Details about Mohammad Hashem Pesaran

E-mail:
Homepage:	http://pesaran.com/
Postal address:	Trinity College R6 Great Court Cambrdige, CB2 1TQ England
Workplace:	Department of Economics, University of Southern California, (more information at EDIRC) Faculty of Economics, University of Cambridge, (more information at EDIRC)

Access statistics for papers by Mohammad Hashem Pesaran.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: ppe34

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Working Papers

2024

1. Forecasting 2024 US Presidential Election by States Using County Level Data: Too Close to Call
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in CESifo Working Paper Series, CESifo (2024)
2. Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity
   Papers, arXiv.org
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
   CESifo Working Paper Series, CESifo (2022) View citations (4)
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (4)
3. Heterogeneous Autoregressions in Short T Panel Data Models
   Papers, arXiv.org
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2023)
   CESifo Working Paper Series, CESifo (2023)
4. High-Dimensional Forecasting with Known Knowns and Known Unknowns
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in CESifo Working Paper Series, CESifo (2024)
   Papers, arXiv.org (2024)
5. How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test
   Papers, arXiv.org View citations (2)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021) View citations (5)
6. Trimmed Mean Group Estimation of Average Effects in Ultra Short T Panels under Correlated Heterogeneity
   Papers, arXiv.org View citations (1)
7. Variable Selection in High Dimensional Linear Regressions with Parameter Instability
   Papers, arXiv.org
   Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2024)
   CESifo Working Paper Series, CESifo (2023) View citations (2)

2023

8. Causal effects of the Fed's large-scale asset purchases on firms' capital structure
   Papers, arXiv.org
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
   CESifo Working Paper Series, CESifo (2022)
9. Identification and Estimation of Categorical Random Coefficient Models
   Papers, arXiv.org
   Also in CESifo Working Paper Series, CESifo (2022)
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
   See also Journal Article Identification and estimation of categorical random coefficient models, Empirical Economics, Springer (2023) (2023)
10. Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels
    Papers, arXiv.org View citations (1)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2023) View citations (1)
11. Reflections on "Testing for Unit Roots in Heterogeneous Panels"
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in CESifo Working Paper Series, CESifo (2023) View citations (1)
12. Revisiting the Great Ratios Hypothesis
    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)
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2022)
    CESifo Working Paper Series, CESifo (2022)
    See also Journal Article Revisiting the Great Ratios Hypothesis, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2023) View citations (1) (2023)
13. Structural Econometric Estimation of the Basic Reproduction Number for Covid-19 Across U.S. States and Selected Countries
    Papers, arXiv.org
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2023)
    CESifo Working Paper Series, CESifo (2023)
14. 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)
15. Trimmed Mean Group Estimation of Average Treatment Effects in Ultra Short T Panels under Correlated Heterogeneity
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in CESifo Working Paper Series, CESifo (2023)

2022

16. A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
    Also in CESifo Working Paper Series, CESifo (2021) View citations (7)
17. A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
    Also in CESifo Working Paper Series, CESifo (2021)
    See also Journal Article A spatiotemporal equilibrium model of migration and housing interlinkages, Journal of Housing Economics, Elsevier (2022) View citations (2) (2022)
18. Climate Change and Economic Activity: Evidence from U.S. States
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge View citations (5)
    Also in Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2022)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2022) View citations (6)
    CESifo Working Paper Series, CESifo (2022) View citations (5)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (5)
    See also Journal Article Climate change and economic activity: evidence from US states, Oxford Open Economics, Oxford University Press (2023) View citations (4) (2023)
19. Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
    Papers, arXiv.org View citations (7)
    Also in CESifo Working Paper Series, CESifo (2020) View citations (8)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (9)
    See also Journal Article Matching theory and evidence on Covid‐19 using a stochastic network SIR model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (3) (2022)
20. 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 CESifo Working Paper Series, CESifo (2022) View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (1)
    See also Journal Article Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe, IMF Economic Review, Palgrave Macmillan (2023) (2023)

2021

21. An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
22. 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 Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios, Econometrics and Statistics, Elsevier (2023) View citations (1) (2023)
23. 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)
24. 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 NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
25. Factor Strengths, Pricing Errors, and Estimation of Risk Premia
    CESifo Working Paper Series, CESifo View citations (5)
26. Identifying the Effects of Sanctions on the Iranian Economy Using Newspaper Coverage
    CESifo Working Paper Series, CESifo View citations (9)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021) View citations (9)
    Papers, arXiv.org (2021) View citations (9)
    See also Journal Article Identifying the effects of sanctions on the Iranian economy using newspaper coverage, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) View citations (10) (2023)

2020

27. 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 (24)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (37)
    NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (37)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (36)
    CESifo Working Paper Series, CESifo (2020) View citations (39)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (38)
    Working Papers, Economic Research Forum (2020) View citations (35)
    See also Journal Article A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model, Journal of International Money and Finance, Elsevier (2021) View citations (19) (2021)
28. Measurement of Factor Strenght: Theory and Practice
    CESifo Working Paper Series, CESifo View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) View citations (3)
    See also Journal Article Measurement of factor strength: Theory and practice, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (10) (2021)
29. Regional Heterogeneity and U.S. Presidential Elections
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in CESifo Working Paper Series, CESifo (2020) View citations (1)
30. Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
    CESifo Working Paper Series, CESifo View citations (2)
31. Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (30)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (66)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (64)
    CESifo Working Paper Series, CESifo (2020) View citations (63)

2019

32. 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 Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (32) (2021)
33. Estimation and inference in spatial models with dominant units
    CESifo Working Paper Series, CESifo
    See also Journal Article Estimation and inference in spatial models with dominant units, Journal of Econometrics, Elsevier (2021) View citations (6) (2021)
34. Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR
    CESifo Working Paper Series, CESifo
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2018)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2018) View citations (2)
    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 Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR, Advances in Econometrics, Emerald Group Publishing Limited (2020) View citations (5) (2020)
35. Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (43)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (56)
    NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (62)
    Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2019) View citations (60)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2019) View citations (62)
    IMF Working Papers, International Monetary Fund (2019) View citations (60)
    CESifo Working Paper Series, CESifo (2019) View citations (60)
    See also Journal Article Long-term macroeconomic effects of climate change: A cross-country analysis, Energy Economics, Elsevier (2021) View citations (82) (2021)
36. 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

37. A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
    CESifo Working Paper Series, CESifo
38. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
    CESifo Working Paper Series, CESifo View citations (1)
    See also Journal Article Common correlated effects estimation of heterogeneous dynamic panel quantile regression models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (21) (2020)
39. 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 Exponent of Cross-sectional Dependence for Residuals, Sankhya B: The Indian Journal of Statistics, Springer (2019) View citations (15) (2019)
40. Land Use Regulations, Migration and Rising House Price Dispersion in the U.S
    CESifo Working Paper Series, CESifo View citations (5)
41. Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas
    See also Journal Article Mean group estimation in presence of weakly cross-correlated estimators, Economics Letters, Elsevier (2019) View citations (26) (2019)
42. Uncertainty and Economic Activity: A Multi-Country Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    Also in CESifo Working Paper Series, CESifo (2018) View citations (20)
    Bank of England working papers, Bank of England (2018) View citations (20)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (20)
    See also Journal Article Uncertainty and Economic Activity: A Multicountry Perspective, The Review of Financial Studies, Society for Financial Studies (2020) View citations (28) (2020)

2017

43. A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
    CESifo Working Paper Series, CESifo View citations (1)
44. Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics
    Also in CESifo Working Paper Series, CESifo (2017)
45. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
    Discussion Papers, Department of Economics, University of York View citations (18)
    Also in CESifo Working Paper Series, CESifo (2017) View citations (17)
46. Tests of Policy Interventions in DSGE Models
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics
    See also Journal Article Tests of Policy Interventions in DSGE Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2018) View citations (1) (2018)
47. 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 To Pool or Not to Pool: Revisited, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2018) View citations (3) (2018)

2016

48. 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 A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models, Econometrica, Econometric Society (2018) View citations (37) (2018)
49. Big Data Analytics: A New Perspective
    CESifo Working Paper Series, CESifo View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (4)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (1)
50. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in CESifo Working Paper Series, CESifo (2016)
    See also Journal Article Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) (2020)
51. Econometric Analysis of Production Networks with Dominant Units
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (19)
    Also in CESifo Working Paper Series, CESifo (2016) View citations (22)
    See also Journal Article Econometric analysis of production networks with dominant units, Journal of Econometrics, Elsevier (2020) View citations (18) (2020)
52. Half-panel jackknife fixed effects estimation of panels with weakly exogenous regressor
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (14)
53. Oil Prices and the Global Economy: Is It Different This Time Around?
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
    Also in CESifo Working Paper Series, CESifo (2016) View citations (21)
    Working Papers, Economic Research Forum (2016) View citations (26)
    IMF Working Papers, International Monetary Fund (2016) View citations (22)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2016) View citations (21)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (15)
    See also Journal Article Oil prices and the global economy: Is it different this time around?, Energy Economics, Elsevier (2017) View citations (84) (2017)

