (17)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (17) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) View citations (17)
See also Journal Article in Econometric Reviews (2015)
2011
- Aggregation in Large Dynamic Panels
CESifo Working Paper Series, CESifo View citations (19)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (6) IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (7) Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2011) View citations (6)
See also Journal Article in Journal of Econometrics (2014)
- Beyond the DSGE Straitjacket
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (24)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (6) CESifo Working Paper Series, CESifo (2011) View citations (25)
- Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults
CESifo Working Paper Series, CESifo View citations (7)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (7) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (7)
- Large panels with common factors and spatial correlation
Post-Print, HAL View citations (336)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (41) IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (47) CESifo Working Paper Series, CESifo (2007) View citations (41)
See also Journal Article in Journal of Econometrics (2011)
- On Identification of Bayesian DSGE Models
CESifo Working Paper Series, CESifo View citations (8)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (8) Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (8) IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (8) SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (7)
See also Journal Article in Journal of Business & Economic Statistics (2013)
- Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
2010
- 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 View citations (32)
- Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
CESifo Working Paper Series, CESifo View citations (32)
See also Journal Article in Economic Modelling (2010)
- Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
CESifo Working Paper Series, CESifo View citations (18)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2010) View citations (23) Working Paper Series, European Central Bank (2010) View citations (24)
See also Journal Article in Econometric Reviews (2013)
- Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model
EcoMod2003, EcoMod View citations (11)
Also in 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2001) View citations (64) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2001) View citations (9) Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (19)
See also Journal Article in Journal of Business & Economic Statistics (2004)
- Oil Exports and the Iranian Economy
Working Papers, Economic Research Forum View citations (27)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (19) CESifo Working Paper Series, CESifo (2009) View citations (19) IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (20)
See also Journal Article in The Quarterly Review of Economics and Finance (2013)
- Panels with nonstationary multifactor error structures
Post-Print, HAL View citations (15)
Also in CESifo Working Paper Series, CESifo (2006) View citations (27) Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (25) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (29) IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (48)
See also Journal Article in Journal of Econometrics (2011)
- Predictability of Asset Returns and the Efficient Market Hypothesis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) View citations (4) CESifo Working Paper Series, CESifo (2010) View citations (4)
- Spatial and Temporal Diffusion of House Prices in the UK
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (11)
Also in Discussion Papers, Department of Economics, University of York View citations (104) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (1) CESifo Working Paper Series, CESifo (2010) View citations (32)
See also Journal Article in Journal of Urban Economics (2011)
- Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
CESifo Working Paper Series, CESifo View citations (50)
Also in Working Paper Series, European Central Bank (2010) View citations (49)
2009
- A VECX* model of the Swiss economy
Economic Studies, Swiss National Bank View citations (13)
Also in CESifo Working Paper Series, CESifo (2008) View citations (5) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (6)
- Infinite-dimensional VARs and factor models
Working Paper Series, European Central Bank View citations (18)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (19) CESifo Working Paper Series, CESifo (2007) View citations (27) IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (19)
See also Journal Article in Journal of Econometrics (2011)
- Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
CESifo Working Paper Series, CESifo View citations (3)
- Variable Selection and Inference for Multi-period Forecasting Problems
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 
Also in CESifo Working Paper Series, CESifo (2009) View citations (1) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)
- Weak and Strong Cross Section Dependence and Estimation of Large Panels
CESifo Working Paper Series, CESifo View citations (37)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (52) Working Paper Series, European Central Bank (2009) View citations (48)
See also Journal Article in Econometrics Journal (2011)
2008
- Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
Discussion Papers, School of Economics, The University of New South Wales View citations (74)
See also Journal Article in Journal of Economic Dynamics and Control (2008)
- Forecasting Economic and Financial Variables with Global VARs
CESifo Working Paper Series, CESifo View citations (6)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (6) Staff Reports, Federal Reserve Bank of New York (2008) View citations (4)
See also Journal Article in International Journal of Forecasting (2009)
- Forecasting Random Walks Under Drift Instability
CESifo Working Paper Series, CESifo View citations (8)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (8)
- Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows
Working Papers, Swiss National Bank View citations (25)
See also Journal Article in National Institute Economic Review (2008)
- Identification of New Keynesian Phillips Curves from a Global Perspective
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (84)
Also in CESifo Working Paper Series, CESifo (2008) View citations (79) Working Paper Series, European Central Bank (2008) View citations (76) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (76)
See also Journal Article in Journal of Money, Credit and Banking (2009)
- Iranian Economy in Twentieth Century: A Global Perspective
Working Papers, Economic Research Forum View citations (7)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (9)
- Model Averaging in Risk Management with an Application to Futures Markets
CESifo Working Paper Series, CESifo View citations (11)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (5)
See also Journal Article in Journal of Empirical Finance (2009)
- Optimal Asset Allocation with Factor Models for Large Portfolios
CESifo Working Paper Series, CESifo View citations (8)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (8)
- Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Discussion Papers, Department of Economics, University of York View citations (4)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (697) IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (676) CESifo Working Paper Series, CESifo (2008) View citations (3)
See also Journal Article in Journal of Econometrics (2013)
2007
- Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows
CESifo Working Paper Series, CESifo 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (1) IZA Discussion Papers, Institute of Labor Economics (IZA) (2007)
- Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (13)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (12) CESifo Working Paper Series, CESifo (2007) View citations (12)
- Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
NCER Working Paper Series, National Centre for Econometric Research View citations (4)
- Long Run Macroeconomic Relations in the Global Economy
Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (117)
Also in CESifo Working Paper Series, CESifo (2007) View citations (103) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (99) Working Paper Series, European Central Bank (2007) View citations (103) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (103)
See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2007)
- Lumpy Price Adjustments, A Microeconometric Analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
