Details about Mohammad Hashem Pesaran

E-mail:
Homepage:	http://pesaran.com/
Postal address:	Department of Economics University of Southern California 3620 South Vermont Avenue Kaprielian Hall 300 Los Angeles, CA 90089-0253 USA
Workplace:	Center for Applied Financial Economics (CAFE), University of Southern California, (more information at EDIRC) Department of Economics, University of Southern California, (more information at EDIRC)

Access statistics for papers by Mohammad Hashem Pesaran.

Last updated 2023-09-08. Update your information in the RePEc Author Service.

Short-id: ppe34

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Working Papers

2023

1. A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors
   Papers, arXiv.org
   Also in CESifo Working Paper Series, CESifo (2021)
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2022)
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021)
2. Heterogeneous Autoregressions in Short T Panel Data Models
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Papers, arXiv.org (2023)
   CESifo Working Paper Series, CESifo (2023)
3. Identification and Estimation of Categorical Random Coefficient Models
   Papers, arXiv.org
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
   CESifo Working Paper Series, CESifo (2022)
   See also Journal Article in Empirical Economics (2023)
4. Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas
5. Reflections on "Testing for Unit Roots in Heterogeneous Panels"
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in CESifo Working Paper Series, CESifo (2023)
6. Revisiting the Great Ratios Hypothesis
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas
   Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2022)
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
   CESifo Working Paper Series, CESifo (2022)
   See also Journal Article in Oxford Bulletin of Economics and Statistics (2023)
7. 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)
8. Variable Selection in High Dimensional Linear Regressions with Parameter Instability
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas
   Also in CESifo Working Paper Series, CESifo (2023)

2022

9. A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
   Also in CESifo Working Paper Series, CESifo (2021)
   See also Journal Article in Journal of Housing Economics (2022)
10. Causal Effects of the Fed's Large-Scale Asset Purchases on Firms' Capital Structure
    CESifo Working Paper Series, CESifo
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
11. Climate Change and Economic Activity: Evidence from U.S. States
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (2)
    CESifo Working Paper Series, CESifo (2022) View citations (2)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2022) View citations (3)
12. Forecasting With Panel Data: Estimation Uncertainty Versus Parameter Heterogeneity
    CESifo Working Paper Series, CESifo View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
13. Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
    Papers, arXiv.org View citations (3)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (9)
    CESifo Working Paper Series, CESifo (2020) View citations (8)
    See also Journal Article in Journal of Applied Econometrics (2022)
14. Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (1)
    CESifo Working Paper Series, CESifo (2022) View citations (1)
    See also Journal Article in IMF Economic Review (2023)

2021

15. An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (1)
16. Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
    CESifo Working Paper Series, CESifo View citations (1)
    See also Journal Article in Econometrics and Statistics (2023)
17. 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)
18. COVID-19 Time-Varying Reproduction Numbers Worldwide: An Empirical Analysis of Mandatory and Voluntary Social Distancing
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
    NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (6)
19. Factor Strengths, Pricing Errors, and Estimation of Risk Premia
    CESifo Working Paper Series, CESifo View citations (5)
20. Identifying the Effects of Sanctions on the Iranian Economy Using Newspaper Coverage
    CESifo Working Paper Series, CESifo View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2021) View citations (4)
    Papers, arXiv.org (2021) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2023)

2020

21. A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (31)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (32)
    Working Papers, Economic Research Forum (2020) View citations (31)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (32)
    CESifo Working Paper Series, CESifo (2020) View citations (33)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (31)
    See also Journal Article in Journal of International Money and Finance (2021)
22. Measurement of Factor Strenght: Theory and Practice
    CESifo Working Paper Series, CESifo View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2021)
23. Regional Heterogeneity and U.S. Presidential Elections
    CESifo Working Paper Series, CESifo
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020)
24. Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
    CESifo Working Paper Series, CESifo View citations (2)
25. Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (65)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2020) View citations (30)
    CESifo Working Paper Series, CESifo (2020) View citations (62)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (62)

2019

26. Estimation and inference for spatial models with heterogeneous coefficients: an application to U.S. house prices
    CESifo Working Paper Series, CESifo View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2021)
27. Estimation and inference in spatial models with dominant units
    CESifo Working Paper Series, CESifo
    See also Journal Article in Journal of Econometrics (2021)
28. Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR
    CESifo Working Paper Series, CESifo
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2018) View citations (2)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2018)
    Working Papers, Economic Research Forum (2019)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (2)
    See also Chapter (2020)
29. Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (51)
    CESifo Working Paper Series, CESifo (2019) View citations (55)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2019) View citations (38)
    Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2019) View citations (54)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2019) View citations (56)
    IMF Working Papers, International Monetary Fund (2019) View citations (51)
    See also Journal Article in Energy Economics (2021)
30. 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

31. A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
    CESifo Working Paper Series, CESifo
32. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
    CESifo Working Paper Series, CESifo View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2020)
33. Exponent of Cross-sectional Dependence for Residuals
    CESifo Working Paper Series, CESifo
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018)
    See also Journal Article in Sankhya B: The Indian Journal of Statistics (2019)
34. Land Use Regulations, Migration and Rising House Price Dispersion in the U.S
    CESifo Working Paper Series, CESifo View citations (4)
35. Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas
    See also Journal Article in Economics Letters (2019)
36. Uncertainty and Economic Activity: A Multi-Country Perspective
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (20)
    CESifo Working Paper Series, CESifo (2018) View citations (20)
    Bank of England working papers, Bank of England (2018) View citations (20)
    See also Journal Article in Review of Financial Studies (2020)

2017

37. A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
    CESifo Working Paper Series, CESifo View citations (1)
38. Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors
    CESifo Working Paper Series, CESifo
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017)
39. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
    Discussion Papers, Department of Economics, University of York View citations (17)
    Also in CESifo Working Paper Series, CESifo (2017) View citations (16)
40. Tests of Policy Interventions in DSGE Models
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2018)
41. To Pool or not to Pool: Revisited
    Departmental Working Papers, Department of Economics, Louisiana State University
    Also in CESifo Working Paper Series, CESifo (2015) View citations (1)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2018)

2016

42. A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (4)
    See also Journal Article in Econometrica (2018)
43. Big Data Analytics: A New Perspective
    CESifo Working Paper Series, CESifo View citations (4)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (1)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (4)
44. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
    CESifo Working Paper Series, CESifo
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016)
    See also Journal Article in Journal of Business & Economic Statistics (2020)
45. Econometric Analysis of Production Networks with Dominant Units
    CESifo Working Paper Series, CESifo View citations (22)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (19)
    See also Journal Article in Journal of Econometrics (2020)
46. Half-panel jackknife fixed effects estimation of panels with weakly exogenous regressor
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (14)
47. Oil Prices and the Global Economy: Is It Different This Time Around?
    IMF Working Papers, International Monetary Fund View citations (21)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2016) View citations (14)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (20)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2016) View citations (21)
    Working Papers, Economic Research Forum (2016) View citations (25)
    CESifo Working Paper Series, CESifo (2016) View citations (20)
    See also Journal Article in Energy Economics (2017)