2015

54. 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 A multiple testing approach to the regularisation of large sample correlation matrices, Journal of Econometrics, Elsevier (2019) View citations (22) (2019)
55. 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 (16)
    Also in CESifo Working Paper Series, CESifo (2015) View citations (16)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (16)
    Working Papers, Economic Research Forum (2015) View citations (15)
    Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2015) View citations (4)
    See also Journal Article Country-specific oil supply shocks and the global economy: A counterfactual analysis, Energy Economics, Elsevier (2016) View citations (68) (2016)
56. Is There a Debt-threshold Effect on Output Growth?
    IMF Working Papers, International Monetary Fund View citations (47)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (6)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2015) View citations (25)
    CESifo Working Paper Series, CESifo (2015) View citations (19)
    See also Journal Article Is There a Debt-Threshold Effect on Output Growth?, The Review of Economics and Statistics, MIT Press (2017) View citations (164) (2017)
57. 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 (32)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (7)
    See also Chapter Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (108) (2016)
58. Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (26)
    Also in CESifo Working Paper Series, CESifo (2015) View citations (26)

2014

59. A Multi-Country Approach to Forecasting Output Growth Using PMIs
    CESifo Working Paper Series, CESifo View citations (7)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (3)
    See also Journal Article A multi-country approach to forecasting output growth using PMIs, Journal of Econometrics, Elsevier (2016) View citations (24) (2016)
60. 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 A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (86) (2016)
61. 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 IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (47)
    CESifo Working Paper Series, CESifo (2012) View citations (45)
    Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (44)
    See also Journal Article Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing, Research in Economics, Elsevier (2016) View citations (39) (2016)
62. Estimation of Time-invariant Effects in Static Panel Data Models
    CESifo Working Paper Series, CESifo View citations (21)
    See also Journal Article Estimation of time-invariant effects in static panel data models, Econometric Reviews, Taylor & Francis Journals (2018) View citations (24) (2018)
63. Tests of Policy Ineffectiveness in Macroeconometrics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    Also in CESifo Working Paper Series, CESifo (2014) View citations (2)
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2014) View citations (2)
64. 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 THEORY AND PRACTICE OF GVAR MODELLING, Journal of Economic Surveys, Wiley Blackwell (2016) View citations (104) (2016)
65. 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)
66. Uncertainty and Economic Activity: A Global Perspective
    CESifo Working Paper Series, CESifo View citations (50)
    Also in IDB Publications (Working Papers), Inter-American Development Bank (2014) View citations (45)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) View citations (46)

2013

67. Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
    Staff Working Papers, Bank of Canada View citations (11)
68. 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 (65)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (26)
    CESifo Working Paper Series, CESifo (2013) View citations (60)
    See also Journal Article Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors, Journal of Econometrics, Elsevier (2015) View citations (801) (2015)
69. Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
    CESifo Working Paper Series, CESifo View citations (83)
    Also in Working Papers, Economic Research Forum (2013) View citations (90)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (44)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (89)
70. Large Panel Data Models with Cross-Sectional Dependence: A Survey
    CESifo Working Paper Series, CESifo View citations (108)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (77)
71. 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 (16)
72. Signs of Impact Effects in Time Series Regression Models
    CESifo Working Paper Series, CESifo View citations (4)
    See also Journal Article Signs of impact effects in time series regression models, Economics Letters, Elsevier (2014) View citations (23) (2014)

2012

73. An Empirical Growth Model for Major Oil Exporters
    CESifo Working Paper Series, CESifo View citations (17)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (19)
    Working Papers, Economic Research Forum (2012) View citations (18)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) View citations (25)
    See also Journal Article AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (66) (2014)
74. An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
    CESifo Working Paper Series, CESifo View citations (1)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (1)
    See also Journal Article Exponential class of dynamic binary choice panel data models with fixed effects, Econometric Reviews, Taylor & Francis Journals (2017) View citations (8) (2017)
75. China's emergence in the world economy and business cycles in Latin America
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
    Also in 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)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (35)
    Staff Working Papers, Bank of Canada (2012) View citations (61)
    IDB Publications (Working Papers), Inter-American Development Bank (2011) View citations (17)
    See also Journal Article China's Emergence in the World Economy and Business Cycles in Latin America, Economía Journal, The Latin American and Caribbean Economic Association - LACEA (2012) View citations (63) (2012)
76. Exponent of Cross-sectional Dependence: Estimation and Inference
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (27)
    Also in CESifo Working Paper Series, CESifo (2012) View citations (27)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) View citations (69)
    See also Journal Article Exponent of Cross‐Sectional Dependence: Estimation and Inference, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (71) (2016)
77. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
    CESifo Working Paper Series, CESifo View citations (8)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (9)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (8)
78. 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)
79. Testing CAPM with a Large Number of Assets
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (24)
    Also in Discussion Papers, Department of Economics, University of York (2012) View citations (25)
80. 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 (13)
81. Testing Weak Cross-Sectional Dependence in Large Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (18)
    Also in CESifo Working Paper Series, CESifo (2012) View citations (18)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (18)
    See also Journal Article Testing Weak Cross-Sectional Dependence in Large Panels, Econometric Reviews, Taylor & Francis Journals (2015) View citations (622) (2015)

2011

82. Aggregation in Large Dynamic Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2011) View citations (6)
    CESifo Working Paper Series, CESifo (2011) View citations (19)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (7)
    See also Journal Article Aggregation in large dynamic panels, Journal of Econometrics, Elsevier (2014) View citations (33) (2014)
83. Beyond the DSGE Straitjacket
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (24)
    Also in CESifo Working Paper Series, CESifo (2011) View citations (25)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (6)
84. 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)
85. Large panels with common factors and spatial correlation
    Post-Print, HAL View citations (365)
    Also in CESifo Working Paper Series, CESifo (2007) View citations (42)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (48)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (42)
    See also Journal Article Large panels with common factors and spatial correlation, Journal of Econometrics, Elsevier (2011) View citations (377) (2011)
86. On Identification of Bayesian DSGE Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (7)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (8)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (8)
    CESifo Working Paper Series, CESifo (2011) View citations (8)
    See also Journal Article On Identification of Bayesian DSGE Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (58) (2013)
87. 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

88. 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)
89. 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 Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash, Economic Modelling, Elsevier (2010) View citations (33) (2010)
90. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (23)
    Also in Working Paper Series, European Central Bank (2010) View citations (24)
    CESifo Working Paper Series, CESifo (2010) View citations (18)
    See also Journal Article Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, Econometric Reviews, Taylor & Francis Journals (2013) View citations (93) (2013)
91. 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 (65)
    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 Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (757) (2004)
92. Oil Exports and the Iranian Economy
    Working Papers, Economic Research Forum View citations (27)
    Also in CESifo Working Paper Series, CESifo (2009) View citations (19)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (19)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (20)
    See also Journal Article Oil exports and the Iranian economy, The Quarterly Review of Economics and Finance, Elsevier (2013) View citations (60) (2013)
93. Panels with nonstationary multifactor error structures
    Post-Print, HAL View citations (15)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (48)
    CESifo Working Paper Series, CESifo (2006) View citations (27)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (29)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (25)
    See also Journal Article Panels with non-stationary multifactor error structures, Journal of Econometrics, Elsevier (2011) View citations (473) (2011)
94. Predictability of Asset Returns and the Efficient Market Hypothesis
    CESifo Working Paper Series, CESifo View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2010) View citations (4)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) View citations (4)
95. Spatial and Temporal Diffusion of House Prices in the UK
    CESifo Working Paper Series, CESifo View citations (33)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) View citations (12)
    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)
    See also Journal Article The spatial and temporal diffusion of house prices in the UK, Journal of Urban Economics, Elsevier (2011) View citations (136) (2011)
96. Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
    CESifo Working Paper Series, CESifo View citations (51)
    Also in Working Paper Series, European Central Bank (2010) View citations (50)

2009

97. 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)
98. Infinite-dimensional VARs and factor models
    Working Paper Series, European Central Bank View citations (18)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (19)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (19)
    CESifo Working Paper Series, CESifo (2007) View citations (27)
    See also Journal Article Infinite-dimensional VARs and factor models, Journal of Econometrics, Elsevier (2011) View citations (98) (2011)
99. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
    CESifo Working Paper Series, CESifo View citations (3)
100. Variable Selection and Inference for Multi-period Forecasting Problems
     CESifo Working Paper Series, CESifo View citations (1)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009)
     CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)
101. Weak and Strong Cross Section Dependence and Estimation of Large Panels
     CESifo Working Paper Series, CESifo View citations (36)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (51)
     Working Paper Series, European Central Bank (2009) View citations (47)
     See also Journal Article Weak and strong cross‐section dependence and estimation of large panels, Econometrics Journal, Royal Economic Society (2011) View citations (280) (2011)

