Details about Mohammad Hashem Pesaran

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

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Working Papers

1998

A Structural Cointegrating VAR Approach to Macroeconometric Modelling
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (21)
Also in Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh (1998) View citations (10)
Analytical and Numerical Solution of Finite-horizon Nonlinear Rational Expectations Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (34)
Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
Cross-sectional Aggregation of Non-linear Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
See also Journal Article Cross-sectional aggregation of non-linear models, Journal of Econometrics, Elsevier (2000) View citations (38) (2000)
Economic Trends and Macroeconomic Policies in Post-revolutionary Iran
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
See also Journal Article Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods, Journal of Econometrics, Elsevier (2002) View citations (288) (2002)
Optimal Consumption Decisions under Social Interactions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh View citations (109)
Structural Analysis of Cointegrating VARs
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (196)
See also Journal Article Structural Analysis of Cointegrating VARs, Journal of Economic Surveys, Wiley Blackwell (1998) View citations (189) (1998)

1997

Diagnostics for IV Regressions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
See also Journal Article Diagnostics for IV Regressions, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1999) View citations (45) (1999)
Generalised Impulse Response Analysis in Linear Multivariate Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (65)
See also Journal Article Generalized impulse response analysis in linear multivariate models, Economics Letters, Elsevier (1998) View citations (3192) (1998)
Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (106)
Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
See also Software Item GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems, QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1997) (1997)

1996

A Decision_Theoretic Approach to Forecast Evaluation
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (28)
Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model
Working Papers, Economic Research Forum View citations (12)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (18)
See also Journal Article Growth and Convergence in Multi-country Empirical Stochastic Solow Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997) View citations (324) (1997)
Limited-dependent rational expectations models with jumps
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (4)
Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (34)
See also Software Item GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation, QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1997) (1997)
Stochastic Growth
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (42)
Testing for the 'Existence of a Long-run Relationship'
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (265)
The Role of Economic Theory in Modelling the Long Run
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (15)
See also Journal Article The Role of Economic Theory in Modelling the Long Run, Economic Journal, Royal Economic Society (1997) View citations (356) (1997)

1995

A Discrete-Time Version of Target Zone Models with Jumps
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ (1995) View citations (5)
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (4)
A Floor and Ceiling Model of U.S. Output
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
See also Journal Article A floor and ceiling model of US output, Journal of Economic Dynamics and Control, Elsevier (1997) View citations (125) (1997)
An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (365)
Decision-Making in the Presence of Heterogeneous Information and Social Interactions
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
See also Journal Article Decision Making in the Presence of Heterogeneous Information and Social Interactions, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (13) (1998)
Dynamic Linear Models for Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (52)
Growth and Convergence: A Multi-Country Empirical Analysis of the Solow Growth Model
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)
Iranian Economy During the Pahlavi Era
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (140)
See also Software Item GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results, QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1994) (1994)
New Directions in Applied Macroeconomic Modelling
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
Planning and Macroeconomic Stabilization in Iran
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
Also in Working Papers, Economic Research Forum (1995) View citations (4)
Testing for Unit Roots in Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (312)
See also Journal Article Testing for unit roots in heterogeneous panels, Journal of Econometrics, Elsevier (2003) View citations (6849) (2003)
The Use of Recursive Model Selection Strategies in Forecasting Stock Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1993

Cointegration and Direct Tests of the Rational Expectations Hypothesis
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
Cointegration and Speed of Convergence to Equilibrium
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
See also Journal Article Cointegration and speed of convergence to equilibrium, Journal of Econometrics, Elsevier (1996) View citations (322) (1996)
Equilibrium Asset Pricing Models and Predictability of Excess Returns
UCLA Economics Working Papers, UCLA Department of Economics View citations (2)
Exchange Rate Unification, the Role of Markets and Planning in the Iranian Economic Reconstruction
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
Forecasting Ultimate Resource Recovery
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
See also Journal Article Forecasting ultimate resource recovery, International Journal of Forecasting, Elsevier (1995) View citations (22) (1995)
Limited-Dependaent Rational Expectations Models with Future Expectations
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
See also Journal Article Limited-dependent rational expectations models with future expectations, Journal of Economic Dynamics and Control, Elsevier (1995) View citations (14) (1995)
Limited-Dependent Rational Expectations Models with Stochastic Thresholds
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
See also Journal Article Limited-dependent rational expectations models with stochastic thresholds, Economics Letters, Elsevier (1996) View citations (11) (1996)
The Natural Rate Hypothesis and its Testable Implications
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (8)