2015

48. A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) View citations (10)
    CESifo Working Paper Series, CESifo (2014) View citations (22)
    See also Journal Article in Journal of Econometrics (2019)
49. Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (15)
    Also in Working Papers, Economic Research Forum (2015) View citations (15)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (15)
    Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2015) View citations (4)
    CESifo Working Paper Series, CESifo (2015) View citations (15)
    See also Journal Article in Energy Economics (2016)
50. Is There a Debt-threshold Effect on Output Growth?
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (25)
    Also in IMF Working Papers, International Monetary Fund (2015) View citations (46)
    CESifo Working Paper Series, CESifo (2015) View citations (19)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (6)
    See also Journal Article in The Review of Economics and Statistics (2017)
51. Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (31)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2015) View citations (6)
    See also Chapter (2016)
52. Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients
    CESifo Working Paper Series, CESifo View citations (25)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) View citations (25)

2014

53. A Multi-Country Approach to Forecasting Output Growth Using PMIs
    CESifo Working Paper Series, CESifo View citations (6)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (2)
    See also Journal Article in Journal of Econometrics (2016)
54. A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence
    CESifo Working Paper Series, CESifo View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (26)
    See also Journal Article in Journal of Applied Econometrics (2016)
55. Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (7)
    Also in CESifo Working Paper Series, CESifo (2012) View citations (45)
    Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (43)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (46)
    See also Journal Article in Research in Economics (2016)
56. Estimation of Time-invariant Effects in Static Panel Data Models
    CESifo Working Paper Series, CESifo View citations (21)
    See also Journal Article in Econometric Reviews (2018)
57. Tests of Policy Ineffectiveness in Macroeconometrics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2014) View citations (2)
    CESifo Working Paper Series, CESifo (2014) View citations (2)
58. Theory and Practice of GVAR Modeling
    CESifo Working Paper Series, CESifo View citations (34)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2014) View citations (33)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (19)
    See also Journal Article in Journal of Economic Surveys (2016)
59. 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)
60. Uncertainty and Economic Activity: A Global Perspective
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (46)
    Also in IDB Publications (Working Papers), Inter-American Development Bank (2014) View citations (45)
    CESifo Working Paper Series, CESifo (2014) View citations (50)

2013

61. Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
    Staff Working Papers, Bank of Canada View citations (11)
62. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (63)
    Also in CESifo Working Paper Series, CESifo (2013) View citations (59)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (26)
63. Debt, Inflation and Growth - Robust Estimation of Long-Run Effects in Dynamic Panel Data Models
    CESifo Working Paper Series, CESifo View citations (77)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (41)
    Working Papers, Economic Research Forum (2013) View citations (86)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (82)
64. Large Panel Data Models with Cross-Sectional Dependence: A Survey
    CESifo Working Paper Series, CESifo View citations (88)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2013) View citations (64)
65. One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing?
    CESifo Working Paper Series, CESifo View citations (16)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (41)
    Working Papers, Economic Research Forum (2013) View citations (15)
66. Signs of Impact Effects in Time Series Regression Models
    CESifo Working Paper Series, CESifo View citations (4)
    See also Journal Article in Economics Letters (2014)

2012

67. An Empirical Growth Model for Major Oil Exporters
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (19)
    Also in Working Papers, Economic Research Forum (2012) View citations (18)
    CESifo Working Paper Series, CESifo (2012) View citations (17)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) View citations (25)
    See also Journal Article in Journal of Applied Econometrics (2014)
68. An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (1)
    Also in CESifo Working Paper Series, CESifo (2012) View citations (1)
    See also Journal Article in Econometric Reviews (2017)
69. China’s Emergence in the World Economy and Business Cycles in Latin America
    Staff Working Papers, Bank of Canada View citations (57)
    Also in IDB Publications (Working Papers), Inter-American Development Bank (2011) View citations (17)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (35)
    Research Department Publications, Inter-American Development Bank, Research Department (2011) View citations (17)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (27)
    See also Journal Article in Economía Journal (2012)
70. Exponent of Cross-sectional Dependence: Estimation and Inference
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (69)
    Also in CESifo Working Paper Series, CESifo (2012) View citations (27)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (27)
    See also Journal Article in Journal of Applied Econometrics (2016)
71. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (8)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (9)
    CESifo Working Paper Series, CESifo (2012) View citations (8)
72. 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)
73. Testing CAPM with a Large Number of Assets
    Discussion Papers, Department of Economics, University of York View citations (23)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (22)
74. Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (11)
75. Testing Weak Cross-Sectional Dependence in Large Panels
    CESifo Working Paper Series, CESifo View citations (17)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) View citations (17)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2012) View citations (17)
    See also Journal Article in Econometric Reviews (2015)

2011

76. Aggregation in Large Dynamic Panels
    CESifo Working Paper Series, CESifo View citations (19)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (6)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (7)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2011) View citations (6)
    See also Journal Article in Journal of Econometrics (2014)
77. Beyond the DSGE Straitjacket
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (24)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (6)
    CESifo Working Paper Series, CESifo (2011) View citations (25)
78. 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)
79. Large panels with common factors and spatial correlation
    Post-Print, HAL View citations (336)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (41)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (47)
    CESifo Working Paper Series, CESifo (2007) View citations (41)
    See also Journal Article in Journal of Econometrics (2011)
80. On Identification of Bayesian DSGE Models
    CESifo Working Paper Series, CESifo View citations (8)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2011) View citations (8)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (8)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2011) View citations (8)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (7)
    See also Journal Article in Journal of Business & Economic Statistics (2013)
81. 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

82. 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)
83. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
    CESifo Working Paper Series, CESifo View citations (32)
    See also Journal Article in Economic Modelling (2010)
84. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
    CESifo Working Paper Series, CESifo View citations (18)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2010) View citations (23)
    Working Paper Series, European Central Bank (2010) View citations (24)
    See also Journal Article in Econometric Reviews (2013)
85. Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model
    EcoMod2003, EcoMod View citations (11)
    Also in 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2001) View citations (64)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2001) View citations (9)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (19)
    See also Journal Article in Journal of Business & Economic Statistics (2004)
86. Oil Exports and the Iranian Economy
    Working Papers, Economic Research Forum View citations (27)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (19)
    CESifo Working Paper Series, CESifo (2009) View citations (19)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2009) View citations (20)
    See also Journal Article in The Quarterly Review of Economics and Finance (2013)
87. Panels with nonstationary multifactor error structures
    Post-Print, HAL View citations (15)
    Also in CESifo Working Paper Series, CESifo (2006) View citations (27)
    Working Papers, Queen Mary University of London, School of Economics and Finance (2006) View citations (25)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (29)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (48)
    See also Journal Article in Journal of Econometrics (2011)
88. Predictability of Asset Returns and the Efficient Market Hypothesis
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2010) View citations (4)
    CESifo Working Paper Series, CESifo (2010) View citations (4)
89. Spatial and Temporal Diffusion of House Prices in the UK
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (11)
    Also in Discussion Papers, Department of Economics, University of York View citations (104)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (1)
    CESifo Working Paper Series, CESifo (2010) View citations (32)
    See also Journal Article in Journal of Urban Economics (2011)
90. Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
    CESifo Working Paper Series, CESifo View citations (50)
    Also in Working Paper Series, European Central Bank (2010) View citations (49)