2008

102. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
     Discussion Papers, School of Economics, The University of New South Wales View citations (81)
     See also Journal Article Econometric analysis of structural systems with permanent and transitory shocks, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (82) (2008)
103. Forecasting Economic and Financial Variables with Global VARs
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
     Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations (4)
     CESifo Working Paper Series, CESifo (2008) View citations (6)
     See also Journal Article Forecasting economic and financial variables with global VARs, International Journal of Forecasting, Elsevier (2009) View citations (124) (2009)
104. 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)
105. Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows
     Working Papers, Swiss National Bank View citations (26)
     See also Journal Article Forecasting the Swiss economy using VECX models: An exercise in forecast combination across models and observation windows, National Institute Economic Review, National Institute of Economic and Social Research (2008) View citations (1) (2008)
106. Identification of New Keynesian Phillips Curves from a Global Perspective
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (83)
     Also in CESifo Working Paper Series, CESifo (2008) View citations (86)
     Working Paper Series, European Central Bank (2008) View citations (83)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2008) View citations (91)
     See also Journal Article Identification of New Keynesian Phillips Curves from a Global Perspective, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (9) (2009)
107. 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)
108. Model Averaging in Risk Management with an Application to Futures Markets
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
     Also in CESifo Working Paper Series, CESifo (2008) View citations (12)
     See also Journal Article Model averaging in risk management with an application to futures markets, Journal of Empirical Finance, Elsevier (2009) View citations (25) (2009)
109. Optimal Asset Allocation with Factor Models for Large Portfolios
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
     Also in CESifo Working Paper Series, CESifo (2008) View citations (8)
110. 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 (940)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (919)
     CESifo Working Paper Series, CESifo (2008) View citations (3)
     See also Journal Article Panel unit root tests in the presence of a multifactor error structure, Journal of Econometrics, Elsevier (2013) View citations (129) (2013)

2007

111. 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)
112. Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models
     CESifo Working Paper Series, CESifo View citations (12)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (13)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (12)
113. 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)
114. Long Run Macroeconomic Relations in the Global Economy
     Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (119)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (105)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (101)
     CESifo Working Paper Series, CESifo (2007) View citations (105)
     Working Paper Series, European Central Bank (2007) View citations (105)
     See also Journal Article Long Run Macroeconomic Relations in the Global Economy, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2007) View citations (105) (2007)
115. Lumpy Price Adjustments, A Microeconometric Analysis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (5)
     Working papers, Banque de France (2007) View citations (7)
     Working Paper Research, National Bank of Belgium (2006) View citations (2)
     CESifo Working Paper Series, CESifo (2007) View citations (11)
     See also Journal Article Lumpy Price Adjustments: A Microeconometric Analysis, Journal of Business & Economic Statistics, American Statistical Association (2011) View citations (25) (2011)
116. Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (30)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (30)
117. Monetary Policy Transmission and the Phillips Curve in a Global Context
     Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel)
118. 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)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (5)
     CESifo Working Paper Series, CESifo (2007) View citations (5)
119. Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
     CESifo Working Paper Series, CESifo View citations (28)

2006

120. 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 A bias-adjusted LM test of error cross-section independence, Econometrics Journal, Royal Economic Society (2008) View citations (450) (2008)
121. A Spatio-Temporal Model of House Prices in the US
     CESifo Working Paper Series, CESifo View citations (17)
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (15)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (38)
     See also Journal Article A spatio-temporal model of house prices in the USA, Journal of Econometrics, Elsevier (2010) View citations (248) (2010)
122. Econometrics: A Bird's Eye View
     IZA Discussion Papers, Institute of Labor Economics (IZA)
     Also in CESifo Working Paper Series, CESifo (2006)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
123. 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 Working Paper Series, European Central Bank (2005) View citations (43)
     CESifo Working Paper Series, CESifo (2005) View citations (47)
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (14)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (47)
     See also Journal Article Exploring the international linkages of the euro area: a global VAR analysis, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) View citations (754) (2007)
124. Learning, Structural Instability and Present Value Calculations
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (36)
     Also in CESifo Working Paper Series, CESifo (2006) View citations (3)
     Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) View citations (31)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (31)
     Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (3)
     See also Journal Article Learning, Structural Instability, and Present Value Calculations, Econometric Reviews, Taylor & Francis Journals (2007) View citations (14) (2007)
125. Macroeconometric Modelling with a Global Perspective
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (105)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (112)
     CESifo Working Paper Series, CESifo (2006) View citations (106)
     See also Journal Article MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE*, Manchester School, University of Manchester (2006) View citations (107) (2006)
126. 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)
127. Testing Dependence Among Serially Correlated Multi-category Variables
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (4)
     CESifo Working Paper Series, CESifo (2006) View citations (4)
     See also Journal Article Testing Dependence Among Serially Correlated Multicategory Variables, Journal of the American Statistical Association, American Statistical Association (2009) View citations (185) (2009)

2005

128. Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
     Working Papers, Queen Mary University of London, School of Economics and Finance View citations (30)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (30)
     CESifo Working Paper Series, CESifo (2005) View citations (31)
129. Firm Heterogeneity and Credit Risk Diversification
     CESifo Working Paper Series, CESifo View citations (22)
     See also Journal Article Firm heterogeneity and credit risk diversification, Journal of Empirical Finance, Elsevier (2008) View citations (20) (2008)
130. Global Business Cycles and Credit Risk
     CESifo Working Paper Series, CESifo View citations (13)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (9)
     See also Chapter Global Business Cycles and Credit Risk, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (22) (2007)
131. Market Efficiency Today
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (20)
     Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2005) View citations (8)
132. 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 IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (9)
     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)
133. National and Global Macroeconometric Modelling Using GVAR
     Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
134. 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)
135. Survey Expectations
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (12)
     Also in CESifo Working Paper Series, CESifo (2005) View citations (10)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (32)
     See also Chapter Survey Expectations, Handbook of Economic Forecasting, Elsevier (2006) View citations (93) (2006)
136. Testing Slope Homogeneity in Large Panels
     CESifo Working Paper Series, CESifo View citations (19)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (10)
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (12)
     See also Journal Article Testing slope homogeneity in large panels, Journal of Econometrics, Elsevier (2008) View citations (1245) (2008)
137. The Forecasing time series subject to multiple structure breaks
     Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
138. 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)
139. Unit Roots and Cointegration in Panels
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (148)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (146)
     Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (147)
     CESifo Working Paper Series, CESifo (2005) View citations (147)
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

141. 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 A pair-wise approach to testing for output and growth convergence, Journal of Econometrics, Elsevier (2007) View citations (205) (2007)
142. Econometric Issues in the Analysis of Contagion
     Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group View citations (9)
     Also in CESifo Working Paper Series, CESifo (2004) View citations (16)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (14)
     See also Journal Article Econometric issues in the analysis of contagion, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (172) (2007)
143. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
     CESifo Working Paper Series, CESifo View citations (65)
     See also Journal Article Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure, Econometrica, Econometric Society (2006) View citations (2720) (2006)
144. Forecasting Time Series Subject to Multiple Structural Breaks
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (32)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (17)
     CESifo Working Paper Series, CESifo (2004) View citations (20)
     See also Journal Article Forecasting Time Series Subject to Multiple Structural Breaks, The Review of Economic Studies, Review of Economic Studies Ltd (2006) View citations (229) (2006)
145. General Diagnostic Tests for Cross Section Dependence in Panels
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (3471)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (1841)
     CESifo Working Paper Series, CESifo (2004) View citations (3291)
     See also Journal Article General diagnostic tests for cross-sectional dependence in panels, Empirical Economics, Springer (2021) View citations (328) (2021)
146. Random Coefficient Panel Data Models
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (45)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (32)
     CESifo Working Paper Series, CESifo (2004) View citations (48)
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (48)
147. Real Time Econometrics
     CESifo Working Paper Series, CESifo View citations (4)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (5)
     CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (6)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (4)
     See also Journal Article REAL-TIME ECONOMETRICS, Econometric Theory, Cambridge University Press (2005) View citations (22) (2005)
148. 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 Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (3)
     CESifo Working Paper Series, CESifo (2003) View citations (2)
     See also Journal Article Small sample properties of forecasts from autoregressive models under structural breaks, Journal of Econometrics, Elsevier (2005) View citations (224) (2005)

2003

149. 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 (225)
     See also Journal Article A simple panel unit root test in the presence of cross-section dependence, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) View citations (4221) (2007)
150. Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (43)
     Also in CESifo Working Paper Series, CESifo (2003) View citations (25)
151. 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 How costly is it to ignore breaks when forecasting the direction of a time series?, International Journal of Forecasting, Elsevier (2004) View citations (98) (2004)
152. Macroeconomic Dynamics and Credit Risk: A Global Perspective
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (31)
     Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
     CESifo Working Paper Series, CESifo (2003) View citations (25)
     See also Journal Article Macroeconomic Dynamics and Credit Risk: A Global Perspective, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (165) (2006)
153. On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (46)
154. 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

155. Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
     Computing in Economics and Finance 2002, Society for Computational Economics View citations (2)
156. 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
157. 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 Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (22)
     CESifo Working Paper Series, CESifo (2000) View citations (2)
158. 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 (162)
     See also Journal Article Market timing and return prediction under model instability, Journal of Empirical Finance, Elsevier (2002) View citations (174) (2002)

2001

159. 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 A Long run structural macroeconometric model of the UK, Economic Journal, Royal Economic Society (2003) View citations (118) (2003)
160. 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 Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (82)
     Working Papers, Banco de España (2000) View citations (12)
     CESifo Working Paper Series, CESifo (2000) View citations (14)
     See also Journal Article ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION, Econometric Theory, Cambridge University Press (2005) View citations (177) (2005)
161. 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 Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy, Journal of the American Statistical Association, American Statistical Association (2003) View citations (62) (2003)

2000

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

1999

165. 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 A Recursive Modelling Approach to Predicting UK Stock Returns, Economic Journal, Royal Economic Society (2000) View citations (126) (2000)
166. 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)
167. 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 (91)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) View citations (87)
168. Economic and Statistical Measures of Forecast Accuracy
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (27)
169. 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 (65)
     See also Journal Article LONG-RUN STRUCTURAL MODELLING, Econometric Reviews, Taylor & Francis Journals (2002) View citations (118) (2002)
170. 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)
171. Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (85)
172. Non-nested Hypothesis Testing: An Overview
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (16)
173. On Aggregation of Linear Dynamic Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
174. 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)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1997) View citations (64)
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (1997) View citations (17)
     See also Journal Article Structural analysis of vector error correction models with exogenous I(1) variables, Journal of Econometrics, Elsevier (2000) View citations (451) (2000)

1998

175. 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)
176. 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)
177. Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (34)
178. 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)
179. 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 Cross-sectional aggregation of non-linear models, Journal of Econometrics, Elsevier (2000) View citations (38) (2000)
180. Economic Trends and Macroeconomic Policies in Post-revolutionary Iran
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
181. 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 Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods, Journal of Econometrics, Elsevier (2002) View citations (284) (2002)
182. Optimal Consumption Decisions under Social Interactions
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
183. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (109)
184. Structural Analysis of Cointegrating VARs
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (193)
     See also Journal Article Structural Analysis of Cointegrating VARs, Journal of Economic Surveys, Wiley Blackwell (1998) View citations (186) (1998)

1997

185. Diagnostics for IV Regressions
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See also Journal Article Diagnostics for IV Regressions, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1999) View citations (45) (1999)
186. 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 Generalized impulse response analysis in linear multivariate models, Economics Letters, Elsevier (1998) View citations (3095) (1998)
187. Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (103)
188. 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 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 (1997) (1997)

1996

189. A Decision_Theoretic Approach to Forecast Evaluation
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (28)
190. 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 (18)
     See also Journal Article Growth and Convergence in Multi-country Empirical Stochastic Solow Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997) View citations (321) (1997)
191. Limited-dependent rational expectations models with jumps
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (4)
192. 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 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 (1997) (1997)
193. Stochastic Growth
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (42)
194. Testing for the 'Existence of a Long-run Relationship'
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (265)
195. 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 The Role of Economic Theory in Modelling the Long Run, Economic Journal, Royal Economic Society (1997) View citations (351) (1997)

1995

196. 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)
197. 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 A floor and ceiling model of US output, Journal of Economic Dynamics and Control, Elsevier (1997) View citations (125) (1997)
198. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (357)
199. 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 Decision Making in the Presence of Heterogeneous Information and Social Interactions, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (13) (1998)
200. Dynamic Linear Models for Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (52)
201. 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)
202. Iranian Economy During the Pahlavi Era
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
203. 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 (140)
     See also Software Item 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 (1994) (1994)
204. New Directions in Applied Macroeconomic Modelling
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
205. Planning and Macroeconomic Stabilization in Iran
     Working Papers, Economic Research Forum View citations (4)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (7)
206. Testing for Unit Roots in Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (311)
     See also Journal Article Testing for unit roots in heterogeneous panels, Journal of Econometrics, Elsevier (2003) View citations (6701) (2003)
207. The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1993

208. Cointegration and Direct Tests of the Rational Expectations Hypothesis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
209. 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 Cointegration and speed of convergence to equilibrium, Journal of Econometrics, Elsevier (1996) View citations (317) (1996)
210. Equilibrium Asset Pricing Models and Predictability of Excess Returns
     UCLA Economics Working Papers, UCLA Department of Economics View citations (2)
211. 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)
212. Forecasting Ultimate Resource Recovery
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See also Journal Article Forecasting ultimate resource recovery, International Journal of Forecasting, Elsevier (1995) View citations (22) (1995)
213. 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 Limited-dependent rational expectations models with future expectations, Journal of Economic Dynamics and Control, Elsevier (1995) View citations (14) (1995)
214. 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 Limited-dependent rational expectations models with stochastic thresholds, Economics Letters, Elsevier (1996) View citations (11) (1996)
215. The Natural Rate Hypothesis and its Testable Implications
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)

1992

216. 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 A generalization of the non-parametric Henriksson-Merton test of market timing, Economics Letters, Elsevier (1994) View citations (41) (1994)
217. 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)
218. 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)
219. 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 Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (10) (1994)
220. 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 Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics, Elsevier (1995) View citations (2898) (1995)
221. Forecasting Stock Returns
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
222. 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 Oil investment in the North Sea, Economic Modelling, Elsevier (1994) View citations (22) (1994)
223. The Interaction Between Theory and Observation in Economics
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
224. 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 The Role of Sectoral Interactions in Wage Determination in the UK Economy, Economic Journal, Royal Economic Society (1993) View citations (36) (1993)
225. Theory and Evidence in Economics
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
226. 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

227. 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 An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model, Economic Journal, Royal Economic Society (1992) View citations (20) (1992)
228. 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 Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone, Journal of Econometrics, Elsevier (1992) View citations (19) (1992)
229. THE IRANIAN FOREIGN EXCHANGE POLICY AND THE BLACK MARKET FOR DOLLARS
     Working Papers, California Los Angeles - Applied Econometrics

1990

230. 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 A Simple Nonparametric Test of Predictive Performance, Journal of Business & Economic Statistics, American Statistical Association (1992) View citations (459) (1992)
231. 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 (2)
     Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
232. ESTIMATING LIMITED-DEPENDENCE RATIONAL EXOECTATIONS MODELS
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
233. ESTIMATING LIMITED-DEPENDENT RATIONAL EXPECTATIONS MODELS
     Working Papers, California Los Angeles - Applied Econometrics View citations (3)
234. EXPECTATIONS IN ECONOMICS
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
235. 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 Persistence, cointegration, and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy, Journal of Econometrics, Elsevier (1993) View citations (47) (1993)
236. RATIONAL EXPECTATIONS IN DISAGGREGATED MODELS: AN EMPIRICAL ANALYSIS OF OPEC'S BEHAVIOR
     Working Papers, California Los Angeles - Applied Econometrics
237. 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) View citations (1)

1989

238. 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 A simulation approach to the problem of computing Cox's statistic for testing nonnested models, Journal of Econometrics, Elsevier (1993) View citations (34) (1993)
239. 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 Estimation of Simple Class of Multivariate Rational Expectations Models: A Test of the New Classical Model at a Sectoral Level, Empirical Economics, Springer (1991) View citations (2) (1991)
240. JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
     Working Papers, California Los Angeles - Applied Econometrics View citations (3)
241. 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

242. Aggregation Bias and Labor Demand Equations for the U.K. Economy
     UCLA Economics Working Papers, UCLA Department of Economics View citations (3)
243. 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 An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf, Economic Journal, Royal Economic Society (1990) View citations (57) (1990)
244. 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 Econometric Analysis of Aggregation in the Context of Linear Prediction Models, Econometrica, Econometric Society (1989) View citations (76) (1989)
245. Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models
     UCLA Economics Working Papers, UCLA Department of Economics

1987

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

Undated

247. Analytical and Numerical Solution of Multivariate Nonlinear Rational Expectations Models
     Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2023

1. Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
   Econometrics and Statistics, 2023, 26, (C), 17-30 View citations (1)
   See also Working Paper Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios, CESifo Working Paper Series (2021) View citations (1) (2021)
2. Climate change and economic activity: evidence from US states
   Oxford Open Economics, 2023, 2, 28-46 View citations (4)
   See also Working Paper Climate Change and Economic Activity: Evidence from U.S. States, Janeway Institute Working Papers (2022) View citations (5) (2022)
3. Identification and estimation of categorical random coefficient models
   Empirical Economics, 2023, 64, (6), 2543-2588
   See also Working Paper Identification and Estimation of Categorical Random Coefficient Models, Papers (2023) (2023)
4. Identifying the effects of sanctions on the Iranian economy using newspaper coverage
   Journal of Applied Econometrics, 2023, 38, (3), 271-294 View citations (10)
   See also Working Paper Identifying the Effects of Sanctions on the Iranian Economy Using Newspaper Coverage, CESifo Working Paper Series (2021) View citations (9) (2021)
5. Reprint of: Testing for unit roots in heterogeneous panels
   Journal of Econometrics, 2023, 234, (S), 56-69
6. Revisiting the Great Ratios Hypothesis
   Oxford Bulletin of Economics and Statistics, 2023, 85, (5), 1023-1047 View citations (1)
   See also Working Paper Revisiting the Great Ratios Hypothesis, Globalization Institute Working Papers (2023) View citations (1) (2023)
7. Short T dynamic panel data models with individual, time and interactive effects
   Journal of Applied Econometrics, 2023, 38, (6), 940-967 View citations (1)
8. Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
   IMF Economic Review, 2023, 71, (2), 474-508
   See also Working Paper Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe, Globalization Institute Working Papers (2022) View citations (1) (2022)

2022

9. A spatiotemporal equilibrium model of migration and housing interlinkages
   Journal of Housing Economics, 2022, 57, (C) View citations (2)
   See also Working Paper A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages, Cambridge Working Papers in Economics (2022) View citations (3) (2022)
10. An augmented Anderson–Hsiao estimator for dynamic short-T panels†
    Econometric Reviews, 2022, 41, (4), 416-447 View citations (5)
11. Matching theory and evidence on Covid‐19 using a stochastic network SIR model
    Journal of Applied Econometrics, 2022, 37, (6), 1204-1229 View citations (3)
    See also Working Paper Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model, Papers (2022) View citations (7) (2022)
12. Regional heterogeneity and U.S. presidential elections: Real-time 2020 forecasts and evaluation
    International Journal of Forecasting, 2022, 38, (2), 662-687 View citations (1)

2021

13. 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 (19)
    See also Working Paper A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model, Globalization Institute Working Papers (2020) View citations (24) (2020)
14. Detection of units with pervasive effects in large panel data models
    Journal of Econometrics, 2021, 221, (2), 510-541 View citations (2)
15. 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 (32)
    See also Working Paper Estimation and inference for spatial models with heterogeneous coefficients: an application to U.S. house prices, CESifo Working Paper Series (2019) View citations (6) (2019)
16. Estimation and inference in spatial models with dominant units
    Journal of Econometrics, 2021, 221, (2), 591-615 View citations (6)
    See also Working Paper Estimation and inference in spatial models with dominant units, CESifo Working Paper Series (2019) (2019)
17. General diagnostic tests for cross-sectional dependence in panels
    Empirical Economics, 2021, 60, (1), 13-50 View citations (328)
    See also Working Paper General Diagnostic Tests for Cross Section Dependence in Panels, IZA Discussion Papers (2004) View citations (3471) (2004)
18. Long-term macroeconomic effects of climate change: A cross-country analysis
    Energy Economics, 2021, 104, (C) View citations (82)
    See also Working Paper Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis, Globalization Institute Working Papers (2019) View citations (43) (2019)
19. Measurement of factor strength: Theory and practice
    Journal of Applied Econometrics, 2021, 36, (5), 587-613 View citations (10)
    See also Working Paper Measurement of Factor Strenght: Theory and Practice, CESifo Working Paper Series (2020) View citations (3) (2020)

2020

20. Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
    Journal of Applied Econometrics, 2020, 35, (3), 294-314 View citations (21)
    See also Working Paper Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models, CESifo Working Paper Series (2018) View citations (1) (2018)
21. Correction to: Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2020, 82, (2), 380-380
22. 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 Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, Cambridge Working Papers in Economics (2016) (2016)
23. Econometric analysis of production networks with dominant units
    Journal of Econometrics, 2020, 219, (2), 507-541 View citations (18)
    See also Working Paper Econometric Analysis of Production Networks with Dominant Units, Cambridge Working Papers in Economics (2016) View citations (19) (2016)
24. Uncertainty and Economic Activity: A Multicountry Perspective
    The Review of Financial Studies, 2020, 33, (8), 3393-3445 View citations (28)
    See also Working Paper Uncertainty and Economic Activity: A Multi-Country Perspective, NBER Working Papers (2018) View citations (20) (2018)

2019

25. A Bayesian analysis of linear regression models with highly collinear regressors
    Econometrics and Statistics, 2019, 11, (C), 1-21 View citations (1)
26. A multiple testing approach to the regularisation of large sample correlation matrices
    Journal of Econometrics, 2019, 208, (2), 507-534 View citations (22)
    See also Working Paper A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices, Working Papers (2015) View citations (3) (2015)
27. Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 46-102 View citations (15)
    See also Working Paper Exponent of Cross-sectional Dependence for Residuals, CESifo Working Paper Series (2018) (2018)
28. Mean group estimation in presence of weakly cross-correlated estimators
    Economics Letters, 2019, 175, (C), 101-105 View citations (26)
    See also Working Paper Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators, Globalization Institute Working Papers (2018) (2018)

2018

29. 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 (37)
    See also Working Paper A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, Cambridge Working Papers in Economics (2016) View citations (1) (2016)
30. Estimation of time-invariant effects in static panel data models
    Econometric Reviews, 2018, 37, (10), 1137-1171 View citations (24)
    See also Working Paper Estimation of Time-invariant Effects in Static Panel Data Models, CESifo Working Paper Series (2014) View citations (21) (2014)
31. Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors
    Journal of Applied Econometrics, 2018, 33, (6), 816-836 View citations (29)
32. Rising Public Debt to GDP Can Harm Economic Growth
    Economic Letter, 2018, 13, (3), 1-4 View citations (6)
33. 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 Tests of Policy Interventions in DSGE Models, BCAM Working Papers (2017) (2017)
34. To Pool or Not to Pool: Revisited
    Oxford Bulletin of Economics and Statistics, 2018, 80, (2), 185-217 View citations (3)
    See also Working Paper To Pool or not to Pool: Revisited, Departmental Working Papers (2017) (2017)

2017

35. 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 An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects, CESifo Working Paper Series (2012) View citations (1) (2012)
36. Is There a Debt-Threshold Effect on Output Growth?
    The Review of Economics and Statistics, 2017, 99, (1), 135-150 View citations (164)
    See also Working Paper Is There a Debt-threshold Effect on Output Growth?, IMF Working Papers (2015) View citations (47) (2015)
37. Oil prices and the global economy: Is it different this time around?
    Energy Economics, 2017, 65, (C), 315-325 View citations (84)
    See also Working Paper Oil Prices and the Global Economy: Is It Different This Time Around?, Cambridge Working Papers in Economics (2016) View citations (21) (2016)

2016

38. 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 (86)
    See also Working Paper A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence, CESifo Working Paper Series (2014) View citations (2) (2014)
39. A multi-country approach to forecasting output growth using PMIs
    Journal of Econometrics, 2016, 192, (2), 349-365 View citations (24)
    See also Working Paper A Multi-Country Approach to Forecasting Output Growth Using PMIs, CESifo Working Paper Series (2014) View citations (7) (2014)
40. Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing
    Research in Economics, 2016, 70, (2), 262-280 View citations (39)
    See also Working Paper Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing, Birkbeck Working Papers in Economics and Finance (2014) View citations (7) (2014)
41. Country-specific oil supply shocks and the global economy: A counterfactual analysis
    Energy Economics, 2016, 59, (C), 382-399 View citations (68)
    See also Working Paper Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis, Cambridge Working Papers in Economics (2015) View citations (16) (2015)
42. Cross‐Sectional Dependence in Panel Data Models: A Special Issue
    Journal of Applied Econometrics, 2016, 31, (1), 1-3 View citations (8)
43. Exponent of Cross‐Sectional Dependence: Estimation and Inference
    Journal of Applied Econometrics, 2016, 31, (6), 929-960 View citations (71)
    See also Working Paper Exponent of Cross-sectional Dependence: Estimation and Inference, IZA Discussion Papers (2012) View citations (27) (2012)
44. THEORY AND PRACTICE OF GVAR MODELLING
    Journal of Economic Surveys, 2016, 30, (1), 165-197 View citations (104)
    See also Working Paper Theory and Practice of GVAR Modeling, CESifo Working Paper Series (2014) View citations (34) (2014)

2015

45. Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
    Journal of Econometrics, 2015, 188, (2), 393-420 View citations (801)
    See also Working Paper Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors, Cambridge Working Papers in Economics (2013) View citations (65) (2013)
46. Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
    Journal of Econometrics, 2015, 188, (1), 111-134 View citations (26)
47. Testing Weak Cross-Sectional Dependence in Large Panels
    Econometric Reviews, 2015, 34, (6-10), 1089-1117 View citations (622)
    See also Working Paper Testing Weak Cross-Sectional Dependence in Large Panels, Cambridge Working Papers in Economics (2012) View citations (18) (2012)