1992

A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
See also Journal Article A generalization of the non-parametric Henriksson-Merton test of market timing, Economics Letters, Elsevier (1994) View citations (42) (1994)
A Generalised R2 Criterion for Regression Models Estimated by the Instrumental Variable Method
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
A Non-Nested Test of Level-Differenced versus Log-Differenced Stationary Models
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
See also Journal Article Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (10) (1994)
Estimating Long-Run Relationships From Dynamic Heterogeneous Panels
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (130)
See also Journal Article Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics, Elsevier (1995) View citations (2954) (1995)
Forecasting Stock Returns
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
Oil Investment in the North Sea
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
Also in Working Papers, Queen Mary University of London, School of Economics and Finance (1990) View citations (1)
See also Journal Article Oil investment in the North Sea, Economic Modelling, Elsevier (1994) View citations (22) (1994)
The Interaction Between Theory and Observation in Economics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (5)
The Role of Sectoral Interactions in Wage Determination in the UK Economy
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
See also Journal Article The Role of Sectoral Interactions in Wage Determination in the UK Economy, Economic Journal, Royal Economic Society (1993) View citations (36) (1993)
Theory and Evidence in Economics
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
Uncertainty and Irreversible Investment an Empirical Analysis of Development of Oil Fields in the UKCS
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (11)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1992) View citations (11)

1991

An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model
Working Papers, California Los Angeles - Applied Econometrics View citations (1)
See also Journal Article An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model, Economic Journal, Royal Economic Society (1992) View citations (20) (1992)
Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone
UCLA Economics Working Papers, UCLA Department of Economics View citations (6)
See also Journal Article Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone, Journal of Econometrics, Elsevier (1992) View citations (19) (1992)
THE IRANIAN FOREIGN EXCHANGE POLICY AND THE BLACK MARKET FOR DOLLARS
Working Papers, California Los Angeles - Applied Econometrics

1990

A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE
Working Papers, California Los Angeles - Applied Econometrics View citations (9)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (10)
See also Journal Article A Simple Nonparametric Test of Predictive Performance, Journal of Business & Economic Statistics, American Statistical Association (1992) View citations (468) (1992)
ALTERNATIVE APPROACHES TO TESTING NON-NESTED MODELS WITH AUTOCORRELATED DISTURBANCES: AN APPLICATION TO MODELS OF U.S. UNEMPLOYMENT
Working Papers, Tilburg - Center for Economic Research View citations (1)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
Working Papers, California Los Angeles - Applied Econometrics (1990) View citations (2)
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)
ESTIMATING LIMITED-DEPENDENCE RATIONAL EXOECTATIONS MODELS
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
ESTIMATING LIMITED-DEPENDENT RATIONAL EXPECTATIONS MODELS
Working Papers, California Los Angeles - Applied Econometrics View citations (3)
EXPECTATIONS IN ECONOMICS
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
PERSISTENCE, COINTEGRATION AND AGGREGATION: A DISAGGREGATED ANALYSIS OF OUTPUT FLUCTUATIONS IN THE U.S. ECONOMY
Working Papers, California Los Angeles - Applied Econometrics View citations (5)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (1)
See also Journal Article Persistence, cointegration, and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy, Journal of Econometrics, Elsevier (1993) View citations (47) (1993)
RATIONAL EXPECTATIONS IN DISAGGREGATED MODELS: AN EMPIRICAL ANALYSIS OF OPEC'S BEHAVIOR
Working Papers, California Los Angeles - Applied Econometrics
THE STATISTICAL AND ECONOMIC SIGNIFICANCE OF THE PREDICTABILITY OF EXCESS RETURNS ON COMMON STOCKS
Working Papers, California Los Angeles - Applied Econometrics View citations (1)
Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1990) View citations (1)

1989

A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS
Working Papers, California Los Angeles - Applied Econometrics View citations (1)
See also Journal Article A simulation approach to the problem of computing Cox's statistic for testing nonnested models, Journal of Econometrics, Elsevier (1993) View citations (34) (1993)
ESTIMATION OF SIMPLE CLASS OF MULTIVARIATE RATIONAL EXPECTATIONS MODELS: A TEST OF THE NEW CLASSICAL MODEL AT A SECTORAL LEVEL
Working Papers, California Los Angeles - Applied Econometrics
See also Journal Article Estimation of Simple Class of Multivariate Rational Expectations Models: A Test of the New Classical Model at a Sectoral Level, Empirical Economics, Springer (1991) View citations (2) (1991)
JOINT TEST OF NON-NESTED MODELS AND GENERAL ERRO SPECIFICATIONS
Working Papers, California Los Angeles - Applied Econometrics View citations (3)

1988

Aggregation Bias and Labor Demand Equations for the U.K. Economy
UCLA Economics Working Papers, UCLA Department of Economics View citations (3)
An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
UCLA Economics Working Papers, UCLA Department of Economics
See also Journal Article An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf, Economic Journal, Royal Economic Society (1990) View citations (57) (1990)
Econometric Analysis of Aggregation in the Context of Linear Prediction Models
UCLA Economics Working Papers, UCLA Department of Economics View citations (7)
See also Journal Article Econometric Analysis of Aggregation in the Context of Linear Prediction Models, Econometrica, Econometric Society (1989) View citations (77) (1989)
Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models
UCLA Economics Working Papers, UCLA Department of Economics