2009

91. 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)
92. Infinite-dimensional VARs and factor models
    Working Paper Series, European Central Bank View citations (18)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (19)
    CESifo Working Paper Series, CESifo (2007) View citations (27)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (19)
    See also Journal Article in Journal of Econometrics (2011)
93. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
    CESifo Working Paper Series, CESifo View citations (3)
94. Variable Selection and Inference for Multi-period Forecasting Problems
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in CESifo Working Paper Series, CESifo (2009) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)
95. Weak and Strong Cross Section Dependence and Estimation of Large Panels
    CESifo Working Paper Series, CESifo View citations (37)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2009) View citations (52)
    Working Paper Series, European Central Bank (2009) View citations (48)
    See also Journal Article in Econometrics Journal (2011)

2008

96. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks
    Discussion Papers, School of Economics, The University of New South Wales View citations (74)
    See also Journal Article in Journal of Economic Dynamics and Control (2008)
97. Forecasting Economic and Financial Variables with Global VARs
    CESifo Working Paper Series, CESifo View citations (6)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (6)
    Staff Reports, Federal Reserve Bank of New York (2008) View citations (4)
    See also Journal Article in International Journal of Forecasting (2009)
98. 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)
99. Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows
    Working Papers, Swiss National Bank View citations (25)
    See also Journal Article in National Institute Economic Review (2008)
100. Identification of New Keynesian Phillips Curves from a Global Perspective
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (84)
     Also in CESifo Working Paper Series, CESifo (2008) View citations (79)
     Working Paper Series, European Central Bank (2008) View citations (76)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (76)
     See also Journal Article in Journal of Money, Credit and Banking (2009)
101. 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)
102. Model Averaging in Risk Management with an Application to Futures Markets
     CESifo Working Paper Series, CESifo View citations (11)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (5)
     See also Journal Article in Journal of Empirical Finance (2009)
103. Optimal Asset Allocation with Factor Models for Large Portfolios
     CESifo Working Paper Series, CESifo View citations (8)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) View citations (8)
104. Panel Unit Root Tests in the Presence of a Multifactor Error Structure
     Discussion Papers, Department of Economics, University of York View citations (4)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (697)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (676)
     CESifo Working Paper Series, CESifo (2008) View citations (3)
     See also Journal Article in Journal of Econometrics (2013)

2007

105. 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)
106. Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (13)
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (12)
     CESifo Working Paper Series, CESifo (2007) View citations (12)
107. 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)
108. Long Run Macroeconomic Relations in the Global Economy
     Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (117)
     Also in CESifo Working Paper Series, CESifo (2007) View citations (103)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (99)
     Working Paper Series, European Central Bank (2007) View citations (103)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (103)
     See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2007)
109. Lumpy Price Adjustments, A Microeconometric Analysis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
     Also in Working Paper Research, National Bank of Belgium (2006) View citations (2)
     Working papers, Banque de France (2007) View citations (7)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (5)
     CESifo Working Paper Series, CESifo (2007) View citations (11)
     See also Journal Article in Journal of Business & Economic Statistics (2011)
110. Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (26)
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (25)
111. Monetary Policy Transmission and the Phillips Curve in a Global Context
     Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel)
112. On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (9)
     CESifo Working Paper Series, CESifo (2007) View citations (5)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (5)
113. Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
     CESifo Working Paper Series, CESifo View citations (25)

2006

114. A Bias-Adjusted LM Test of Error Cross Section Independence
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
     See also Journal Article in Econometrics Journal (2008)
115. A Spatio-Temporal Model of House Prices in the US
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (38)
     Also in CESifo Working Paper Series, CESifo (2006) View citations (17)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (15)
     See also Journal Article in Journal of Econometrics (2010)
116. Econometrics: A Bird's Eye View
     IZA Discussion Papers, Institute of Labor Economics (IZA)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006)
     CESifo Working Paper Series, CESifo (2006)
117. Exploring the International Linkages of the Euro Area: a Global VAR Analysis
     Computing in Economics and Finance 2006, Society for Computational Economics View citations (27)
     Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (14)
     CESifo Working Paper Series, CESifo (2005) View citations (47)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (47)
     Working Paper Series, European Central Bank (2005) View citations (43)
     See also Journal Article in Journal of Applied Econometrics (2007)
118. Learning, Structural Instability and Present Value Calculations
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (36)
     Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (3)
     Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) View citations (31)
     CESifo Working Paper Series, CESifo (2006) View citations (3)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2006) View citations (31)
     See also Journal Article in Econometric Reviews (2007)
119. Macroeconometric Modelling with a Global Perspective
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (109)
     Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (102)
     CESifo Working Paper Series, CESifo (2006) View citations (103)
     See also Journal Article in Manchester School (2006)
120. 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)
121. Testing Dependence Among Serially Correlated Multi-category Variables
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
     Also in CESifo Working Paper Series, CESifo (2006) View citations (4)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2006) View citations (4)
     See also Journal Article in Journal of the American Statistical Association (2009)

2005

122. Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (29)
     Also in CESifo Working Paper Series, CESifo (2005) View citations (30)
     Working Papers, Queen Mary University of London, School of Economics and Finance (2005) View citations (29)
123. Firm Heterogeneity and Credit Risk Diversification
     CESifo Working Paper Series, CESifo View citations (22)
     See also Journal Article in Journal of Empirical Finance (2008)
124. Global Business Cycles and Credit Risk
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
     Also in CESifo Working Paper Series, CESifo (2005) View citations (13)
     See also Chapter (2007)
125. Market Efficiency Today
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (20)
126. Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
     Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (12)
     CESifo Working Paper Series, CESifo (2004) View citations (9)
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (9)
127. National and Global Macroeconometric Modelling Using GVAR
     Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
128. 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)
129. Survey Expectations
     CESifo Working Paper Series, CESifo View citations (10)
     Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (12)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (32)
     See also Chapter (2006)
130. Testing Slope Homogeneity in Large Panels
     CESifo Working Paper Series, CESifo View citations (18)
     Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (11)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (9)
     See also Journal Article in Journal of Econometrics (2008)
131. The Forecasing time series subject to multiple structure breaks
     Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
132. 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)
133. Unit Roots and Cointegration in Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (145)
     Also in CESifo Working Paper Series, CESifo (2005) View citations (146)
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (146)
     Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (140)
134. 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