2014

48. AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS
    Journal of Applied Econometrics, 2014, 29, (1), 1-21 View citations (66)
    See also Working Paper An Empirical Growth Model for Major Oil Exporters, CESifo Working Paper Series (2012) View citations (17) (2012)
49. Aggregation in large dynamic panels
    Journal of Econometrics, 2014, 178, (P2), 273-285 View citations (33)
    See also Working Paper Aggregation in Large Dynamic Panels, Cambridge Working Papers in Economics (2011) View citations (6) (2011)
50. Constructing Multi-Country Rational Expectations Models
    Oxford Bulletin of Economics and Statistics, 2014, 76, (6), 812-840 View citations (23)
51. Signs of impact effects in time series regression models
    Economics Letters, 2014, 122, (2), 150-153 View citations (23)
    See also Working Paper Signs of Impact Effects in Time Series Regression Models, CESifo Working Paper Series (2013) View citations (4) (2013)

2013

52. DISTINGUISHED AUTHORS
    Journal of Applied Econometrics, 2013, 28, (5), 901-902
53. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
    Econometric Reviews, 2013, 32, (5-6), 592-649 View citations (93)
    See also Working Paper Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, Cambridge Working Papers in Economics (2010) View citations (23) (2010)
54. Oil exports and the Iranian economy
    The Quarterly Review of Economics and Finance, 2013, 53, (3), 221-237 View citations (60)
    See also Working Paper Oil Exports and the Iranian Economy, Working Papers (2010) View citations (27) (2010)
55. On Identification of Bayesian DSGE Models
    Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 View citations (58)
    See also Working Paper On Identification of Bayesian DSGE Models, Cambridge Working Papers in Economics (2011) View citations (8) (2011)
56. Optimal forecasts in the presence of structural breaks
    Journal of Econometrics, 2013, 177, (2), 134-152 View citations (95)
57. Panel unit root tests in the presence of a multifactor error structure
    Journal of Econometrics, 2013, 175, (2), 94-115 View citations (129)
    See also Working Paper Panel Unit Root Tests in the Presence of a Multifactor Error Structure, Discussion Papers (2008) View citations (4) (2008)

2012

58. 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 (63)
    See also Working Paper China's emergence in the world economy and business cycles in Latin America, LSE Research Online Documents on Economics (2012) View citations (2) (2012)
59. 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 (28)
60. Oil Export and the Economy of Iran (in Persian)
    Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2012, 4, (12), 1-18
61. On the interpretation of panel unit root tests
    Economics Letters, 2012, 116, (3), 545-546 View citations (54)
62. 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

63. BEYOND THE DSGE STRAITJACKET-super-1
    Manchester School, 2011, 79, (s2), 5-16 View citations (8)
64. Forecast Combination Across Estimation Windows
    Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 View citations (76)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 (2011) View citations (77)
65. Infinite-dimensional VARs and factor models
    Journal of Econometrics, 2011, 163, (1), 4-22 View citations (98)
    See also Working Paper Infinite-dimensional VARs and factor models, Working Paper Series (2009) View citations (18) (2009)
66. Journal of Applied Econometrics distinguished authors
    Journal of Applied Econometrics, 2011, 26, (3), 545-546
    Also in Journal of Applied Econometrics, 2001, 16, (5), 653-654 (2001)
    Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010)
    Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010)
67. Large panels with common factors and spatial correlation
    Journal of Econometrics, 2011, 161, (2), 182-202 View citations (377)
    See also Working Paper Large panels with common factors and spatial correlation, Post-Print (2011) View citations (365) (2011)
68. Lumpy Price Adjustments: A Microeconometric Analysis
    Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 View citations (25)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 (2011) View citations (21)
    See also Working Paper Lumpy Price Adjustments, A Microeconometric Analysis, Cambridge Working Papers in Economics (2007) View citations (6) (2007)
69. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 View citations (473)
    See also Working Paper Panels with nonstationary multifactor error structures, Post-Print (2010) View citations (15) (2010)
70. The spatial and temporal diffusion of house prices in the UK
    Journal of Urban Economics, 2011, 69, (1), 2-23 View citations (136)
    See also Working Paper Spatial and Temporal Diffusion of House Prices in the UK, CESifo Working Paper Series (2010) View citations (33) (2010)
71. Variable selection, estimation and inference for multi-period forecasting problems
    Journal of Econometrics, 2011, 164, (1), 173-187 View citations (69)
72. Weak and strong cross‐section dependence and estimation of large panels
    Econometrics Journal, 2011, 14, C45-C90 View citations (280)
    Also in Econometrics Journal, 2011, 14, (1), C45-C90 (2011) View citations (367)
    See also Working Paper Weak and Strong Cross Section Dependence and Estimation of Large Panels, CESifo Working Paper Series (2009) View citations (36) (2009)

2010

73. A spatio-temporal model of house prices in the USA
    Journal of Econometrics, 2010, 158, (1), 160-173 View citations (248)
    See also Working Paper A Spatio-Temporal Model of House Prices in the US, CESifo Working Paper Series (2006) View citations (17) (2006)
74. 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 Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash, CESifo Working Paper Series (2010) View citations (32) (2010)

2009

75. Announcement
    Journal of Applied Econometrics, 2009, 24, (5), 865-865
76. Forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 642-675 View citations (124)
    See also Working Paper Forecasting Economic and Financial Variables with Global VARs, Cambridge Working Papers in Economics (2008) View citations (6) (2008)
77. Identification of New Keynesian Phillips Curves from a Global Perspective
    Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 View citations (9)
    Also in Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 (2009) View citations (64)
    See also Working Paper Identification of New Keynesian Phillips Curves from a Global Perspective, Cambridge Working Papers in Economics (2008) View citations (83) (2008)
78. In memory of Clive Granger: an advisory board member of the journal
    Journal of Applied Econometrics, 2009, 24, (6), 871-873
79. 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) View citations (1)
80. Model averaging in risk management with an application to futures markets
    Journal of Empirical Finance, 2009, 16, (2), 280-305 View citations (25)
    See also Working Paper Model Averaging in Risk Management with an Application to Futures Markets, Cambridge Working Papers in Economics (2008) View citations (6) (2008)
81. Pairwise Tests of Purchasing Power Parity
    Econometric Reviews, 2009, 28, (6), 495-521 View citations (54)
82. Rejoinder to comments on forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 703-715 View citations (104)
83. Testing Dependence Among Serially Correlated Multicategory Variables
    Journal of the American Statistical Association, 2009, 104, (485), 325-337 View citations (185)
    See also Working Paper Testing Dependence Among Serially Correlated Multi-category Variables, Cambridge Working Papers in Economics (2006) View citations (4) (2006)

2008

84. A bias-adjusted LM test of error cross-section independence
    Econometrics Journal, 2008, 11, (1), 105-127 View citations (450)
    See also Working Paper A Bias-Adjusted LM Test of Error Cross Section Independence, Cambridge Working Papers in Economics (2006) View citations (8) (2006)
85. Econometric analysis of structural systems with permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 View citations (82)
    See also Working Paper Econometric Analysis of Structural Systems with Permanent and Transitory Shocks, Discussion Papers (2008) View citations (81) (2008)
86. Firm heterogeneity and credit risk diversification
    Journal of Empirical Finance, 2008, 15, (4), 583-612 View citations (20)
    See also Working Paper Firm Heterogeneity and Credit Risk Diversification, CESifo Working Paper Series (2005) View citations (22) (2005)
87. 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 (27)
    See also Working Paper Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows, Working Papers (2008) View citations (26) (2008)
88. March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors
    Journal of Applied Econometrics, 2008, 23, (3), 391-393
89. Testing slope homogeneity in large panels
    Journal of Econometrics, 2008, 142, (1), 50-93 View citations (1245)
    See also Working Paper Testing Slope Homogeneity in Large Panels, CESifo Working Paper Series (2005) View citations (19) (2005)