Also in Working Paper Research, National Bank of Belgium (2006) View citations (2) Working papers, Banque de France (2007) View citations (7) IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (5) CESifo Working Paper Series, CESifo (2007) View citations (11)
See also Journal Article in Journal of Business & Economic Statistics (2011)
- Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (26)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (25)
- Monetary Policy Transmission and the Phillips Curve in a Global Context
Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel)
- 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 View citations (9)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (9) CESifo Working Paper Series, CESifo (2007) View citations (5) IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (5)
- Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
CESifo Working Paper Series, CESifo View citations (25)
2006
- A Bias-Adjusted LM Test of Error Cross Section Independence
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
See also Journal Article in Econometrics Journal (2008)
- A Spatio-Temporal Model of House Prices in the US
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (38)
Also in CESifo Working Paper Series, CESifo (2006) View citations (17) IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (15)
See also Journal Article in Journal of Econometrics (2010)
- Econometrics: A Bird's Eye View
IZA Discussion Papers, Institute of Labor Economics (IZA) 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)  CESifo Working Paper Series, CESifo (2006)
- Exploring the International Linkages of the Euro Area: a Global VAR Analysis
Computing in Economics and Finance 2006, Society for Computational Economics View citations (27)
Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (14) CESifo Working Paper Series, CESifo (2005) View citations (47) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (47) Working Paper Series, European Central Bank (2005) View citations (43)
See also Journal Article in Journal of Applied Econometrics (2007)
- Learning, Structural Instability and Present Value Calculations
IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (36)
Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (3) Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) View citations (31) CESifo Working Paper Series, CESifo (2006) View citations (3) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (31)
See also Journal Article in Econometric Reviews (2007)
- Macroeconometric Modelling with a Global Perspective
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (109)
Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (102) CESifo Working Paper Series, CESifo (2006) View citations (103)
See also Journal Article in Manchester School (2006)
- Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
Also in CESifo Working Paper Series, CESifo (2006) View citations (5)
- Testing Dependence Among Serially Correlated Multi-category Variables
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
Also in CESifo Working Paper Series, CESifo (2006) View citations (4) IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (4)
See also Journal Article in Journal of the American Statistical Association (2009)
2005
- Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (29)
Also in CESifo Working Paper Series, CESifo (2005) View citations (30) Working Papers, Queen Mary University of London, School of Economics and Finance (2005) View citations (29)
- Firm Heterogeneity and Credit Risk Diversification
CESifo Working Paper Series, CESifo View citations (22)
See also Journal Article in Journal of Empirical Finance (2008)
- Global Business Cycles and Credit Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
Also in CESifo Working Paper Series, CESifo (2005) View citations (13)
See also Chapter (2007)
- Market Efficiency Today
IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (20)
- Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (12) CESifo Working Paper Series, CESifo (2004) View citations (9) IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (9)
- National and Global Macroeconometric Modelling Using GVAR
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
- Scope for Credit Risk Diversification
IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (1)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (1)
- Survey Expectations
CESifo Working Paper Series, CESifo 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) View citations (32)
See also Chapter (2006)
- Testing Slope Homogeneity in Large Panels
CESifo Working Paper Series, CESifo View citations (18)
Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (11) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (9)
See also Journal Article in Journal of Econometrics (2008)
- The Forecasing time series subject to multiple structure breaks
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
- The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (4)
- Unit Roots and Cointegration in Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (145)
Also in CESifo Working Paper Series, CESifo (2005) View citations (146) IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (146) Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (140)
- What if the UK had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR
CESifo Working Paper Series, CESifo View citations (15)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (6) IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (16)
2004
- A Pair-Wise Approach to Testing for Output and Growth Convergence
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (6)
Also in CESifo Working Paper Series, CESifo (2004) View citations (6) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (10)
See also Journal Article in Journal of Econometrics (2007)
- Econometric Issues in the Analysis of Contagion
CESifo Working Paper Series, CESifo View citations (16)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (14) Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (9)
See also Journal Article in Journal of Economic Dynamics and Control (2007)
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
CESifo Working Paper Series, CESifo View citations (66)
See also Journal Article in Econometrica (2006)
- Forecasting Time Series Subject to Multiple Structural Breaks
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (32)
Also in CESifo Working Paper Series, CESifo (2004) View citations (20) IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (17) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (21)
See also Journal Article in Review of Economic Studies (2006)
- General Diagnostic Tests for Cross Section Dependence in Panels
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (2929)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (1487) CESifo Working Paper Series, CESifo (2004) View citations (2918)
See also Journal Article in Empirical Economics (2021)
- Random Coefficient Panel Data Models
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (44)
Also in CESifo Working Paper Series, CESifo (2004) View citations (47) IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (47) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (31)
- Real Time Econometrics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (4) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (6) CESifo Working Paper Series, CESifo (2004) View citations (4)
See also Journal Article in Econometric Theory (2005)
- Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
Also in CESifo Working Paper Series, CESifo (2003) View citations (2) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (3)
See also Journal Article in Journal of Econometrics (2005)
2003
- A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (213)
See also Journal Article in Journal of Applied Econometrics (2007)
- Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (37)
Also in CESifo Working Paper Series, CESifo (2003) View citations (19)
- How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
CESifo Working Paper Series, CESifo View citations (3)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (2)
See also Journal Article in International Journal of Forecasting (2004)
- Macroeconomic Dynamics and Credit Risk: A Global Perspective
CESifo Working Paper Series, CESifo View citations (25)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (31) Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 
See also Journal Article in Journal of Money, Credit and Banking (2006)
- On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (44)
- Scope for Cost Minimization in Public Debt Management: the Case of the UK
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
2002
- Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