135. A Pair-Wise Approach to Testing for Output and Growth Convergence
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (6)
     Also in CESifo Working Paper Series, CESifo (2004) View citations (6)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (10)
     See also Journal Article in Journal of Econometrics (2007)
136. Econometric Issues in the Analysis of Contagion
     CESifo Working Paper Series, CESifo View citations (16)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (14)
     Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (9)
     See also Journal Article in Journal of Economic Dynamics and Control (2007)
137. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
     CESifo Working Paper Series, CESifo View citations (66)
     See also Journal Article in Econometrica (2006)
138. Forecasting Time Series Subject to Multiple Structural Breaks
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (32)
     Also in CESifo Working Paper Series, CESifo (2004) View citations (20)
     IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (17)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (21)
     See also Journal Article in Review of Economic Studies (2006)
139. General Diagnostic Tests for Cross Section Dependence in Panels
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (2929)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (1487)
     CESifo Working Paper Series, CESifo (2004) View citations (2918)
     See also Journal Article in Empirical Economics (2021)
140. Random Coefficient Panel Data Models
     IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (44)
     Also in CESifo Working Paper Series, CESifo (2004) View citations (47)
     IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (47)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations (31)
141. Real Time Econometrics
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
     Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (4)
     CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (6)
     CESifo Working Paper Series, CESifo (2004) View citations (4)
     See also Journal Article in Econometric Theory (2005)
142. Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
     Also in CESifo Working Paper Series, CESifo (2003) View citations (2)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (3)
     See also Journal Article in Journal of Econometrics (2005)

2003

143. A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (213)
     See also Journal Article in Journal of Applied Econometrics (2007)
144. Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (37)
     Also in CESifo Working Paper Series, CESifo (2003) View citations (19)
145. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?
     CESifo Working Paper Series, CESifo View citations (3)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (2)
     See also Journal Article in International Journal of Forecasting (2004)
146. Macroeconomic Dynamics and Credit Risk: A Global Perspective
     CESifo Working Paper Series, CESifo View citations (25)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (31)
     Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
     See also Journal Article in Journal of Money, Credit and Banking (2006)
147. On The Panel Unit Root Tests Using Nonlinear Instrumental Variables
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (44)
148. 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

149. Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
     Computing in Economics and Finance 2002, Society for Computational Economics View citations (2)
150. 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
151. Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy
     Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (61)
     Also in CESifo Working Paper Series, CESifo (2000) View citations (2)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (22)
152. Market Timing and Return Prediction under Model Instability
     FMG Discussion Papers, Financial Markets Group View citations (138)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (155)
     See also Journal Article in Journal of Empirical Finance (2002)

2001

153. A long run structural macroeconometric model of the UK
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (30)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1998) View citations (10)
     See also Journal Article in Economic Journal (2003)
154. Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
     Computing in Economics and Finance 2001, Society for Computational Economics View citations (18)
     Also in CESifo Working Paper Series, CESifo (2000) View citations (14)
     Working Papers, Banco de España (2000) View citations (12)
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2000) View citations (82)
     See also Journal Article in Econometric Theory (2005)
155. Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (8)
     See also Journal Article in Journal of the American Statistical Association (2003)

2000

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

1999

159. A Recursive Modelling Approach to Predicting UK Stock Returns
     FMG Discussion Papers, Financial Markets Group
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1996) View citations (5)
     See also Journal Article in Economic Journal (2000)
160. 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)
161. Bounds Testing Approaches to the Analysis of Long Run Relationships
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (88)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1999) View citations (84)
162. Economic and Statistical Measures of Forecast Accuracy
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (27)
163. Long-Run Structural Modelling
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (12)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (57)
     See also Journal Article in Econometric Reviews (2002)
164. 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)
165. Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (84)
166. Non-nested Hypothesis Testing: An Overview
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (16)
167. On Aggregation of Linear Dynamic Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
168. Structural analysis of vector error correction models with exogenous I(1) variables
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (11)
     See also Structural analysis of vector error correction models with exogenous I(1) variables, Journal of Econometrics, Elsevier View citations (435)
     Structural analysis of vector error correction models with exogenous I(1) variables (first version), Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (17)
     Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables, Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (64)

1998

169. 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)
170. 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)
171. Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (33)
172. 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)
173. Cross-sectional Aggregation of Non-linear Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
     See also Journal Article in Journal of Econometrics (2000)
174. Economic Trends and Macroeconomic Policies in Post-revolutionary Iran
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
175. Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
     See also Journal Article in Journal of Econometrics (2002)
176. Optimal Consumption Decisions under Social Interactions
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
177. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
     Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (104)
178. Structural Analysis of Cointegrating VARs
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (182)
     See also Journal Article in Journal of Economic Surveys (1998)

1997

179. Diagnostics for IV Regressions
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
180. Generalised Impulse Response Analysis in Linear Multivariate Models
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (65)
     See also Journal Article in Economics Letters (1998)
181. Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (84)
182. Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
     See also Software Item (1997)

1996

183. A Decision_Theoretic Approach to Forecast Evaluation
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (28)
184. Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model
     Working Papers, Economic Research Forum View citations (11)
     Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (16)
     See also Journal Article in Journal of Applied Econometrics (1997)
185. Limited-dependent rational expectations models with jumps
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (4)
186. Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (34)
     See also Software Item (1997)
187. Stochastic Growth
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (42)
188. Testing for the 'Existence of a Long-run Relationship'
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (249)
189. The Role of Economic Theory in Modelling the Long Run
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (15)
     See also Journal Article in Economic Journal (1997)

1995

190. 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)
191. A Floor and Ceiling Model of U.S. Output
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
     See also Journal Article in Journal of Economic Dynamics and Control (1997)
192. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (314)
193. Decision-Making in the Presence of Heterogeneous Information and Social Interactions
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
     See also Journal Article in International Economic Review (1998)
194. Dynamic Linear Models for Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (52)
195. 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)
196. Iranian Economy During the Pahlavi Era
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
197. Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (139)
     See also Software Item (1994)
198. New Directions in Applied Macroeconomic Modelling
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
199. Planning and Macroeconomic Stabilization in Iran
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
200. Testing for Unit Roots in Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (307)
     See also Journal Article in Journal of Econometrics (2003)
201. The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1993

202. Cointegration and Direct Tests of the Rational Expectations Hypothesis
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
203. Cointegration and Speed of Convergence to Equilibrium
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
     See also Journal Article in Journal of Econometrics (1996)
204. Equilibrium Asset Pricing Models and Predictability of Excess Returns
     UCLA Economics Working Papers, UCLA Department of Economics View citations (2)
205. 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)
206. Forecasting Ultimate Resource Recovery
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See also Journal Article in International Journal of Forecasting (1995)
207. Limited-Dependaent Rational Expectations Models with Future Expectations
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
     See also Journal Article in Journal of Economic Dynamics and Control (1995)
208. Limited-Dependent Rational Expectations Models with Stochastic Thresholds
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
     See also Journal Article in Economics Letters (1996)
209. The Natural Rate Hypothesis and its Testable Implications
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)

1992

210. A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See also Journal Article in Economics Letters (1994)
211. 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)
212. 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)
213. Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See also Journal Article in Journal of Business & Economic Statistics (1994)
214. Estimating Long-Run Relationships From Dynamic Heterogeneous Panels
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (130)
     See also Journal Article in Journal of Econometrics (1995)
215. Forecasting Stock Returns
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
216. Oil Investment in the North Sea
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     Also in Working Papers, Queen Mary University of London, School of Economics and Finance (1990) View citations (1)
     See also Journal Article in Economic Modelling (1994)
217. The Interaction Between Theory and Observation in Economics
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
218. The Role of Sectoral Interactions in Wage Determination in the UK Economy
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
     See also Journal Article in Economic Journal (1993)
219. Theory and Evidence in Economics
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
220. 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