2007

90. A pair-wise approach to testing for output and growth convergence
    Journal of Econometrics, 2007, 138, (1), 312-355 View citations (205)
    See also Working Paper A Pair-Wise Approach to Testing for Output and Growth Convergence, IZA Discussion Papers (2004) View citations (6) (2004)
91. A simple panel unit root test in the presence of cross-section dependence
    Journal of Applied Econometrics, 2007, 22, (2), 265-312 View citations (4221)
    See also Working Paper A Simple Panel Unit Root Test in the Presence of Cross Section Dependence, Cambridge Working Papers in Economics (2003) View citations (225) (2003)
92. Econometric issues in the analysis of contagion
    Journal of Economic Dynamics and Control, 2007, 31, (4), 1245-1277 View citations (172)
    See also Working Paper Econometric Issues in the Analysis of Contagion, Money Macro and Finance (MMF) Research Group Conference 2004 (2004) View citations (9) (2004)
93. Exploring the international linkages of the euro area: a global VAR analysis
    Journal of Applied Econometrics, 2007, 22, (1), 1-38 View citations (754)
    See also Working Paper Exploring the International Linkages of the Euro Area: a Global VAR Analysis, Computing in Economics and Finance 2006 (2006) View citations (27) (2006)
94. Heterogeneity and cross section dependence in panel data models: theory and applications introduction
    Journal of Applied Econometrics, 2007, 22, (2), 229-232 View citations (111)
95. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 View citations (14)
    See also Working Paper Learning, Structural Instability and Present Value Calculations, IEPR Working Papers (2006) View citations (36) (2006)
96. Long Run Macroeconomic Relations in the Global Economy
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2007, 1, 1-20 View citations (105)
    See also Working Paper Long Run Macroeconomic Relations in the Global Economy, Economics Discussion Papers (2007) View citations (119) (2007)
97. Selection of estimation window in the presence of breaks
    Journal of Econometrics, 2007, 137, (1), 134-161 View citations (303)
98. 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 (109)

2006

99. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
    Econometrica, 2006, 74, (4), 967-1012 View citations (2720)
    See also Working Paper Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure, CESifo Working Paper Series (2004) View citations (65) (2004)
100. Forecasting Time Series Subject to Multiple Structural Breaks
     The Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations (229)
     See also Working Paper Forecasting Time Series Subject to Multiple Structural Breaks, Cambridge Working Papers in Economics (2004) View citations (21) (2004)
101. MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE*
     Manchester School, 2006, 74, (s1), 24-49 View citations (107)
     See also Working Paper Macroeconometric Modelling with a Global Perspective, IEPR Working Papers (2006) View citations (105) (2006)
102. Macroeconomic Dynamics and Credit Risk: A Global Perspective
     Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 View citations (165)
     See also Working Paper Macroeconomic Dynamics and Credit Risk: A Global Perspective, Cambridge Working Papers in Economics (2003) View citations (31) (2003)

2005

103. ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
     Econometric Theory, 2005, 21, (4), 795-837 View citations (177)
     See also Working Paper Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration, Computing in Economics and Finance 2001 (2001) View citations (18) (2001)
104. REAL-TIME ECONOMETRICS
     Econometric Theory, 2005, 21, (1), 212-231 View citations (22)
     See also Working Paper Real Time Econometrics, CESifo Working Paper Series (2004) View citations (4) (2004)
105. Small sample properties of forecasts from autoregressive models under structural breaks
     Journal of Econometrics, 2005, 129, (1-2), 183-217 View citations (224)
     See also Working Paper Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks, CEPR Discussion Papers (2004) View citations (11) (2004)
106. 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

107. 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 (98)
     See also Working Paper How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?, CESifo Working Paper Series (2003) View citations (3) (2003)
108. Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
     Journal of Business & Economic Statistics, 2004, 22, 129-162 View citations (757)
     See also Working Paper Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model, EcoMod2003 (2010) View citations (11) (2010)
109. Rejoinder
     Journal of Business & Economic Statistics, 2004, 22, 175-181

2003

110. A Long run structural macroeconometric model of the UK
     Economic Journal, 2003, 113, (487), 412-455 View citations (118)
     See also Working Paper A long run structural macroeconometric model of the UK, Edinburgh School of Economics Discussion Paper Series (2001) View citations (30) (2001)
111. Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
     Economic Modelling, 2003, 20, (2), 383-415 View citations (42)
112. Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
     Journal of the American Statistical Association, 2003, 98, 829-838 View citations (62)
     See also Working Paper Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy, Edinburgh School of Economics Discussion Paper Series (2001) View citations (8) (2001)
113. Introducing a replication section
     Journal of Applied Econometrics, 2003, 18, (1), 111-111 View citations (3)
114. Journal of applied econometrics scholars programme
     Journal of Applied Econometrics, 2003, 18, (5), 619-619 View citations (1)
115. Testing for unit roots in heterogeneous panels
     Journal of Econometrics, 2003, 115, (1), 53-74 View citations (6701)
     See also Working Paper Testing for Unit Roots in Heterogeneous Panels, Cambridge Working Papers in Economics (1995) View citations (311) (1995)

2002

116. LONG-RUN STRUCTURAL MODELLING
     Econometric Reviews, 2002, 21, (1), 49-87 View citations (118)
     See also Working Paper Long-Run Structural Modelling, Edinburgh School of Economics Discussion Paper Series (1999) View citations (12) (1999)
117. Market timing and return prediction under model instability
     Journal of Empirical Finance, 2002, 9, (5), 495-510 View citations (174)
     See also Working Paper Market Timing and Return Prediction under Model Instability, FMG Discussion Papers (2002) View citations (138) (2002)
118. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
     Journal of Econometrics, 2002, 109, (1), 107-150 View citations (284)
     See also Working Paper Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods, Cambridge Working Papers in Economics (1998) View citations (6) (1998)

2001

119. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
     Journal of Applied Econometrics, 2001, 16, (3), 197-202 View citations (8)
120. Bounds testing approaches to the analysis of level relationships
     Journal of Applied Econometrics, 2001, 16, (3), 289-326 View citations (7256)
121. Journal of Applied Econometrics Conference Sponsorship Grants
     Journal of Applied Econometrics, 2001, 16, (4), 561-561
122. Life-cycle consumption under social interactions
     Journal of Economic Dynamics and Control, 2001, 25, (1-2), 35-83 View citations (19)

2000

123. A Recursive Modelling Approach to Predicting UK Stock Returns
     Economic Journal, 2000, 110, (460), 159-91 View citations (126)
     See also Working Paper A Recursive Modelling Approach to Predicting UK Stock Returns, FMG Discussion Papers (1999) (1999)
124. Cross-sectional aggregation of non-linear models
     Journal of Econometrics, 2000, 95, (2), 285-331 View citations (38)
     See also Working Paper Cross-sectional Aggregation of Non-linear Models, Cambridge Working Papers in Economics (1998) View citations (2) (1998)
125. Life and Work of John Richard Nicholas Stone 1913-1991
     Economic Journal, 2000, 110, (461), F146-65 View citations (3)
126. 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)
127. 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 (7)
128. Structural analysis of vector error correction models with exogenous I(1) variables
     Journal of Econometrics, 2000, 97, (2), 293-343 View citations (451)
     See also Working Paper Structural analysis of vector error correction models with exogenous I(1) variables, Edinburgh School of Economics Discussion Paper Series (1999) View citations (11) (1999)

1999

129. 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)
130. Diagnostics for IV Regressions
     Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 255-281 View citations (45)
     See also Working Paper Diagnostics for IV Regressions, Cambridge Working Papers in Economics (1997) (1997)
131. Stochastic Growth Models and Their Econometric Implications
     Journal of Economic Growth, 1999, 4, (2), 139-83 View citations (92)

1998

132. 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 Decision-Making in the Presence of Heterogeneous Information and Social Interactions, Cambridge Working Papers in Economics (1995) View citations (7) (1995)
133. Generalized impulse response analysis in linear multivariate models
     Economics Letters, 1998, 58, (1), 17-29 View citations (3095)
     See also Working Paper Generalised Impulse Response Analysis in Linear Multivariate Models, Cambridge Working Papers in Economics (1997) View citations (65) (1997)
134. Growth Empirics: A Panel Data Approach—A Comment
     The Quarterly Journal of Economics, 1998, 113, (1), 319-323 View citations (99)
135. Structural Analysis of Cointegrating VARs
     Journal of Economic Surveys, 1998, 12, (5), 471-505 View citations (186)
     See also Working Paper Structural Analysis of Cointegrating VARs, Cambridge Working Papers in Economics (1998) View citations (193) (1998)

1997

136. A floor and ceiling model of US output
     Journal of Economic Dynamics and Control, 1997, 21, (4-5), 661-695 View citations (125)
     See also Working Paper A Floor and Ceiling Model of U.S. Output, Cambridge Working Papers in Economics (1995) View citations (9) (1995)
137. Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
     Journal of Applied Econometrics, 1997, 12, (5), 586-87
138. Growth and Convergence in Multi-country Empirical Stochastic Solow Model
     Journal of Applied Econometrics, 1997, 12, (4), 357-92 View citations (321)
     See also Working Paper Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model, Working Papers (1996) View citations (11) (1996)
139. Multivariate Linear Rational Expectations Models
     Econometric Theory, 1997, 13, (6), 877-888 View citations (72)
140. 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
141. 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
142. The Role of Economic Theory in Modelling the Long Run
     Economic Journal, 1997, 107, (440), 178-91 View citations (351)
     See also Working Paper The Role of Economic Theory in Modelling the Long Run, Cambridge Working Papers in Economics (1996) View citations (15) (1996)