1987

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

Undated

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

Journal Articles

2025

Identifying and Exploiting Alpha in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors
Journal of Financial Econometrics, 2025, 23, (3), 103-126

2024

HIGH-DIMENSIONAL FORECASTING WITH KNOWN KNOWNS AND KNOWN UNKNOWNS
National Institute Economic Review, 2024, 267, 1-25
See also Working Paper High-Dimensional Forecasting with Known Knowns and Known Unknowns, Cambridge Working Papers in Economics (2024) (2024)

2023

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
Econometrics and Statistics, 2023, 26, (C), 17-30 View citations (1)
See also Working Paper Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios, CESifo Working Paper Series (2021) View citations (1) (2021)
Climate change and economic activity: evidence from US states
Oxford Open Economics, 2023, 2, 28-46 View citations (5)
See also Working Paper Climate Change and Economic Activity: Evidence from U.S. States, CESifo Working Paper Series (2022) View citations (5) (2022)
Identification and estimation of categorical random coefficient models
Empirical Economics, 2023, 64, (6), 2543-2588 View citations (1)
See also Chapter Identification and estimation of categorical random coefficient models, Advanced Studies in Theoretical and Applied Econometrics, 2024, 79-124 (2024) (2024)
Working Paper Identification and Estimation of Categorical Random Coefficient Models, Papers (2023) View citations (1) (2023)
Identifying the effects of sanctions on the Iranian economy using newspaper coverage
Journal of Applied Econometrics, 2023, 38, (3), 271-294 View citations (14)
See also Working Paper Identifying the Effects of Sanctions on the Iranian Economy Using Newspaper Coverage, CESifo Working Paper Series (2021) View citations (10) (2021)
Reprint of: Testing for unit roots in heterogeneous panels
Journal of Econometrics, 2023, 234, (S), 56-69
Revisiting the Great Ratios Hypothesis
Oxford Bulletin of Economics and Statistics, 2023, 85, (5), 1023-1047 View citations (1)
See also Working Paper Revisiting the Great Ratios Hypothesis, Globalization Institute Working Papers (2023) View citations (1) (2023)
Short T dynamic panel data models with individual, time and interactive effects
Journal of Applied Econometrics, 2023, 38, (6), 940-967 View citations (1)
Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe
IMF Economic Review, 2023, 71, (2), 474-508
See also Working Paper Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe, Cambridge Working Papers in Economics (2022) View citations (1) (2022)

2022

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

2021

A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Journal of International Money and Finance, 2021, 119, (C) View citations (19)
See also Working Paper A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model, Globalization Institute Working Papers (2020) View citations (24) (2020)
Detection of units with pervasive effects in large panel data models
Journal of Econometrics, 2021, 221, (2), 510-541 View citations (2)
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 (35)
See also Working Paper Estimation and inference for spatial models with heterogeneous coefficients: an application to U.S. house prices, CESifo Working Paper Series (2019) View citations (6) (2019)
Estimation and inference in spatial models with dominant units
Journal of Econometrics, 2021, 221, (2), 591-615 View citations (6)
See also Working Paper Estimation and inference in spatial models with dominant units, CESifo Working Paper Series (2019) (2019)
General diagnostic tests for cross-sectional dependence in panels
Empirical Economics, 2021, 60, (1), 13-50 View citations (370)
See also Working Paper General Diagnostic Tests for Cross Section Dependence in Panels, Cambridge Working Papers in Economics (2004) View citations (1920) (2004)
Long-term macroeconomic effects of climate change: A cross-country analysis
Energy Economics, 2021, 104, (C) View citations (94)
See also Working Paper Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis, Working Papers (2019) View citations (61) (2019)
Measurement of factor strength: Theory and practice
Journal of Applied Econometrics, 2021, 36, (5), 587-613 View citations (10)
See also Working Paper Measurement of Factor Strenght: Theory and Practice, CESifo Working Paper Series (2020) View citations (3) (2020)

2020

Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
Journal of Applied Econometrics, 2020, 35, (3), 294-314 View citations (24)
See also Working Paper Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models, CESifo Working Paper Series (2018) View citations (1) (2018)
Correction to: Exponent of Cross-sectional Dependence for Residuals
Sankhya B: The Indian Journal of Statistics, 2020, 82, (2), 380-380
Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Journal of Business & Economic Statistics, 2020, 38, (2), 428-442
See also Working Paper Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, CESifo Working Paper Series (2016) (2016)
Econometric analysis of production networks with dominant units
Journal of Econometrics, 2020, 219, (2), 507-541 View citations (18)
See also Working Paper Econometric Analysis of Production Networks with Dominant Units, CESifo Working Paper Series (2016) View citations (22) (2016)
Uncertainty and Economic Activity: A Multicountry Perspective
The Review of Financial Studies, 2020, 33, (8), 3393-3445 View citations (30)
See also Working Paper Uncertainty and Economic Activity: A Multi-Country Perspective, CEPR Discussion Papers (2018) View citations (20) (2018)