Computing in Economics and Finance 2002, Society for Computational Economics View citations (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
- Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy
Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (61)
Also in CESifo Working Paper Series, CESifo (2000) View citations (2) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (22)
- Market Timing and Return Prediction under Model Instability
FMG Discussion Papers, Financial Markets Group View citations (138)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (155)
See also Journal Article in Journal of Empirical Finance (2002)
2001
- A long run structural macroeconometric model of the UK
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (30)
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)
- Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
Computing in Economics and Finance 2001, Society for Computational Economics View citations (18)
Also in CESifo Working Paper Series, CESifo (2000) View citations (14) Working Papers, Banco de España (2000) View citations (12) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (82)
See also Journal Article in Econometric Theory (2005)
- Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (8)
See also Journal Article in Journal of the American Statistical Association (2003)
2000
- ASSET PRICE DYNAMICS AND AGGREGATION
Computing in Economics and Finance 2000, Society for Computational Economics
- Life-Cycle Models and Cross-Country Analysis of Saving
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
- The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach
CESifo Working Paper Series, CESifo View citations (2)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (2)
1999
- A Recursive Modelling Approach to Predicting UK Stock Returns
FMG Discussion Papers, Financial Markets Group 
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations (5)
See also Journal Article in Economic Journal (2000)
- A long run structural macroeconometric model of the UK (first version)
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (3)
- Bounds Testing Approaches to the Analysis of Long Run Relationships
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (88)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) View citations (84)
- Economic and Statistical Measures of Forecast Accuracy
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (27)
- Long-Run Structural Modelling
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (12)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (57)
See also Journal Article in Econometric Reviews (2002)
- Model Instability and Choice of Observation Window
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (8)
- Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (84)
- Non-nested Hypothesis Testing: An Overview
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (16)
- On Aggregation of Linear Dynamic Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
- Structural analysis of vector error correction models with exogenous I(1) variables
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (11)
See also
Structural analysis of vector error correction models with exogenous I(1) variables, Journal of Econometrics, Elsevier View citations (435)
Structural analysis of vector error correction models with exogenous I(1) variables (first version), Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (17)
Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables, Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (64)
1998
- A Structural Cointegrating VAR Approach to Macroeconometric Modelling
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (1998) View citations (10)
- 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)
- Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (33)
- Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (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)
- Economic Trends and Macroeconomic Policies in Post-revolutionary Iran
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
- 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 (6)
See also Journal Article in Journal of Econometrics (2002)
- Optimal Consumption Decisions under Social Interactions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
- Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (104)
- Structural Analysis of Cointegrating VARs
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (182)
See also Journal Article in Journal of Economic Surveys (1998)
1997
- Diagnostics for IV Regressions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
- Generalised Impulse Response Analysis in Linear Multivariate Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (65)
See also Journal Article in Economics Letters (1998)
- Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (84)
- 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 (9)
See also Software Item (1997)
1996
- A Decision_Theoretic Approach to Forecast Evaluation
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (28)
- Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model
Working Papers, Economic Research Forum View citations (11)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (16)
See also Journal Article in Journal of Applied Econometrics (1997)
- Limited-dependent rational expectations models with jumps
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (4)
- 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 (34)
See also Software Item (1997)
- Stochastic Growth
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (42)
- Testing for the 'Existence of a Long-run Relationship'
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (249)
- 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
- A Discrete-Time Version of Target Zone Models with Jumps
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (4) Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (5)
- 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)
- An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (314)
- Decision-Making in the Presence of Heterogeneous Information and Social Interactions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
See also Journal Article in International Economic Review (1998)
- Dynamic Linear Models for Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (52)
- 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 (8)
- Iranian Economy During the Pahlavi Era
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
- Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (139)
See also Software Item (1994)
- New Directions in Applied Macroeconomic Modelling
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
- Planning and Macroeconomic Stabilization in Iran
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
- Testing for Unit Roots in Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (307)
See also Journal Article in Journal of Econometrics (2003)
- The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
1993
- Cointegration and Direct Tests of the Rational Expectations Hypothesis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
- 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)
- Equilibrium Asset Pricing Models and Predictability of Excess Returns
UCLA Economics Working Papers, UCLA Department of Economics View citations (2)
- 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)
- 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)
- Limited-Dependaent Rational Expectations Models with Future Expectations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
See also Journal Article in Journal of Economic Dynamics and Control (1995)
- Limited-Dependent Rational Expectations Models with Stochastic Thresholds
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
See also Journal Article in Economics Letters (1996)
- The Natural Rate Hypothesis and its Testable Implications
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
1992
- 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)
- 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)
- 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)
- 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)
- Estimating Long-Run Relationships From Dynamic Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (130)
See also Journal Article in Journal of Econometrics (1995)
- Forecasting Stock Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
- Oil Investment in the North Sea
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (1990) View citations (1)
See also Journal Article in Economic Modelling (1994)
- The Interaction Between Theory and Observation in Economics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
- 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)
- Theory and Evidence in Economics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
- Uncertainty and Irreversible Investment an Empirical Analysis of Development of Oil Fields in the UKCS