221. An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model
     Working Papers, California Los Angeles - Applied Econometrics View citations (1)
     See also Journal Article in Economic Journal (1992)
222. Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone
     UCLA Economics Working Papers, UCLA Department of Economics View citations (6)
     See also Journal Article in Journal of Econometrics (1992)
223. THE IRANIAN FOREIGN EXCHANGE POLICY AND THE BLACK MARKET FOR DOLLARS
     Working Papers, California Los Angeles - Applied Econometrics

1990

224. A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
     Working Papers, California Los Angeles - Applied Econometrics View citations (9)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (10)
     See also Journal Article in Journal of Business & Economic Statistics (1992)
225. ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT
     Working Papers, Tilburg - Center for Economic Research View citations (1)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (2)
     Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (2)
     Working Papers, California Los Angeles - Applied Econometrics (1990) View citations (1)
     Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
226. ESTIMATING LIMITED-DEPENDENCE RATIONAL EXOECTATIONS MODELS
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
227. ESTIMATING LIMITED-DEPENDENT RATIONAL EXPECTATIONS MODELS
     Working Papers, California Los Angeles - Applied Econometrics View citations (3)
228. EXPECTATIONS IN ECONOMICS
     Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
229. PERSISTENCE, COINTEGRATION AND AGGREGATION: A DISAGGREGATED ANALYSIS OF OUTPUT FLUCTUATIONS IN THE U.S. ECONOMY
     Working Papers, California Los Angeles - Applied Econometrics View citations (5)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (1)
     See also Journal Article in Journal of Econometrics (1993)
230. RATIONAL EXPECTATIONS IN DISAGGREGATED MODELS: AN EMPIRICAL ANALYSIS OF OPEC'S BEHAVIOR
     Working Papers, California Los Angeles - Applied Econometrics
231. THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
     Working Papers, California Los Angeles - Applied Econometrics View citations (1)
     Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990)

1989

232. A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS
     Working Papers, California Los Angeles - Applied Econometrics View citations (1)
     See also Journal Article in Journal of Econometrics (1993)
233. ESTIMATION OF SIMPLE CLASS OF MULTIVARIATE RATIONAL EXPECTATIONS MODELS: A TEST OF THE NEW CLASSICAL MODEL AT A SECTORAL LEVEL
     Working Papers, California Los Angeles - Applied Econometrics
     See also Journal Article in Empirical Economics (1991)
234. JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
     Working Papers, California Los Angeles - Applied Econometrics View citations (3)
235. 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

236. Aggregation Bias and Labor Demand Equations for the U.K. Economy
     UCLA Economics Working Papers, UCLA Department of Economics View citations (3)
237. An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
     UCLA Economics Working Papers, UCLA Department of Economics
     See also Journal Article in Economic Journal (1990)
238. Econometric Analysis of Aggregation in the Context of Linear Prediction Models
     UCLA Economics Working Papers, UCLA Department of Economics View citations (7)
     See also Journal Article in Econometrica (1989)
239. Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models
     UCLA Economics Working Papers, UCLA Department of Economics

1987

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

Undated

241. 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
   See also Working Paper (2021)
2. Identification and estimation of categorical random coefficient models
   Empirical Economics, 2023, 64, (6), 2543-2588
   See also Working Paper (2023)
3. Identifying the effects of sanctions on the Iranian economy using newspaper coverage
   Journal of Applied Econometrics, 2023, 38, (3), 271-294
   See also Working Paper (2021)
4. Reprint of: Testing for unit roots in heterogeneous panels
   Journal of Econometrics, 2023, 234, (S), 56-69
5. Revisiting the Great Ratios Hypothesis
   Oxford Bulletin of Economics and Statistics, 2023, 85, (5), 1023-1047
   See also Working Paper (2023)
6. Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
   IMF Economic Review, 2023, 71, (2), 474-508
   See also Working Paper (2022)

2022

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

2021

11. A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
    Journal of International Money and Finance, 2021, 119, (C) View citations (13)
    See also Working Paper (2020)
12. Detection of units with pervasive effects in large panel data models
    Journal of Econometrics, 2021, 221, (2), 510-541 View citations (1)
13. Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices
    Journal of Applied Econometrics, 2021, 36, (1), 18-44 View citations (22)
    See also Working Paper (2019)
14. Estimation and inference in spatial models with dominant units
    Journal of Econometrics, 2021, 221, (2), 591-615 View citations (1)
    See also Working Paper (2019)
15. General diagnostic tests for cross-sectional dependence in panels
    Empirical Economics, 2021, 60, (1), 13-50 View citations (127)
    See also Working Paper (2004)
16. Long-term macroeconomic effects of climate change: A cross-country analysis
    Energy Economics, 2021, 104, (C) View citations (26)
    See also Working Paper (2019)
17. Measurement of factor strength: Theory and practice
    Journal of Applied Econometrics, 2021, 36, (5), 587-613 View citations (6)
    See also Working Paper (2020)

2020

18. Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
    Journal of Applied Econometrics, 2020, 35, (3), 294-314 View citations (13)
    See also Working Paper (2018)
19. Correction to: Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2020, 82, (2), 380-380
20. Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
    Journal of Business & Economic Statistics, 2020, 38, (2), 428-442
    See also Working Paper (2016)
21. Econometric analysis of production networks with dominant units
    Journal of Econometrics, 2020, 219, (2), 507-541 View citations (14)
    See also Working Paper (2016)
22. Uncertainty and Economic Activity: A Multicountry Perspective
    (Emerging market business cycles: The cycle is the trend)
    Review of Financial Studies, 2020, 33, (8), 3393-3445 View citations (12)
    See also Working Paper (2018)

2019

23. A Bayesian analysis of linear regression models with highly collinear regressors
    Econometrics and Statistics, 2019, 11, (C), 1-21
24. A multiple testing approach to the regularisation of large sample correlation matrices
    Journal of Econometrics, 2019, 208, (2), 507-534 View citations (18)
    See also Working Paper (2015)
25. Exponent of Cross-sectional Dependence for Residuals
    Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 46-102 View citations (10)
    See also Working Paper (2018)
26. Mean group estimation in presence of weakly cross-correlated estimators
    Economics Letters, 2019, 175, (C), 101-105 View citations (14)
    See also Working Paper (2018)

2018

27. A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models
    Econometrica, 2018, 86, (4), 1479-1512 View citations (30)
    See also Working Paper (2016)
28. Estimation of time-invariant effects in static panel data models
    Econometric Reviews, 2018, 37, (10), 1137-1171 View citations (17)
    See also Working Paper (2014)
29. Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors
    Journal of Applied Econometrics, 2018, 33, (6), 816-836 View citations (20)
30. Rising Public Debt to GDP Can Harm Economic Growth
    Economic Letter, 2018, 13, (3), 1-4 View citations (4)
31. Tests of Policy Interventions in DSGE Models
    Oxford Bulletin of Economics and Statistics, 2018, 80, (3), 457-484 View citations (1)
    See also Working Paper (2017)
32. To Pool or Not to Pool: Revisited
    Oxford Bulletin of Economics and Statistics, 2018, 80, (2), 185-217 View citations (2)
    See also Working Paper (2017)