2019

A Bayesian analysis of linear regression models with highly collinear regressors
Econometrics and Statistics, 2019, 11, (C), 1-21 View citations (3)
A multiple testing approach to the regularisation of large sample correlation matrices
Journal of Econometrics, 2019, 208, (2), 507-534 View citations (24)
See also Working Paper A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices, Working Papers (2015) View citations (3) (2015)
Exponent of Cross-sectional Dependence for Residuals
Sankhya B: The Indian Journal of Statistics, 2019, 81, (1), 46-102 View citations (15)
See also Working Paper Exponent of Cross-sectional Dependence for Residuals, CESifo Working Paper Series (2018) (2018)
Mean group estimation in presence of weakly cross-correlated estimators
Economics Letters, 2019, 175, (C), 101-105 View citations (28)
See also Working Paper Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators, Globalization Institute Working Papers (2018) (2018)

2018

A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High‐Dimensional Linear Regression Models
Econometrica, 2018, 86, (4), 1479-1512 View citations (39)
See also Working Paper A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, Cambridge Working Papers in Economics (2016) View citations (1) (2016)
Estimation of time-invariant effects in static panel data models
Econometric Reviews, 2018, 37, (10), 1137-1171 View citations (25)
See also Working Paper Estimation of Time-invariant Effects in Static Panel Data Models, CESifo Working Paper Series (2014) View citations (21) (2014)
Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors
Journal of Applied Econometrics, 2018, 33, (6), 816-836 View citations (30)
Rising Public Debt to GDP Can Harm Economic Growth
Economic Letter, 2018, 13, (3), 1-4 View citations (6)
Tests of Policy Interventions in DSGE Models
Oxford Bulletin of Economics and Statistics, 2018, 80, (3), 457-484 View citations (1)
See also Working Paper Tests of Policy Interventions in DSGE Models, BCAM Working Papers (2017) (2017)
To Pool or Not to Pool: Revisited
Oxford Bulletin of Economics and Statistics, 2018, 80, (2), 185-217 View citations (4)
See also Working Paper To Pool or not to Pool: Revisited, Departmental Working Papers (2017) (2017)

2017

Exponential class of dynamic binary choice panel data models with fixed effects
Econometric Reviews, 2017, 36, (6-9), 898-927 View citations (9)
See also Working Paper An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects, IZA Discussion Papers (2012) View citations (1) (2012)
Is There a Debt-Threshold Effect on Output Growth?
The Review of Economics and Statistics, 2017, 99, (1), 135-150 View citations (174)
See also Working Paper Is There a Debt-threshold Effect on Output Growth?, Cambridge Working Papers in Economics (2015) View citations (25) (2015)
Oil prices and the global economy: Is it different this time around?
Energy Economics, 2017, 65, (C), 315-325 View citations (86)
See also Working Paper Oil Prices and the Global Economy: Is It Different This Time Around?, IMF Working Papers (2016) View citations (22) (2016)

2016

A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence
Journal of Applied Econometrics, 2016, 31, (1), 249-280 View citations (89)
See also Working Paper A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence, CESifo Working Paper Series (2014) View citations (2) (2014)
A multi-country approach to forecasting output growth using PMIs
Journal of Econometrics, 2016, 192, (2), 349-365 View citations (24)
See also Working Paper A Multi-Country Approach to Forecasting Output Growth Using PMIs, CESifo Working Paper Series (2014) View citations (7) (2014)
Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing
Research in Economics, 2016, 70, (2), 262-280 View citations (42)
See also Working Paper Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing, Birkbeck Working Papers in Economics and Finance (2014) View citations (7) (2014)
Country-specific oil supply shocks and the global economy: A counterfactual analysis
Energy Economics, 2016, 59, (C), 382-399 View citations (71)
See also Working Paper Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis, CESifo Working Paper Series (2015) View citations (16) (2015)
Cross‐Sectional Dependence in Panel Data Models: A Special Issue
Journal of Applied Econometrics, 2016, 31, (1), 1-3 View citations (8)
Exponent of Cross‐Sectional Dependence: Estimation and Inference
Journal of Applied Econometrics, 2016, 31, (6), 929-960 View citations (74)
See also Working Paper Exponent of Cross-sectional Dependence: Estimation and Inference, CESifo Working Paper Series (2012) View citations (27) (2012)
THEORY AND PRACTICE OF GVAR MODELLING
Journal of Economic Surveys, 2016, 30, (1), 165-197 View citations (106)
See also Working Paper Theory and Practice of GVAR Modeling, CESifo Working Paper Series (2014) View citations (34) (2014)