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (11)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1992) View citations (11)
1991
- An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model
Working Papers, California Los Angeles - Applied Econometrics View citations (1)
See also Journal Article in Economic Journal (1992)
- Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone
UCLA Economics Working Papers, UCLA Department of Economics View citations (6)
See also Journal Article in Journal of Econometrics (1992)
- THE IRANIAN FOREIGN EXCHANGE POLICY AND THE BLACK MARKET FOR DOLLARS
Working Papers, California Los Angeles - Applied Econometrics
1990
- A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
Working Papers, California Los Angeles - Applied Econometrics View citations (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)
- ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT
Working Papers, Tilburg - Center for Economic Research View citations (1)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (2) Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (2) Working Papers, California Los Angeles - Applied Econometrics (1990) View citations (1) Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
- ESTIMATING LIMITED-DEPENDENCE RATIONAL EXOECTATIONS MODELS
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
- ESTIMATING LIMITED-DEPENDENT RATIONAL EXPECTATIONS MODELS
Working Papers, California Los Angeles - Applied Econometrics View citations (3)
- EXPECTATIONS IN ECONOMICS
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
- 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)
- RATIONAL EXPECTATIONS IN DISAGGREGATED MODELS: AN EMPIRICAL ANALYSIS OF OPEC'S BEHAVIOR
Working Papers, California Los Angeles - Applied Econometrics
- THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
Working Papers, California Los Angeles - Applied Econometrics View citations (1)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)
1989
- A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS
Working Papers, California Los Angeles - Applied Econometrics View citations (1)
See also Journal Article in Journal of Econometrics (1993)
- ESTIMATION OF SIMPLE CLASS OF MULTIVARIATE RATIONAL EXPECTATIONS MODELS: A TEST OF THE NEW CLASSICAL MODEL AT A SECTORAL LEVEL
Working Papers, California Los Angeles - Applied Econometrics
See also Journal Article in Empirical Economics (1991)
- JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
Working Papers, California Los Angeles - Applied Econometrics View citations (3)
- JOINT TESTS OF NON-NESTED MODLS AND GENERAL ERROR SPECIFICATIONS
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
1988
- Aggregation Bias and Labor Demand Equations for the U.K. Economy
UCLA Economics Working Papers, UCLA Department of Economics View citations (3)
- An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
UCLA Economics Working Papers, UCLA Department of Economics 
See also Journal Article in Economic Journal (1990)
- Econometric Analysis of Aggregation in the Context of Linear Prediction Models
UCLA Economics Working Papers, UCLA Department of Economics View citations (7)
See also Journal Article in Econometrica (1989)
- Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models
UCLA Economics Working Papers, UCLA Department of Economics
1987
- A Rejoinder: On the Policy Ineffectiveness Proposition and a Keynesian Alternative
UCLA Economics Working Papers, UCLA Department of Economics
Undated
- Analytical and Numerical Solution of Multivariate Nonlinear Rational Expectations Models
Computing in Economics and Finance 1997, Society for Computational Economics
Journal Articles
2023
- Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
Econometrics and Statistics, 2023, 26, (C), 17-30 
See also Working Paper (2021)
- Identification and estimation of categorical random coefficient models
Empirical Economics, 2023, 64, (6), 2543-2588 
See also Working Paper (2023)
- Identifying the effects of sanctions on the Iranian economy using newspaper coverage
Journal of Applied Econometrics, 2023, 38, (3), 271-294 
See also Working Paper (2021)
- Reprint of: Testing for unit roots in heterogeneous panels
Journal of Econometrics, 2023, 234, (S), 56-69
- Revisiting the Great Ratios Hypothesis
Oxford Bulletin of Economics and Statistics, 2023, 85, (5), 1023-1047 
See also Working Paper (2023)
- Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
IMF Economic Review, 2023, 71, (2), 474-508 
See also Working Paper (2022)
2022
- A spatiotemporal equilibrium model of migration and housing interlinkages
Journal of Housing Economics, 2022, 57, (C) View citations (2)
See also Working Paper (2022)
- An augmented Anderson–Hsiao estimator for dynamic short-T panels†
Econometric Reviews, 2022, 41, (4), 416-447 View citations (1)
- Matching theory and evidence on Covid‐19 using a stochastic network SIR model
Journal of Applied Econometrics, 2022, 37, (6), 1204-1229 
See also Working Paper (2022)
- Regional heterogeneity and U.S. presidential elections: Real-time 2020 forecasts and evaluation
International Journal of Forecasting, 2022, 38, (2), 662-687
2021
- A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Journal of International Money and Finance, 2021, 119, (C) View citations (13)
See also Working Paper (2020)
- Detection of units with pervasive effects in large panel data models
Journal of Econometrics, 2021, 221, (2), 510-541 View citations (1)
- Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices
Journal of Applied Econometrics, 2021, 36, (1), 18-44 View citations (22)
See also Working Paper (2019)
- Estimation and inference in spatial models with dominant units
Journal of Econometrics, 2021, 221, (2), 591-615 View citations (1)
See also Working Paper (2019)
- General diagnostic tests for cross-sectional dependence in panels
Empirical Economics, 2021, 60, (1), 13-50 View citations (127)
See also Working Paper (2004)
- Long-term macroeconomic effects of climate change: A cross-country analysis
Energy Economics, 2021, 104, (C) View citations (26)
See also Working Paper (2019)
- Measurement of factor strength: Theory and practice
Journal of Applied Econometrics, 2021, 36, (5), 587-613 View citations (6)
See also Working Paper (2020)
2020
- Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
Journal of Applied Econometrics, 2020, 35, (3), 294-314 View citations (13)
See also Working Paper (2018)
- Correction to: Exponent of Cross-sectional Dependence for Residuals
Sankhya B: The Indian Journal of Statistics, 2020, 82, (2), 380-380
- Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Journal of Business & Economic Statistics, 2020, 38, (2), 428-442 
See also Working Paper (2016)
- Econometric analysis of production networks with dominant units
Journal of Econometrics, 2020, 219, (2), 507-541 View citations (14)
See also Working Paper (2016)
- Uncertainty and Economic Activity: A Multicountry Perspective
(Emerging market business cycles: The cycle is the trend)
Review of Financial Studies, 2020, 33, (8), 3393-3445 View citations (12)
See also Working Paper (2018)
2019
- A Bayesian analysis of linear regression models with highly collinear regressors
Econometrics and Statistics, 2019, 11, (C), 1-21
- A multiple testing approach to the regularisation of large sample correlation matrices
Journal of Econometrics, 2019, 208, (2), 507-534 View citations (18)
See also Working Paper (2015)
- Exponent of Cross-sectional Dependence for Residuals
Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 46-102 View citations (10)
See also Working Paper (2018)
- Mean group estimation in presence of weakly cross-correlated estimators
Economics Letters, 2019, 175, (C), 101-105 View citations (14)
See also Working Paper (2018)
2018
- A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models
Econometrica, 2018, 86, (4), 1479-1512 View citations (30)
See also Working Paper (2016)
- Estimation of time-invariant effects in static panel data models
Econometric Reviews, 2018, 37, (10), 1137-1171 View citations (17)
See also Working Paper (2014)
- Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors
Journal of Applied Econometrics, 2018, 33, (6), 816-836 View citations (20)
- Rising Public Debt to GDP Can Harm Economic Growth
Economic Letter, 2018, 13, (3), 1-4 View citations (4)
- Tests of Policy Interventions in DSGE Models
Oxford Bulletin of Economics and Statistics, 2018, 80, (3), 457-484 View citations (1)
See also Working Paper (2017)
- To Pool or Not to Pool: Revisited
Oxford Bulletin of Economics and Statistics, 2018, 80, (2), 185-217 View citations (2)
See also Working Paper (2017)
2017
- Exponential class of dynamic binary choice panel data models with fixed effects
Econometric Reviews, 2017, 36, (6-9), 898-927 View citations (8)
See also Working Paper (2012)
- Is There a Debt-Threshold Effect on Output Growth?