2017

33. Exponential class of dynamic binary choice panel data models with fixed effects
    Econometric Reviews, 2017, 36, (6-9), 898-927 View citations (8)
    See also Working Paper (2012)
34. Is There a Debt-Threshold Effect on Output Growth?
    The Review of Economics and Statistics, 2017, 99, (1), 135-150 View citations (120)
    See also Working Paper (2015)
35. Oil prices and the global economy: Is it different this time around?
    Energy Economics, 2017, 65, (C), 315-325 View citations (68)
    See also Working Paper (2016)

2016

36. A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence
    Journal of Applied Econometrics, 2016, 31, (1), 249-280 View citations (80)
    See also Working Paper (2014)
37. A multi-country approach to forecasting output growth using PMIs
    Journal of Econometrics, 2016, 192, (2), 349-365 View citations (23)
    See also Working Paper (2014)
38. Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing
    Research in Economics, 2016, 70, (2), 262-280 View citations (37)
    See also Working Paper (2014)
39. Country-specific oil supply shocks and the global economy: A counterfactual analysis
    Energy Economics, 2016, 59, (C), 382-399 View citations (61)
    See also Working Paper (2015)
40. Cross‐Sectional Dependence in Panel Data Models: A Special Issue
    Journal of Applied Econometrics, 2016, 31, (1), 1-3 View citations (7)
41. Exponent of Cross‐Sectional Dependence: Estimation and Inference
    Journal of Applied Econometrics, 2016, 31, (6), 929-960 View citations (65)
    See also Working Paper (2012)
42. THEORY AND PRACTICE OF GVAR MODELLING
    Journal of Economic Surveys, 2016, 30, (1), 165-197 View citations (86)
    See also Working Paper (2014)

2015

43. Testing Weak Cross-Sectional Dependence in Large Panels
    Econometric Reviews, 2015, 34, (6-10), 1089-1117 View citations (421)
    See also Working Paper (2012)

2014

44. AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS
    Journal of Applied Econometrics, 2014, 29, (1), 1-21 View citations (60)
    See also Working Paper (2012)
45. Aggregation in large dynamic panels
    Journal of Econometrics, 2014, 178, (P2), 273-285 View citations (30)
    See also Working Paper (2011)
46. Constructing Multi-Country Rational Expectations Models
    Oxford Bulletin of Economics and Statistics, 2014, 76, (6), 812-840 View citations (19)
47. Signs of impact effects in time series regression models
    Economics Letters, 2014, 122, (2), 150-153 View citations (21)
    See also Working Paper (2013)

2013

48. DISTINGUISHED AUTHORS
    Journal of Applied Econometrics, 2013, 28, (5), 901-902
49. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
    Econometric Reviews, 2013, 32, (5-6), 592-649 View citations (83)
    See also Working Paper (2010)
50. Oil exports and the Iranian economy
    The Quarterly Review of Economics and Finance, 2013, 53, (3), 221-237 View citations (55)
    See also Working Paper (2010)
51. On Identification of Bayesian DSGE Models
    Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 View citations (55)
    See also Working Paper (2011)
52. Optimal forecasts in the presence of structural breaks
    Journal of Econometrics, 2013, 177, (2), 134-152 View citations (86)
53. Panel unit root tests in the presence of a multifactor error structure
    Journal of Econometrics, 2013, 175, (2), 94-115 View citations (122)
    See also Working Paper (2008)

2012

54. China's Emergence in the World Economy and Business Cycles in Latin America
    Economía Journal, 2012, Volume 12 Number 2, (Spring 2012), 1-75 View citations (58)
    See also Working Paper (2012)
55. Diagnostic Tests of Cross‐section Independence for Limited Dependent Variable Panel Data Models
    Oxford Bulletin of Economics and Statistics, 2012, 74, (2), 253-277 View citations (27)
56. Oil Export and the Economy of Iran (in Persian)
    Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2012, 4, (12), 1-18
57. On the interpretation of panel unit root tests
    Economics Letters, 2012, 116, (3), 545-546 View citations (47)
58. 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

59. BEYOND THE DSGE STRAITJACKET-super-1
    Manchester School, 2011, 79, (s2), 5-16 View citations (8)
60. Forecast Combination Across Estimation Windows
    Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 View citations (71)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 (2011) View citations (72)
61. Infinite-dimensional VARs and factor models
    Journal of Econometrics, 2011, 163, (1), 4-22 View citations (91)
    See also Working Paper (2009)
62. Journal of Applied Econometrics distinguished authors
    Journal of Applied Econometrics, 2011, 26, (3), 545-546
    Also in Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010)
    Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010)
    Journal of Applied Econometrics, 2001, 16, (5), 653-654 (2001)
63. Large panels with common factors and spatial correlation
    Journal of Econometrics, 2011, 161, (2), 182-202 View citations (350)
    See also Working Paper (2011)
64. Lumpy Price Adjustments: A Microeconometric Analysis
    Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 View citations (22)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 (2011) View citations (18)
    See also Working Paper (2007)
65. Panels with non-stationary multifactor error structures
    Journal of Econometrics, 2011, 160, (2), 326-348 View citations (416)
    See also Working Paper (2010)
66. The spatial and temporal diffusion of house prices in the UK
    Journal of Urban Economics, 2011, 69, (1), 2-23 View citations (131)
    See also Working Paper (2010)
67. Variable selection, estimation and inference for multi-period forecasting problems
    Journal of Econometrics, 2011, 164, (1), 173-187 View citations (69)
68. Weak and strong cross‐section dependence and estimation of large panels
    Econometrics Journal, 2011, 14, C45-C90 View citations (249)
    Also in Econometrics Journal, 2011, 14, (1), C45-C90 (2011) View citations (345)
    See also Working Paper (2009)

2010

69. A spatio-temporal model of house prices in the USA
    Journal of Econometrics, 2010, 158, (1), 160-173 View citations (230)
    See also Working Paper (2006)
70. Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
    Economic Modelling, 2010, 27, (6), 1398-1416 View citations (33)
    See also Working Paper (2010)

2009

71. Announcement
    Journal of Applied Econometrics, 2009, 24, (5), 865-865
72. Forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 642-675 View citations (123)
    See also Working Paper (2008)
73. Identification of New Keynesian Phillips Curves from a Global Perspective
    Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 View citations (63)
    Also in Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 (2009) View citations (8)
    See also Working Paper (2008)
74. In memory of Clive Granger: an advisory board member of the journal
    Journal of Applied Econometrics, 2009, 24, (6), 871-873
75. 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)
76. Model averaging in risk management with an application to futures markets
    Journal of Empirical Finance, 2009, 16, (2), 280-305 View citations (22)
    See also Working Paper (2008)
77. Pairwise Tests of Purchasing Power Parity
    Econometric Reviews, 2009, 28, (6), 495-521 View citations (53)
78. Rejoinder to comments on forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 703-715 View citations (103)
79. Testing Dependence Among Serially Correlated Multicategory Variables
    Journal of the American Statistical Association, 2009, 104, (485), 325-337 View citations (160)
    See also Working Paper (2006)