2015

Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
Journal of Econometrics, 2015, 188, (2), 393-420 View citations (866)
See also Working Paper Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors, Cambridge Working Papers in Economics (2013) View citations (66) (2013)
Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
Journal of Econometrics, 2015, 188, (1), 111-134 View citations (27)
Testing Weak Cross-Sectional Dependence in Large Panels
Econometric Reviews, 2015, 34, (6-10), 1089-1117 View citations (722)
See also Working Paper Testing Weak Cross-Sectional Dependence in Large Panels, IZA Discussion Papers (2012) View citations (18) (2012)

2014

AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS
Journal of Applied Econometrics, 2014, 29, (1), 1-21 View citations (67)
See also Working Paper An Empirical Growth Model for Major Oil Exporters, CESifo Working Paper Series (2012) View citations (17) (2012)
Aggregation in large dynamic panels
Journal of Econometrics, 2014, 178, (P2), 273-285 View citations (34)
See also Working Paper Aggregation in Large Dynamic Panels, IZA Discussion Papers (2011) View citations (7) (2011)
Constructing Multi-Country Rational Expectations Models
Oxford Bulletin of Economics and Statistics, 2014, 76, (6), 812-840 View citations (23)
Signs of impact effects in time series regression models
Economics Letters, 2014, 122, (2), 150-153 View citations (23)
See also Working Paper Signs of Impact Effects in Time Series Regression Models, CESifo Working Paper Series (2013) View citations (4) (2013)

2013

DISTINGUISHED AUTHORS
Journal of Applied Econometrics, 2013, 28, (5), 901-902
Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Econometric Reviews, 2013, 32, (5-6), 592-649 View citations (95)
See also Working Paper Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, Cambridge Working Papers in Economics (2010) View citations (23) (2010)
Oil exports and the Iranian economy
The Quarterly Review of Economics and Finance, 2013, 53, (3), 221-237 View citations (60)
See also Working Paper Oil Exports and the Iranian Economy, Working Papers (2010) View citations (27) (2010)
On Identification of Bayesian DSGE Models
Journal of Business & Economic Statistics, 2013, 31, (3), 300-314 View citations (58)
See also Working Paper On Identification of Bayesian DSGE Models, SIRE Discussion Papers (2011) View citations (7) (2011)
Optimal forecasts in the presence of structural breaks
Journal of Econometrics, 2013, 177, (2), 134-152 View citations (98)
Panel unit root tests in the presence of a multifactor error structure
Journal of Econometrics, 2013, 175, (2), 94-115 View citations (131)
See also Working Paper Panel Unit Root Tests in the Presence of a Multifactor Error Structure, Discussion Papers (2008) View citations (5) (2008)

2012

China's Emergence in the World Economy and Business Cycles in Latin America
Economía Journal, 2012, Volume 12 Number 2, (Spring 2012), 1-75 View citations (68)
See also Working Paper China's emergence in the world economy and business cycles in Latin America, LSE Research Online Documents on Economics (2012) View citations (2) (2012)
Diagnostic Tests of Cross‐section Independence for Limited Dependent Variable Panel Data Models
Oxford Bulletin of Economics and Statistics, 2012, 74, (2), 253-277 View citations (28)
Oil Export and the Economy of Iran (in Persian)
Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2012, 4, (12), 1-18
On the interpretation of panel unit root tests
Economics Letters, 2012, 116, (3), 545-546 View citations (55)
The Richard Stone Prize in Applied Econometrics
Journal of Applied Econometrics, 2012, 27, (7), 1211-1212
Also in Journal of Applied Econometrics, 2010, 25, (6), 1067-1068 (2010)
Journal of Applied Econometrics, 2009, 24, (5), 863-863 (2009)

2011

BEYOND THE DSGE STRAITJACKET-super-1
Manchester School, 2011, 79, (s2), 5-16 View citations (9)
Forecast Combination Across Estimation Windows
Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 View citations (79)
Also in Journal of Business & Economic Statistics, 2011, 29, (2), 307-318 (2011) View citations (78)
Infinite-dimensional VARs and factor models
Journal of Econometrics, 2011, 163, (1), 4-22 View citations (98)
See also Working Paper Infinite-dimensional VARs and factor models, Working Paper Series (2009) View citations (18) (2009)
Journal of Applied Econometrics distinguished authors
Journal of Applied Econometrics, 2011, 26, (3), 545-546
Also in Journal of Applied Econometrics, 2001, 16, (5), 653-654 (2001)
Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010)
Journal of Applied Econometrics, 2010, 25, (1), 195-195 (2010)
Large panels with common factors and spatial correlation
Journal of Econometrics, 2011, 161, (2), 182-202 View citations (382)
See also Working Paper Large panels with common factors and spatial correlation, Post-Print (2011) View citations (370) (2011)
Lumpy Price Adjustments: A Microeconometric Analysis
Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 View citations (21)
Also in Journal of Business & Economic Statistics, 2011, 29, (4), 529-540 (2011) View citations (25)
See also Working Paper Lumpy Price Adjustments, A Microeconometric Analysis, Cambridge Working Papers in Economics (2007) View citations (6) (2007)
Panels with non-stationary multifactor error structures
Journal of Econometrics, 2011, 160, (2), 326-348 View citations (489)
See also Working Paper Panels with nonstationary multifactor error structures, Post-Print (2010) View citations (15) (2010)
The spatial and temporal diffusion of house prices in the UK
Journal of Urban Economics, 2011, 69, (1), 2-23 View citations (138)
See also Working Paper Spatial and Temporal Diffusion of House Prices in the UK, CESifo Working Paper Series (2010) View citations (33) (2010)
Variable selection, estimation and inference for multi-period forecasting problems
Journal of Econometrics, 2011, 164, (1), 173-187 View citations (69)
Weak and strong cross‐section dependence and estimation of large panels
Econometrics Journal, 2011, 14, C45-C90 View citations (285)
Also in Econometrics Journal, 2011, 14, (1), C45-C90 (2011) View citations (372)
See also Working Paper Weak and Strong Cross Section Dependence and Estimation of Large Panels, Cambridge Working Papers in Economics (2009) View citations (51) (2009)