The Review of Economics and Statistics, 2017, 99, (1), 135-150 View citations (120)
See also Working Paper (2015)
- Oil prices and the global economy: Is it different this time around?
Energy Economics, 2017, 65, (C), 315-325 View citations (68)
See also Working Paper (2016)
2016
- A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence
Journal of Applied Econometrics, 2016, 31, (1), 249-280 View citations (80)
See also Working Paper (2014)
- A multi-country approach to forecasting output growth using PMIs
Journal of Econometrics, 2016, 192, (2), 349-365 View citations (23)
See also Working Paper (2014)
- Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing
Research in Economics, 2016, 70, (2), 262-280 View citations (37)
See also Working Paper (2014)
- Country-specific oil supply shocks and the global economy: A counterfactual analysis
Energy Economics, 2016, 59, (C), 382-399 View citations (61)
See also Working Paper (2015)
- Cross‐Sectional Dependence in Panel Data Models: A Special Issue
Journal of Applied Econometrics, 2016, 31, (1), 1-3 View citations (7)
- Exponent of Cross‐Sectional Dependence: Estimation and Inference
Journal of Applied Econometrics, 2016, 31, (6), 929-960 View citations (65)
See also Working Paper (2012)
- THEORY AND PRACTICE OF GVAR MODELLING
Journal of Economic Surveys, 2016, 30, (1), 165-197 View citations (86)
See also Working Paper (2014)
2015
- Testing Weak Cross-Sectional Dependence in Large Panels
Econometric Reviews, 2015, 34, (6-10), 1089-1117 View citations (421)
See also Working Paper (2012)
2014
- AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS
Journal of Applied Econometrics, 2014, 29, (1), 1-21 View citations (60)
See also Working Paper (2012)
- Aggregation in large dynamic panels
Journal of Econometrics, 2014, 178, (P2), 273-285 View citations (30)
See also Working Paper (2011)
- Constructing Multi-Country Rational Expectations Models
Oxford Bulletin of Economics and Statistics, 2014, 76, (6), 812-840 View citations (19)
- Signs of impact effects in time series regression models
Economics Letters, 2014, 122, (2), 150-153 View citations (21)
See also Working Paper (2013)
2013
- DISTINGUISHED AUTHORS
Journal of Applied Econometrics, 2013, 28, (5), 901-902
- Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Econometric Reviews, 2013, 32, (5-6), 592-649 View citations (83)
See also Working Paper (2010)
- Oil exports and the Iranian economy
The Quarterly Review of Economics and Finance, 2013, 53, (3), 221-237 View citations (55)
See also Working Paper (2010)
- On Identification of Bayesian DSGE Models
Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 View citations (55)
See also Working Paper (2011)
- Optimal forecasts in the presence of structural breaks
Journal of Econometrics, 2013, 177, (2), 134-152 View citations (86)
- Panel unit root tests in the presence of a multifactor error structure
Journal of Econometrics, 2013, 175, (2), 94-115 View citations (122)
See also Working Paper (2008)
2012
- China's Emergence in the World Economy and Business Cycles in Latin America
Economía Journal, 2012, Volume 12 Number 2, (Spring 2012), 1-75 View citations (58)
See also Working Paper (2012)
- Diagnostic Tests of Cross‐section Independence for Limited Dependent Variable Panel Data Models
Oxford Bulletin of Economics and Statistics, 2012, 74, (2), 253-277 View citations (27)
- Oil Export and the Economy of Iran (in Persian)
Journal of Monetary and Banking Research (فصلنامه پژوهشهای پولی-بانکی), 2012, 4, (12), 1-18
- On the interpretation of panel unit root tests
Economics Letters, 2012, 116, (3), 545-546 View citations (47)
- The Richard Stone Prize in Applied Econometrics
Journal of Applied Econometrics, 2012, 27, (7), 1211-1212
Also in Journal of Applied Econometrics, 2010, 25, (6), 1067-1068 (2010)  Journal of Applied Econometrics, 2009, 24, (5), 863-863 (2009)
2011
- BEYOND THE DSGE STRAITJACKET-super-1
Manchester School, 2011, 79, (s2), 5-16 View citations (8)
- Forecast Combination Across Estimation Windows
Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 View citations (71)
Also in Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 (2011) View citations (72)
- Infinite-dimensional VARs and factor models
Journal of Econometrics, 2011, 163, (1), 4-22 View citations (91)
See also Working Paper (2009)
- 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)  Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010)  Journal of Applied Econometrics, 2001, 16, (5), 653-654 (2001)
- Large panels with common factors and spatial correlation
Journal of Econometrics, 2011, 161, (2), 182-202 View citations (350)
See also Working Paper (2011)
- Lumpy Price Adjustments: A Microeconometric Analysis
Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 View citations (22)
Also in Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 (2011) View citations (18)
See also Working Paper (2007)
- Panels with non-stationary multifactor error structures
Journal of Econometrics, 2011, 160, (2), 326-348 View citations (416)
See also Working Paper (2010)
- The spatial and temporal diffusion of house prices in the UK
Journal of Urban Economics, 2011, 69, (1), 2-23 View citations (131)
See also Working Paper (2010)
- Variable selection, estimation and inference for multi-period forecasting problems
Journal of Econometrics, 2011, 164, (1), 173-187 View citations (69)
- Weak and strong cross‐section dependence and estimation of large panels
Econometrics Journal, 2011, 14, C45-C90 View citations (249)
Also in Econometrics Journal, 2011, 14, (1), C45-C90 (2011) View citations (345)
See also Working Paper (2009)