2008

80. A bias-adjusted LM test of error cross-section independence
    Econometrics Journal, 2008, 11, (1), 105-127 View citations (358)
    See also Working Paper (2006)
81. Econometric analysis of structural systems with permanent and transitory shocks
    Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 View citations (73)
    See also Working Paper (2008)
82. Firm heterogeneity and credit risk diversification
    Journal of Empirical Finance, 2008, 15, (4), 583-612 View citations (20)
    See also Working Paper (2005)
83. Forecasting the Swiss economy using VECX models: An exercise in forecast combination across models and observation windows
    National Institute Economic Review, 2008, 203, 91-108 View citations (1)
    Also in National Institute Economic Review, 2008, 203, (1), 91-108 (2008) View citations (23)
    See also Working Paper (2008)
84. March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors
    Journal of Applied Econometrics, 2008, 23, (3), 391-393
85. Testing slope homogeneity in large panels
    Journal of Econometrics, 2008, 142, (1), 50-93 View citations (699)
    See also Working Paper (2005)

2007

86. A pair-wise approach to testing for output and growth convergence
    Journal of Econometrics, 2007, 138, (1), 312-355 View citations (195)
    See also Working Paper (2004)
87. A simple panel unit root test in the presence of cross-section dependence
    Journal of Applied Econometrics, 2007, 22, (2), 265-312 View citations (3338)
    See also Working Paper (2003)
88. Econometric issues in the analysis of contagion
    Journal of Economic Dynamics and Control, 2007, 31, (4), 1245-1277 View citations (165)
    See also Working Paper (2004)
89. Exploring the international linkages of the euro area: a global VAR analysis
    Journal of Applied Econometrics, 2007, 22, (1), 1-38 View citations (708)
    See also Working Paper (2006)
90. Heterogeneity and cross section dependence in panel data models: theory and applications introduction
    Journal of Applied Econometrics, 2007, 22, (2), 229-232 View citations (85)
91. Learning, Structural Instability, and Present Value Calculations
    Econometric Reviews, 2007, 26, (2-4), 253-288 View citations (13)
    See also Working Paper (2006)
92. Long Run Macroeconomic Relations in the Global Economy
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2007, 1, 1-20 View citations (103)
    See also Working Paper (2007)
93. Selection of estimation window in the presence of breaks
    Journal of Econometrics, 2007, 137, (1), 134-161 View citations (281)
94. What if the UK or Sweden had joined the euro in 1999? An empirical evaluation using a Global VAR
    International Journal of Finance & Economics, 2007, 12, (1), 55-87 View citations (108)

2006

95. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
    Econometrica, 2006, 74, (4), 967-1012 View citations (2384)
    See also Working Paper (2004)
96. Forecasting Time Series Subject to Multiple Structural Breaks
    Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations (217)
    See also Working Paper (2004)
97. MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE*
    Manchester School, 2006, 74, (s1), 24-49 View citations (104)
    See also Working Paper (2006)
98. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 View citations (151)
    See also Working Paper (2003)

2005

99. ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
    Econometric Theory, 2005, 21, (4), 795-837 View citations (170)
    See also Working Paper (2001)
100. REAL-TIME ECONOMETRICS
     Econometric Theory, 2005, 21, (1), 212-231 View citations (22)
     See also Working Paper (2004)
101. Small sample properties of forecasts from autoregressive models under structural breaks
     Journal of Econometrics, 2005, 129, (1-2), 183-217 View citations (187)
     See also Working Paper (2004)
102. 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

103. How costly is it to ignore breaks when forecasting the direction of a time series?
     International Journal of Forecasting, 2004, 20, (3), 411-425 View citations (91)
     See also Working Paper (2003)
104. Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
     Journal of Business & Economic Statistics, 2004, 22, 129-162 View citations (674)
     See also Working Paper (2010)
105. Rejoinder
     Journal of Business & Economic Statistics, 2004, 22, 175-181

2003

106. A Long run structural macroeconometric model of the UK
     Economic Journal, 2003, 113, (487), 412-455 View citations (118)
     See also Working Paper (2001)
107. Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
     Economic Modelling, 2003, 20, (2), 383-415 View citations (41)
108. Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
     Journal of the American Statistical Association, 2003, 98, 829-838 View citations (56)
     See also Working Paper (2001)
109. Introducing a replication section
     Journal of Applied Econometrics, 2003, 18, (1), 111-111 View citations (3)
110. Journal of applied econometrics scholars programme
     Journal of Applied Econometrics, 2003, 18, (5), 619-619 View citations (1)
111. Testing for unit roots in heterogeneous panels
     Journal of Econometrics, 2003, 115, (1), 53-74 View citations (6120)
     See also Working Paper (1995)

2002

112. LONG-RUN STRUCTURAL MODELLING
     Econometric Reviews, 2002, 21, (1), 49-87 View citations (115)
     See also Working Paper (1999)
113. Market timing and return prediction under model instability
     Journal of Empirical Finance, 2002, 9, (5), 495-510 View citations (157)
     See also Working Paper (2002)
114. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
     Journal of Econometrics, 2002, 109, (1), 107-150 View citations (259)
     See also Working Paper (1998)

2001

115. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
     Journal of Applied Econometrics, 2001, 16, (3), 197-202 View citations (7)
116. Bounds testing approaches to the analysis of level relationships
     Journal of Applied Econometrics, 2001, 16, (3), 289-326 View citations (6261)
117. Journal of Applied Econometrics Conference Sponsorship Grants
     Journal of Applied Econometrics, 2001, 16, (4), 561-561
118. Life-cycle consumption under social interactions
     Journal of Economic Dynamics and Control, 2001, 25, (1-2), 35-83 View citations (19)

2000

119. A Recursive Modelling Approach to Predicting UK Stock Returns
     Economic Journal, 2000, 110, (460), 159-91 View citations (126)
     See also Working Paper (1999)
120. Cross-sectional aggregation of non-linear models
     Journal of Econometrics, 2000, 95, (2), 285-331 View citations (38)
     See also Working Paper (1998)
121. Life and Work of John Richard Nicholas Stone 1913-1991
     Economic Journal, 2000, 110, (461), F146-65 View citations (3)
122. 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)
123. Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
     Journal of Economic Dynamics and Control, 2000, 24, (3), 325-346 View citations (6)

1999

124. 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)
125. Diagnostics for IV Regressions
     Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 255-281 View citations (44)
     See also Working Paper (1997)
126. Stochastic Growth Models and Their Econometric Implications
     Journal of Economic Growth, 1999, 4, (2), 139-83 View citations (88)

1998

127. Decision Making in the Presence of Heterogeneous Information and Social Interactions
     International Economic Review, 1998, 39, (4), 1027-52 View citations (13)
     See also Working Paper (1995)
128. Generalized impulse response analysis in linear multivariate models
     Economics Letters, 1998, 58, (1), 17-29 View citations (2640)
     See also Working Paper (1997)
129. Structural Analysis of Cointegrating VARs
     Journal of Economic Surveys, 1998, 12, (5), 471-505 View citations (175)
     See also Working Paper (1998)