2010

A spatio-temporal model of house prices in the USA
Journal of Econometrics, 2010, 158, (1), 160-173 View citations (250)
See also Working Paper A Spatio-Temporal Model of House Prices in the US, Cambridge Working Papers in Economics (2006) View citations (38) (2006)
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Economic Modelling, 2010, 27, (6), 1398-1416 View citations (34)
See also Working Paper Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash, CESifo Working Paper Series (2010) View citations (33) (2010)

2009

Announcement
Journal of Applied Econometrics, 2009, 24, (5), 865-865
Forecasting economic and financial variables with global VARs
International Journal of Forecasting, 2009, 25, (4), 642-675 View citations (126)
See also Working Paper Forecasting Economic and Financial Variables with Global VARs, Cambridge Working Papers in Economics (2008) View citations (6) (2008)
Identification of New Keynesian Phillips Curves from a Global Perspective
Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 View citations (70)
Also in Journal of Money, Credit and Banking, 2009, 41, (7), 1481-1502 (2009) View citations (9)
See also Working Paper Identification of New Keynesian Phillips Curves from a Global Perspective, IZA Discussion Papers (2008) View citations (91) (2008)
In memory of Clive Granger: an advisory board member of the journal
Journal of Applied Econometrics, 2009, 24, (6), 871-873
Journal of Applied Econometrics Dissertation Prize
Journal of Applied Econometrics, 2009, 24, (1), 207-207
Also in Journal of Applied Econometrics, 2007, 22, (7), 1395-1395 (2007) View citations (1)
Model averaging in risk management with an application to futures markets
Journal of Empirical Finance, 2009, 16, (2), 280-305 View citations (25)
See also Working Paper Model Averaging in Risk Management with an Application to Futures Markets, Cambridge Working Papers in Economics (2008) View citations (6) (2008)
Pairwise Tests of Purchasing Power Parity
Econometric Reviews, 2009, 28, (6), 495-521 View citations (57)
Rejoinder to comments on forecasting economic and financial variables with global VARs
International Journal of Forecasting, 2009, 25, (4), 703-715 View citations (106)
Testing Dependence Among Serially Correlated Multicategory Variables
Journal of the American Statistical Association, 2009, 104, (485), 325-337 View citations (186)
See also Working Paper Testing Dependence Among Serially Correlated Multi-category Variables, Cambridge Working Papers in Economics (2006) View citations (4) (2006)

2008

A bias-adjusted LM test of error cross-section independence
Econometrics Journal, 2008, 11, (1), 105-127 View citations (467)
See also Working Paper A Bias-Adjusted LM Test of Error Cross Section Independence, Cambridge Working Papers in Economics (2006) View citations (8) (2006)
Econometric analysis of structural systems with permanent and transitory shocks
Journal of Economic Dynamics and Control, 2008, 32, (10), 3376-3395 View citations (83)
See also Working Paper Econometric Analysis of Structural Systems with Permanent and Transitory Shocks, Discussion Papers (2008) View citations (82) (2008)
Firm heterogeneity and credit risk diversification
Journal of Empirical Finance, 2008, 15, (4), 583-612 View citations (20)
See also Working Paper Firm Heterogeneity and Credit Risk Diversification, CESifo Working Paper Series (2005) View citations (22) (2005)
Forecasting the Swiss economy using VECX models: An exercise in forecast combination across models and observation windows
National Institute Economic Review, 2008, 203, (1), 91-108 View citations (27)
Also in National Institute Economic Review, 2008, 203, 91-108 (2008) View citations (1)
See also Working Paper Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows, Working Papers (2008) View citations (26) (2008)
March 2008 Announcement: Journal of Applied Econometrics Distinguished Authors
Journal of Applied Econometrics, 2008, 23, (3), 391-393
Testing slope homogeneity in large panels
Journal of Econometrics, 2008, 142, (1), 50-93 View citations (1392)
See also Working Paper Testing Slope Homogeneity in Large Panels, CESifo Working Paper Series (2005) View citations (19) (2005)