2010
- A spatio-temporal model of house prices in the USA
Journal of Econometrics, 2010, 158, (1), 160-173 View citations (230)
See also Working Paper (2006)
- Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Economic Modelling, 2010, 27, (6), 1398-1416 View citations (33)
See also Working Paper (2010)
2009
- Announcement
Journal of Applied Econometrics, 2009, 24, (5), 865-865
- Forecasting economic and financial variables with global VARs
International Journal of Forecasting, 2009, 25, (4), 642-675 View citations (123)
See also Working Paper (2008)
- Identification of New Keynesian Phillips Curves from a Global Perspective
Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 View citations (63)
Also in Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 (2009) View citations (8)
See also Working Paper (2008)
- In memory of Clive Granger: an advisory board member of the journal
Journal of Applied Econometrics, 2009, 24, (6), 871-873
- Journal of Applied Econometrics Dissertation Prize
Journal of Applied Econometrics, 2009, 24, (1), 207-207 
Also in Journal of Applied Econometrics, 2007, 22, (7), 1395-1395 (2007)
- Model averaging in risk management with an application to futures markets
Journal of Empirical Finance, 2009, 16, (2), 280-305 View citations (22)
See also Working Paper (2008)
- Pairwise Tests of Purchasing Power Parity
Econometric Reviews, 2009, 28, (6), 495-521 View citations (53)
- Rejoinder to comments on forecasting economic and financial variables with global VARs
International Journal of Forecasting, 2009, 25, (4), 703-715 View citations (103)
- Testing Dependence Among Serially Correlated Multicategory Variables
Journal of the American Statistical Association, 2009, 104, (485), 325-337 View citations (160)
See also Working Paper (2006)
2008
- A bias-adjusted LM test of error cross-section independence
Econometrics Journal, 2008, 11, (1), 105-127 View citations (358)
See also Working Paper (2006)
- Econometric analysis of structural systems with permanent and transitory shocks
Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 View citations (73)
See also Working Paper (2008)
- Firm heterogeneity and credit risk diversification
Journal of Empirical Finance, 2008, 15, (4), 583-612 View citations (20)
See also Working Paper (2005)
- Forecasting the Swiss economy using VECX models: An exercise in forecast combination across models and observation windows
National Institute Economic Review, 2008, 203, 91-108 View citations (1)
Also in National Institute Economic Review, 2008, 203, (1), 91-108 (2008) View citations (23)
See also Working Paper (2008)
- March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors
Journal of Applied Econometrics, 2008, 23, (3), 391-393
- Testing slope homogeneity in large panels
Journal of Econometrics, 2008, 142, (1), 50-93 View citations (699)
See also Working Paper (2005)
2007
- A pair-wise approach to testing for output and growth convergence
Journal of Econometrics, 2007, 138, (1), 312-355 View citations (195)
See also Working Paper (2004)
- A simple panel unit root test in the presence of cross-section dependence
Journal of Applied Econometrics, 2007, 22, (2), 265-312 View citations (3338)
See also Working Paper (2003)
- Econometric issues in the analysis of contagion
Journal of Economic Dynamics and Control, 2007, 31, (4), 1245-1277 View citations (165)
See also Working Paper (2004)
- Exploring the international linkages of the euro area: a global VAR analysis
Journal of Applied Econometrics, 2007, 22, (1), 1-38 View citations (708)
See also Working Paper (2006)
- Heterogeneity and cross section dependence in panel data models: theory and applications introduction
Journal of Applied Econometrics, 2007, 22, (2), 229-232 View citations (85)
- Learning, Structural Instability, and Present Value Calculations
Econometric Reviews, 2007, 26, (2-4), 253-288 View citations (13)
See also Working Paper (2006)
- Long Run Macroeconomic Relations in the Global Economy
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2007, 1, 1-20 View citations (103)
See also Working Paper (2007)
- Selection of estimation window in the presence of breaks
Journal of Econometrics, 2007, 137, (1), 134-161 View citations (281)
- 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 View citations (108)
2006
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
Econometrica, 2006, 74, (4), 967-1012 View citations (2384)
See also Working Paper (2004)
- Forecasting Time Series Subject to Multiple Structural Breaks
Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations (217)
See also Working Paper (2004)
- MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE*
Manchester School, 2006, 74, (s1), 24-49 View citations (104)
See also Working Paper (2006)
- Macroeconomic Dynamics and Credit Risk: A Global Perspective
Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 View citations (151)
See also Working Paper (2003)
2005
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
Econometric Theory, 2005, 21, (4), 795-837 View citations (170)
See also Working Paper (2001)
- REAL-TIME ECONOMETRICS
Econometric Theory, 2005, 21, (1), 212-231 View citations (22)
See also Working Paper (2004)
- Small sample properties of forecasts from autoregressive models under structural breaks
Journal of Econometrics, 2005, 129, (1-2), 183-217 View citations (187)
See also Working Paper (2004)
- The Cost Effectiveness of the UK's Sovereign Debt Portfolio
Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 467-495 View citations (2)
2004
- How costly is it to ignore breaks when forecasting the direction of a time series?