1996

143. Cointegration and speed of convergence to equilibrium
     Journal of Econometrics, 1996, 71, (1-2), 117-143 View citations (317)
     See also Working Paper Cointegration and Speed of Convergence to Equilibrium, Cambridge Working Papers in Economics (1993) View citations (4) (1993)
144. Impulse response analysis in nonlinear multivariate models
     Journal of Econometrics, 1996, 74, (1), 119-147 View citations (3029)
145. Limited-dependent rational expectations models with stochastic thresholds
     Economics Letters, 1996, 51, (3), 267-276 View citations (11)
     See also Working Paper Limited-Dependent Rational Expectations Models with Stochastic Thresholds, Cambridge Working Papers in Economics (1993) View citations (6) (1993)

1995

146. Estimating long-run relationships from dynamic heterogeneous panels
     Journal of Econometrics, 1995, 68, (1), 79-113 View citations (2898)
     See also Working Paper Estimating Long-Run Relationships From Dynamic Heterogeneous Panels, Cambridge Working Papers in Economics (1992) View citations (130) (1992)
147. Forecasting ultimate resource recovery
     International Journal of Forecasting, 1995, 11, (4), 543-555 View citations (22)
     See also Working Paper Forecasting Ultimate Resource Recovery, Cambridge Working Papers in Economics (1993) (1993)
148. 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 Limited-Dependaent Rational Expectations Models with Future Expectations, Cambridge Working Papers in Economics (1993) View citations (3) (1993)
149. Predictability of Stock Returns: Robustness and Economic Significance
     Journal of Finance, 1995, 50, (4), 1201-28 View citations (486)
150. The role of theory in econometrics
     Journal of Econometrics, 1995, 67, (1), 61-79 View citations (43)

1994

151. A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
     Journal of Applied Econometrics, 1994, 9, (S), S95-112 View citations (51)
152. A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method
     Econometrica, 1994, 62, (3), 705-10 View citations (88)
153. 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 A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing, Cambridge Working Papers in Economics (1992) (1992)
154. Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods
     Journal of Business & Economic Statistics, 1994, 12, (1), 11-21 View citations (10)
     See also Working Paper Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods, Cambridge Working Papers in Economics (1992) (1992)
155. Oil investment in the North Sea
     Economic Modelling, 1994, 11, (3), 308-329 View citations (22)
     See also Working Paper Oil Investment in the North Sea, Cambridge Working Papers in Economics (1992) (1992)

1993

156. 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 (34)
     See also Working Paper A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS, Working Papers (1989) View citations (1) (1989)
157. Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
     Ricerche Economiche, 1993, 47, (3), 293-322 View citations (91)
158. 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 PERSISTENCE, COINTEGRATION AND AGGREGATION: A DISAGGREGATED ANALYSIS OF OUTPUT FLUCTUATIONS IN THE U.S. ECONOMY, Working Papers (1990) View citations (5) (1990)
159. The Role of Sectoral Interactions in Wage Determination in the UK Economy
     Economic Journal, 1993, 103, (416), 21-55 View citations (36)
     See also Working Paper The Role of Sectoral Interactions in Wage Determination in the UK Economy, Cambridge Working Papers in Economics (1992) (1992)

1992

160. A Simple Nonparametric Test of Predictive Performance
     Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations (459)
     See also Working Paper A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE, Working Papers (1990) View citations (9) (1990)
161. 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 An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model, Working Papers (1991) View citations (1) (1991)
162. 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 Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone, UCLA Economics Working Papers (1991) View citations (6) (1991)
163. Nonlinear Dynamics and Econometrics: An Introduction
     Journal of Applied Econometrics, 1992, 7, (S), S1-7 View citations (25)
164. Persistence of Shocks and Their
     Economic Journal, 1992, 102, (411), 342-56 View citations (32)

1991

165. Costly Adjustment under Rational Expectations: A Generalization
     The Review of Economics and Statistics, 1991, 73, (2), 353-58 View citations (16)
166. 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 ESTIMATION OF SIMPLE CLASS OF MULTIVARIATE RATIONAL EXPECTATIONS MODELS: A TEST OF THE NEW CLASSICAL MODEL AT A SECTORAL LEVEL, Working Papers (1989) (1989)

1990

167. 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)
168. An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
     Economic Journal, 1990, 100, (401), 367-90 View citations (57)
     See also Working Paper An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf, UCLA Economics Working Papers (1988) (1988)
169. Testing for Aggregation Bias in Linear Models
     Economic Journal, 1990, 100, (400), 137-50 View citations (37)

1989

170. A proof of the asymptotic validity of a test for perfect aggregation
     Economics Letters, 1989, 30, (1), 41-47 View citations (2)
171. Consistency of short-term and long-term expectations
     Journal of International Money and Finance, 1989, 8, (4), 511-516 View citations (6)
172. Econometric Analysis of Aggregation in the Context of Linear Prediction Models
     Econometrica, 1989, 57, (4), 861-88 View citations (76)
     See also Working Paper Econometric Analysis of Aggregation in the Context of Linear Prediction Models, UCLA Economics Working Papers (1988) View citations (7) (1988)

1988

173. 4 The Role of Theory in Applied Econometrics
     The Economic Record, 1988, 64, (4), 336-339
174. On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder
     Economic Journal, 1988, 98, (391), 504-08 View citations (10)
175. Tests of non-nested linear regression models subject to linear restrictions
     Economics Letters, 1988, 27, (4), 341-348 View citations (10)

1987

176. Global and Partial Non-Nested Hypotheses and Asymptotic Local Power
     Econometric Theory, 1987, 3, (1), 69-97 View citations (15)

1986

177. Editorial statement
     Journal of Applied Econometrics, 1986, 1, (1), 1-4

1985

178. Evaluation of macroeconometric models
     Economic Modelling, 1985, 2, (2), 125-134 View citations (15)
179. Formation of Inflation Expectations in British Manufacturing Industries
     Economic Journal, 1985, 95, (380), 948-75 View citations (31)
180. 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

181. Inflation, Capital Gains and U.K. Personal Savings: 1953-1981
     Economic Journal, 1984, 94, (374), 237-57 View citations (5)

1983

182. Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence
     Journal of Econometrics, 1983, 21, (1), 133-154 View citations (70)
183. The J-test as a Hausman specification test
     Economics Letters, 1983, 12, (3-4), 277-281 View citations (2)

1982

184. A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis
     Economic Journal, 1982, 92, (367), 529-54 View citations (25)
185. Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
     Econometrica, 1982, 50, (5), 1287-1305 View citations (25)
186. On the comprehensive method of testing non-nested regression models
     Journal of Econometrics, 1982, 18, (2), 263-274 View citations (8)

1981

187. 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
188. Identification of rational expectations models
     Journal of Econometrics, 1981, 16, (3), 375-398 View citations (46)
189. Pitfalls of testing non-nested hypotheses by the lagrange multiplier method
     Journal of Econometrics, 1981, 17, (3), 323-331 View citations (10)
     Also in Journal of Econometrics, 1981, 16, (1), 158-158 (1981) View citations (10)

1978

190. Testing Non-Nested Nonlinear Regression Models
     Econometrica, 1978, 46, (3), 677-94 View citations (80)

1976

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

1974

192. On the General Problem of Model Selection
     The Review of Economic Studies, 1974, 41, (2), 153-171 View citations (123)

1973

193. 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
194. 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

1. Time Series and Panel Data Econometrics
   OUP Catalogue, Oxford University Press View citations (331)

2012

2. Global and National Macroeconometric Modelling: A Long-Run Structural Approach
   OUP Catalogue, Oxford University Press View citations (27)
   Also in OUP Catalogue, Oxford University Press (2006) View citations (185)

Edited books

2013

1. The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis
   OUP Catalogue, Oxford University Press View citations (66)

2010

2. Analysis of Panels and Limited Dependent Variable Models
   Cambridge Books, Cambridge University Press View citations (3)

1999

3. Analysis of Panels and Limited Dependent Variable Models
   Cambridge Books, Cambridge University Press View citations (178)

Chapters

2020

1. 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 Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR, CESifo (2019) (2019)

2016

2. 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 (108)
   See also Working Paper Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors, Faculty of Economics, University of Cambridge (2015) View citations (32) (2015)

2007

3. 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 Global Business Cycles and Credit Risk, CESifo (2005) View citations (13) (2005)

2006

4. Introduction: Explaining Growth in the Middle East
   A chapter in Explaining Growth in the Middle East, 2006, pp 1-27
5. Survey Expectations
   Elsevier View citations (93)
   See also Working Paper Survey Expectations, Institute of Economic Policy Research (IEPR) (2005) View citations (12) (2005)

1993

6. 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

7. Growth and Income Distribution in Iran
   Palgrave Macmillan View citations (4)

Software Items

1997

1. GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Working Paper 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 (1996) View citations (34) (1996)
2. GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Working Paper Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems, Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1997) View citations (9) (1997)

1994

3. 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 Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results, Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (140) (1995)

Editor

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