2007

A pair-wise approach to testing for output and growth convergence
Journal of Econometrics, 2007, 138, (1), 312-355 View citations (208)
See also Working Paper A Pair-Wise Approach to Testing for Output and Growth Convergence, CESifo Working Paper Series (2004) View citations (6) (2004)
A simple panel unit root test in the presence of cross-section dependence
Journal of Applied Econometrics, 2007, 22, (2), 265-312 View citations (4406)
See also Working Paper A Simple Panel Unit Root Test in the Presence of Cross Section Dependence, Cambridge Working Papers in Economics (2003) View citations (230) (2003)
Econometric issues in the analysis of contagion
Journal of Economic Dynamics and Control, 2007, 31, (4), 1245-1277 View citations (173)
See also Working Paper Econometric Issues in the Analysis of Contagion, Money Macro and Finance (MMF) Research Group Conference 2004 (2004) View citations (9) (2004)
Exploring the international linkages of the euro area: a global VAR analysis
Journal of Applied Econometrics, 2007, 22, (1), 1-38 View citations (758)
See also Working Paper Exploring the International Linkages of the Euro Area: a Global VAR Analysis, Computing in Economics and Finance 2006 (2006) View citations (27) (2006)
Heterogeneity and cross section dependence in panel data models: theory and applications introduction
Journal of Applied Econometrics, 2007, 22, (2), 229-232 View citations (118)
Learning, Structural Instability, and Present Value Calculations
Econometric Reviews, 2007, 26, (2-4), 253-288 View citations (14)
See also Working Paper Learning, Structural Instability and Present Value Calculations, CESifo Working Paper Series (2006) View citations (3) (2006)
Long Run Macroeconomic Relations in the Global Economy
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2007, 1, 1-20 View citations (105)
See also Working Paper Long Run Macroeconomic Relations in the Global Economy, Economics Discussion Papers (2007) View citations (119) (2007)
Selection of estimation window in the presence of breaks
Journal of Econometrics, 2007, 137, (1), 134-161 View citations (306)
What if the UK or Sweden had joined the euro in 1999? An empirical evaluation using a Global VAR
International Journal of Finance & Economics, 2007, 12, (1), 55-87 View citations (109)

2006

Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
Econometrica, 2006, 74, (4), 967-1012 View citations (2812)
See also Working Paper Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure, CESifo Working Paper Series (2004) View citations (66) (2004)
Forecasting Time Series Subject to Multiple Structural Breaks
The Review of Economic Studies, 2006, 73, (4), 1057-1084 View citations (233)
See also Working Paper Forecasting Time Series Subject to Multiple Structural Breaks, IZA Discussion Papers (2004) View citations (17) (2004)
MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE*
Manchester School, 2006, 74, (s1), 24-49 View citations (107)
See also Working Paper Macroeconometric Modelling with a Global Perspective, Cambridge Working Papers in Economics (2006) View citations (112) (2006)
Macroeconomic Dynamics and Credit Risk: A Global Perspective
Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 View citations (168)
See also Working Paper Macroeconomic Dynamics and Credit Risk: A Global Perspective, CESifo Working Paper Series (2003) View citations (25) (2003)

2005

ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
Econometric Theory, 2005, 21, (4), 795-837 View citations (180)
See also Working Paper Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration, Computing in Economics and Finance 2001 (2001) View citations (18) (2001)
REAL-TIME ECONOMETRICS
Econometric Theory, 2005, 21, (1), 212-231 View citations (22)
See also Working Paper Real Time Econometrics, Cambridge Working Papers in Economics (2004) View citations (5) (2004)
Small sample properties of forecasts from autoregressive models under structural breaks
Journal of Econometrics, 2005, 129, (1-2), 183-217 View citations (227)
See also Working Paper Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks, CEPR Discussion Papers (2004) View citations (11) (2004)
The Cost Effectiveness of the UK's Sovereign Debt Portfolio
Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 467-495 View citations (2)

2004

How costly is it to ignore breaks when forecasting the direction of a time series?
International Journal of Forecasting, 2004, 20, (3), 411-425 View citations (98)
See also Working Paper How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?, CESifo Working Paper Series (2003) View citations (3) (2003)
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
Journal of Business & Economic Statistics, 2004, 22, 129-162 View citations (769)
See also Working Paper Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model, EcoMod2003 (2010) View citations (11) (2010)
Rejoinder
Journal of Business & Economic Statistics, 2004, 22, 175-181