International Journal of Forecasting, 2004, 20, (3), 411-425 View citations (91)
See also Working Paper (2003)
- Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
Journal of Business & Economic Statistics, 2004, 22, 129-162 View citations (674)
See also Working Paper (2010)
- Rejoinder
Journal of Business & Economic Statistics, 2004, 22, 175-181
2003
- A Long run structural macroeconometric model of the UK
Economic Journal, 2003, 113, (487), 412-455 View citations (118)
See also Working Paper (2001)
- Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
Economic Modelling, 2003, 20, (2), 383-415 View citations (41)
- Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
Journal of the American Statistical Association, 2003, 98, 829-838 View citations (56)
See also Working Paper (2001)
- Introducing a replication section
Journal of Applied Econometrics, 2003, 18, (1), 111-111 View citations (3)
- Journal of applied econometrics scholars programme
Journal of Applied Econometrics, 2003, 18, (5), 619-619 View citations (1)
- Testing for unit roots in heterogeneous panels
Journal of Econometrics, 2003, 115, (1), 53-74 View citations (6120)
See also Working Paper (1995)
2002
- LONG-RUN STRUCTURAL MODELLING
Econometric Reviews, 2002, 21, (1), 49-87 View citations (115)
See also Working Paper (1999)
- Market timing and return prediction under model instability
Journal of Empirical Finance, 2002, 9, (5), 495-510 View citations (157)
See also Working Paper (2002)
- Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
Journal of Econometrics, 2002, 109, (1), 107-150 View citations (259)
See also Working Paper (1998)
2001
- A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
Journal of Applied Econometrics, 2001, 16, (3), 197-202 View citations (7)
- Bounds testing approaches to the analysis of level relationships
Journal of Applied Econometrics, 2001, 16, (3), 289-326 View citations (6261)
- Journal of Applied Econometrics Conference Sponsorship Grants
Journal of Applied Econometrics, 2001, 16, (4), 561-561
- Life-cycle consumption under social interactions
Journal of Economic Dynamics and Control, 2001, 25, (1-2), 35-83 View citations (19)
2000
- A Recursive Modelling Approach to Predicting UK Stock Returns
Economic Journal, 2000, 110, (460), 159-91 View citations (126)
See also Working Paper (1999)
- Cross-sectional aggregation of non-linear models
Journal of Econometrics, 2000, 95, (2), 285-331 View citations (38)
See also Working Paper (1998)
- Life and Work of John Richard Nicholas Stone 1913-1991
Economic Journal, 2000, 110, (461), F146-65 View citations (3)
- Solution of Nonlinear Rational Expectations Models with Applications to Finite-Horizon Life-Cycle Models of Consumption
Computational Economics, 2000, 15, (1-2), 25-57 View citations (7)
- Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
Journal of Economic Dynamics and Control, 2000, 24, (3), 325-346 View citations (6)
1999
- Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model with Jumps
Journal of Business & Economic Statistics, 1999, 17, (1), 50-66 View citations (13)
- Diagnostics for IV Regressions
Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 255-281 View citations (44)
See also Working Paper (1997)
- Stochastic Growth Models and Their Econometric Implications
Journal of Economic Growth, 1999, 4, (2), 139-83 View citations (88)
1998
- Decision Making in the Presence of Heterogeneous Information and Social Interactions
International Economic Review, 1998, 39, (4), 1027-52 View citations (13)
See also Working Paper (1995)
- Generalized impulse response analysis in linear multivariate models
Economics Letters, 1998, 58, (1), 17-29 View citations (2640)
See also Working Paper (1997)
- Structural Analysis of Cointegrating VARs
Journal of Economic Surveys, 1998, 12, (5), 471-505 View citations (175)
See also Working Paper (1998)
1997
- A floor and ceiling model of US output
Journal of Economic Dynamics and Control, 1997, 21, (4-5), 661-695 View citations (123)
See also Working Paper (1995)
- Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
Journal of Applied Econometrics, 1997, 12, (5), 586-87
- Growth and Convergence in Multi-country Empirical Stochastic Solow Model
Journal of Applied Econometrics, 1997, 12, (4), 357-92 View citations (313)
See also Working Paper (1996)
- Multivariate Linear Rational Expectations Models
Econometric Theory, 1997, 13, (6), 877-888 View citations (71)
- On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Comments
Journal of Applied Econometrics, 1997, 12, (5), 500-503
- The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments
Journal of Applied Econometrics, 1997, 12, (5), 527-29
- The Role of Economic Theory in Modelling the Long Run
Economic Journal, 1997, 107, (440), 178-91 View citations (322)
See also Working Paper (1996)
1996
- Cointegration and speed of convergence to equilibrium
Journal of Econometrics, 1996, 71, (1-2), 117-143 View citations (303)
See also Working Paper (1993)
- Impulse response analysis in nonlinear multivariate models
Journal of Econometrics, 1996, 74, (1), 119-147 View citations (2582)
- Limited-dependent rational expectations models with stochastic thresholds
Economics Letters, 1996, 51, (3), 267-276 View citations (11)
See also Working Paper (1993)
1995
- Estimating long-run relationships from dynamic heterogeneous panels
Journal of Econometrics, 1995, 68, (1), 79-113 View citations (2656)
See also Working Paper (1992)
- Forecasting ultimate resource recovery
International Journal of Forecasting, 1995, 11, (4), 543-555 View citations (21)
See also Working Paper (1993)
- Limited-dependent rational expectations models with future expectations
Journal of Economic Dynamics and Control, 1995, 19, (8), 1325-1353 View citations (14)
See also Working Paper (1993)
- Predictability of Stock Returns: Robustness and Economic Significance
Journal of Finance, 1995, 50, (4), 1201-28 View citations (471)
- The role of theory in econometrics
Journal of Econometrics, 1995, 67, (1), 61-79 View citations (37)
1994
- A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
Journal of Applied Econometrics, 1994, 9, (S), S95-112 View citations (50)
- A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method
Econometrica, 1994, 62, (3), 705-10 View citations (88)
- A generalization of the non-parametric Henriksson-Merton test of market timing
Economics Letters, 1994, 44, (1-2), 1-7 View citations (41)
See also Working Paper (1992)
- Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods
Journal of Business & Economic Statistics, 1994, 12, (1), 11-21 View citations (11)
See also Working Paper (1992)
- Oil investment in the North Sea
Economic Modelling, 1994, 11, (3), 308-329 View citations (22)
See also Working Paper (1992)
1993
- A simulation approach to the problem of computing Cox's statistic for testing nonnested models