1997

130. A floor and ceiling model of US output
     Journal of Economic Dynamics and Control, 1997, 21, (4-5), 661-695 View citations (123)
     See also Working Paper (1995)
131. Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
     Journal of Applied Econometrics, 1997, 12, (5), 586-87
132. Growth and Convergence in Multi-country Empirical Stochastic Solow Model
     Journal of Applied Econometrics, 1997, 12, (4), 357-92 View citations (313)
     See also Working Paper (1996)
133. Multivariate Linear Rational Expectations Models
     Econometric Theory, 1997, 13, (6), 877-888 View citations (71)
134. 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
135. 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
136. The Role of Economic Theory in Modelling the Long Run
     Economic Journal, 1997, 107, (440), 178-91 View citations (322)
     See also Working Paper (1996)

1996

137. Cointegration and speed of convergence to equilibrium
     Journal of Econometrics, 1996, 71, (1-2), 117-143 View citations (303)
     See also Working Paper (1993)
138. Impulse response analysis in nonlinear multivariate models
     Journal of Econometrics, 1996, 74, (1), 119-147 View citations (2582)
139. Limited-dependent rational expectations models with stochastic thresholds
     Economics Letters, 1996, 51, (3), 267-276 View citations (11)
     See also Working Paper (1993)

1995

140. Estimating long-run relationships from dynamic heterogeneous panels
     Journal of Econometrics, 1995, 68, (1), 79-113 View citations (2656)
     See also Working Paper (1992)
141. Forecasting ultimate resource recovery
     International Journal of Forecasting, 1995, 11, (4), 543-555 View citations (21)
     See also Working Paper (1993)
142. Limited-dependent rational expectations models with future expectations
     Journal of Economic Dynamics and Control, 1995, 19, (8), 1325-1353 View citations (14)
     See also Working Paper (1993)
143. Predictability of Stock Returns: Robustness and Economic Significance
     Journal of Finance, 1995, 50, (4), 1201-28 View citations (471)
144. The role of theory in econometrics
     Journal of Econometrics, 1995, 67, (1), 61-79 View citations (37)

1994

145. A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
     Journal of Applied Econometrics, 1994, 9, (S), S95-112 View citations (50)
146. A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method
     Econometrica, 1994, 62, (3), 705-10 View citations (88)
147. A generalization of the non-parametric Henriksson-Merton test of market timing
     Economics Letters, 1994, 44, (1-2), 1-7 View citations (41)
     See also Working Paper (1992)
148. Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods
     Journal of Business & Economic Statistics, 1994, 12, (1), 11-21 View citations (11)
     See also Working Paper (1992)
149. Oil investment in the North Sea
     Economic Modelling, 1994, 11, (3), 308-329 View citations (22)
     See also Working Paper (1992)

1993

150. A simulation approach to the problem of computing Cox's statistic for testing nonnested models
     Journal of Econometrics, 1993, 57, (1-3), 377-392 View citations (33)
     See also Working Paper (1989)
151. Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
     Ricerche Economiche, 1993, 47, (3), 293-322 View citations (66)
152. Persistence, cointegration, and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy
     Journal of Econometrics, 1993, 56, (1-2), 57-88 View citations (47)
     See also Working Paper (1990)
153. The Role of Sectoral Interactions in Wage Determination in the UK Economy
     Economic Journal, 1993, 103, (416), 21-55 View citations (34)
     See also Working Paper (1992)

1992

154. A Simple Nonparametric Test of Predictive Performance
     Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations (418)
     See also Working Paper (1990)
155. An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model
     Economic Journal, 1992, 102, (411), 388-401 View citations (20)
     See also Working Paper (1991)
156. Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
     Journal of Econometrics, 1992, 53, (1-3), 141-163 View citations (19)
     See also Working Paper (1991)
157. Nonlinear Dynamics and Econometrics: An Introduction
     Journal of Applied Econometrics, 1992, 7, (S), S1-7 View citations (25)
158. Persistence of Shocks and Their
     Economic Journal, 1992, 102, (411), 342-56 View citations (32)

1991

159. Costly Adjustment under Rational Expectations: A Generalization
     The Review of Economics and Statistics, 1991, 73, (2), 353-58 View citations (16)
160. Estimation of Simple Class of Multivariate Rational Expectations Models: A Test of the New Classical Model at a Sectoral Level
     Empirical Economics, 1991, 16, (2), 211-32 View citations (2)
     See also Working Paper (1989)

1990

161. 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)
162. An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
     Economic Journal, 1990, 100, (401), 367-90 View citations (54)
     See also Working Paper (1988)
163. Testing for Aggregation Bias in Linear Models
     Economic Journal, 1990, 100, (400), 137-50 View citations (34)

1989

164. A proof of the asymptotic validity of a test for perfect aggregation
     Economics Letters, 1989, 30, (1), 41-47 View citations (2)
165. Consistency of short-term and long-term expectations
     Journal of International Money and Finance, 1989, 8, (4), 511-516 View citations (6)
166. Econometric Analysis of Aggregation in the Context of Linear Prediction Models
     Econometrica, 1989, 57, (4), 861-88 View citations (75)
     See also Working Paper (1988)

1988

167. 4 The Role of Theory in Applied Econometrics
     The Economic Record, 1988, 64, (4), 336-339
168. On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder
     Economic Journal, 1988, 98, (391), 504-08 View citations (10)
169. Tests of non-nested linear regression models subject to linear restrictions
     Economics Letters, 1988, 27, (4), 341-348 View citations (10)

1987

170. Global and Partial Non-Nested Hypotheses and Asymptotic Local Power
     Econometric Theory, 1987, 3, (1), 69-97 View citations (14)

1986

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

1985

172. Evaluation of macroeconometric models
     Economic Modelling, 1985, 2, (2), 125-134 View citations (14)
173. Formation of Inflation Expectations in British Manufacturing Industries
     Economic Journal, 1985, 95, (380), 948-75 View citations (31)
174. 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

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

1983

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

1982

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

1981

181. 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
182. Identification of rational expectations models
     Journal of Econometrics, 1981, 16, (3), 375-398 View citations (46)
183. Pitfalls of testing non-nested hypotheses by the lagrange multiplier method
     Journal of Econometrics, 1981, 16, (1), 158-158 View citations (9)
     Also in Journal of Econometrics, 1981, 17, (3), 323-331 (1981) View citations (9)

1978

184. Testing Non-Nested Nonlinear Regression Models
     Econometrica, 1978, 46, (3), 677-94 View citations (79)

1976

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

1973

186. 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
187. 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 (264)

2012

2. Global and National Macroeconometric Modelling: A Long-Run Structural Approach
   OUP Catalogue, Oxford University Press View citations (26)
   Also in OUP Catalogue, Oxford University Press (2006) View citations (181)

Edited books

2013

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 (63)

2010

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

1999

3. Analysis of Panels and Limited Dependent Variable Models
   Cambridge Books, Cambridge University Press View citations (177)

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 (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 (80)
   See also Working Paper (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 (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 (90)
   See also Working Paper (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 (2)

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 (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 (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 (1995)

Editor

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