Journal of Econometrics, 1993, 57, (1-3), 377-392 View citations (33)
See also Working Paper (1989)
- Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
Ricerche Economiche, 1993, 47, (3), 293-322 View citations (66)
- Persistence, cointegration, and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy
Journal of Econometrics, 1993, 56, (1-2), 57-88 View citations (47)
See also Working Paper (1990)
- The Role of Sectoral Interactions in Wage Determination in the UK Economy
Economic Journal, 1993, 103, (416), 21-55 View citations (34)
See also Working Paper (1992)
1992
- A Simple Nonparametric Test of Predictive Performance
Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations (418)
See also Working Paper (1990)
- 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 View citations (20)
See also Working Paper (1991)
- 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 View citations (19)
See also Working Paper (1991)
- Nonlinear Dynamics and Econometrics: An Introduction
Journal of Applied Econometrics, 1992, 7, (S), S1-7 View citations (25)
- Persistence of Shocks and Their
Economic Journal, 1992, 102, (411), 342-56 View citations (32)
1991
- Costly Adjustment under Rational Expectations: A Generalization
The Review of Economics and Statistics, 1991, 73, (2), 353-58 View citations (16)
- 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 View citations (2)
See also Working Paper (1989)
1990
- A unified approach to estimation and orthogonality tests in linear single-equation econometric models
Journal of Econometrics, 1990, 44, (1-2), 41-66 View citations (18)
- An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
Economic Journal, 1990, 100, (401), 367-90 View citations (54)
See also Working Paper (1988)
- Testing for Aggregation Bias in Linear Models
Economic Journal, 1990, 100, (400), 137-50 View citations (34)
1989
- A proof of the asymptotic validity of a test for perfect aggregation
Economics Letters, 1989, 30, (1), 41-47 View citations (2)
- Consistency of short-term and long-term expectations
Journal of International Money and Finance, 1989, 8, (4), 511-516 View citations (6)
- Econometric Analysis of Aggregation in the Context of Linear Prediction Models
Econometrica, 1989, 57, (4), 861-88 View citations (75)
See also Working Paper (1988)
1988
- 4 The Role of Theory in Applied Econometrics
The Economic Record, 1988, 64, (4), 336-339
- On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder
Economic Journal, 1988, 98, (391), 504-08 View citations (10)
- Tests of non-nested linear regression models subject to linear restrictions
Economics Letters, 1988, 27, (4), 341-348 View citations (10)
1987
- Global and Partial Non-Nested Hypotheses and Asymptotic Local Power
Econometric Theory, 1987, 3, (1), 69-97 View citations (14)
1986
- Editorial statement
Journal of Applied Econometrics, 1986, 1, (1), 1-4
1985
- Evaluation of macroeconometric models
Economic Modelling, 1985, 2, (2), 125-134 View citations (14)
- Formation of Inflation Expectations in British Manufacturing Industries
Economic Journal, 1985, 95, (380), 948-75 View citations (31)
- Testing for Structural Stability and Predictive Failure: A Review
The Manchester School of Economic & Social Studies, 1985, 53, (3), 280-95 View citations (18)
1984
- Inflation, Capital Gains and U.K. Personal Savings: 1953-1981
Economic Journal, 1984, 94, (374), 237-57 View citations (5)
1983
- Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence
Journal of Econometrics, 1983, 21, (1), 133-154 View citations (70)
- The J-test as a Hausman specification test
Economics Letters, 1983, 12, (3-4), 277-281 View citations (2)
1982
- A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis
Economic Journal, 1982, 92, (367), 529-54 View citations (25)
- Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
Econometrica, 1982, 50, (5), 1287-1305 View citations (25)
- On the comprehensive method of testing non-nested regression models
Journal of Econometrics, 1982, 18, (2), 263-274 View citations (8)
1981
- 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
- Identification of rational expectations models
Journal of Econometrics, 1981, 16, (3), 375-398 View citations (46)
- Pitfalls of testing non-nested hypotheses by the lagrange multiplier method
Journal of Econometrics, 1981, 16, (1), 158-158 View citations (9)
Also in Journal of Econometrics, 1981, 17, (3), 323-331 (1981) View citations (9)
1978
- Testing Non-Nested Nonlinear Regression Models
Econometrica, 1978, 46, (3), 677-94 View citations (79)
1976
- The Determinants of United Kingdom Import Prices-A Note
Economic Journal, 1976, 86, (342), 315-20 View citations (1)
1973
- 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
- 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 View citations (3)
Books
2015
- Time Series and Panel Data Econometrics
OUP Catalogue, Oxford University Press View citations (264)
2012
- Global and National Macroeconometric Modelling: A Long-Run Structural Approach
OUP Catalogue, Oxford University Press View citations (26)
Also in OUP Catalogue, Oxford University Press (2006) View citations (181)
Edited books
2013
- The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis
OUP Catalogue, Oxford University Press View citations (63)
2010
- Analysis of Panels and Limited Dependent Variable Models
Cambridge Books, Cambridge University Press View citations (2)
1999
- Analysis of Panels and Limited Dependent Variable Models
Cambridge Books, Cambridge University Press View citations (177)
Chapters
2020
- Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR
A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 143-189 View citations (5)
See also Working Paper (2019)
2016
- Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors
A chapter in Essays in Honor of man Ullah, 2016, vol. 36, pp 85-135 View citations (80)
See also Working Paper (2015)
2007
- Global Business Cycles and Credit Risk
A chapter in The Risks of Financial Institutions, 2007, pp 419-469 View citations (22)
See also Working Paper (2005)
2006
- Introduction: Explaining Growth in the Middle East
A chapter in Explaining Growth in the Middle East, 2006, pp 1-27
- Survey Expectations
Elsevier View citations (90)
See also Working Paper (2005)
1993
- 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
1978
- Growth and Income Distribution in Iran
Palgrave Macmillan View citations (2)
Software Items
1997
- 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 
See also Working Paper (1996)
- 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 
See also Working Paper (1997)
1994
- 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 
See also Working Paper (1995)
Editor
- Journal of Applied Econometrics
John Wiley & Sons, Ltd.
- Journal of Applied Econometrics
John Wiley & Sons, Ltd.
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