2003

A Long run structural macroeconometric model of the UK
Economic Journal, 2003, 113, (487), 412-455 View citations (118)
See also Working Paper A long run structural macroeconometric model of the UK, Edinburgh School of Economics Discussion Paper Series (2001) View citations (30) (2001)
Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
Economic Modelling, 2003, 20, (2), 383-415 View citations (42)
Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy
Journal of the American Statistical Association, 2003, 98, 829-838 View citations (62)
See also Working Paper Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy, Edinburgh School of Economics Discussion Paper Series (2001) View citations (8) (2001)
Introducing a replication section
Journal of Applied Econometrics, 2003, 18, (1), 111-111 View citations (3)
Journal of applied econometrics scholars programme
Journal of Applied Econometrics, 2003, 18, (5), 619-619 View citations (1)
Testing for unit roots in heterogeneous panels
Journal of Econometrics, 2003, 115, (1), 53-74 View citations (6849)
See also Working Paper Testing for Unit Roots in Heterogeneous Panels, Cambridge Working Papers in Economics (1995) View citations (312) (1995)

2002

LONG-RUN STRUCTURAL MODELLING
Econometric Reviews, 2002, 21, (1), 49-87 View citations (119)
See also Working Paper Long-Run Structural Modelling, Edinburgh School of Economics Discussion Paper Series (1999) View citations (12) (1999)
Market timing and return prediction under model instability
Journal of Empirical Finance, 2002, 9, (5), 495-510 View citations (176)
See also Working Paper Market Timing and Return Prediction under Model Instability, FMG Discussion Papers (2002) View citations (140) (2002)
Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
Journal of Econometrics, 2002, 109, (1), 107-150 View citations (288)
See also Working Paper Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods, Cambridge Working Papers in Economics (1998) View citations (6) (1998)

2001

A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
Journal of Applied Econometrics, 2001, 16, (3), 197-202 View citations (9)
Bounds testing approaches to the analysis of level relationships
Journal of Applied Econometrics, 2001, 16, (3), 289-326 View citations (7450)
Journal of Applied Econometrics Conference Sponsorship Grants
Journal of Applied Econometrics, 2001, 16, (4), 561-561
Life-cycle consumption under social interactions
Journal of Economic Dynamics and Control, 2001, 25, (1-2), 35-83 View citations (19)

2000

A Recursive Modelling Approach to Predicting UK Stock Returns
Economic Journal, 2000, 110, (460), 159-91 View citations (126)
See also Working Paper A Recursive Modelling Approach to Predicting UK Stock Returns, FMG Discussion Papers (1999) (1999)
Cross-sectional aggregation of non-linear models
Journal of Econometrics, 2000, 95, (2), 285-331 View citations (38)
See also Working Paper Cross-sectional Aggregation of Non-linear Models, Cambridge Working Papers in Economics (1998) View citations (2) (1998)
Life and Work of John Richard Nicholas Stone 1913-1991
Economic Journal, 2000, 110, (461), F146-65 View citations (3)
Solution of Nonlinear Rational Expectations Models with Applications to Finite-Horizon Life-Cycle Models of Consumption
Computational Economics, 2000, 15, (1-2), 25-57 View citations (7)
Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
Journal of Economic Dynamics and Control, 2000, 24, (3), 325-346 View citations (7)
Structural analysis of vector error correction models with exogenous I(1) variables
Journal of Econometrics, 2000, 97, (2), 293-343 View citations (457)
See also Working Paper Structural analysis of vector error correction models with exogenous I(1) variables, Edinburgh School of Economics Discussion Paper Series (1999) View citations (11) (1999)

1999

Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model with Jumps
Journal of Business & Economic Statistics, 1999, 17, (1), 50-66 View citations (13)
Diagnostics for IV Regressions
Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 255-281 View citations (45)
See also Working Paper Diagnostics for IV Regressions, Cambridge Working Papers in Economics (1997) (1997)
Stochastic Growth Models and Their Econometric Implications
Journal of Economic Growth, 1999, 4, (2), 139-83 View citations (92)

1998

Decision Making in the Presence of Heterogeneous Information and Social Interactions
International Economic Review, 1998, 39, (4), 1027-52 View citations (13)
See also Working Paper Decision-Making in the Presence of Heterogeneous Information and Social Interactions, Cambridge Working Papers in Economics (1995) View citations (7) (1995)
Generalized impulse response analysis in linear multivariate models
Economics Letters, 1998, 58, (1), 17-29 View citations (3192)
See also Working Paper Generalised Impulse Response Analysis in Linear Multivariate Models, Cambridge Working Papers in Economics (1997) View citations (65) (1997)
Growth Empirics: A Panel Data Approach—A Comment
The Quarterly Journal of Economics, 1998, 113, (1), 319-323 View citations (100)
Structural Analysis of Cointegrating VARs
Journal of Economic Surveys, 1998, 12, (5), 471-505 View citations (189)
See also Working Paper Structural Analysis of Cointegrating VARs, Cambridge Working Papers in Economics (1998) View citations (196) (1998)

1997

A floor and ceiling model of US output
Journal of Economic Dynamics and Control, 1997, 21, (4-5), 661-695 View citations (125)
See also Working Paper A Floor and Ceiling Model of U.S. Output, Cambridge Working Papers in Economics (1995) View citations (9) (1995)
Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
Journal of Applied Econometrics, 1997, 12, (5), 586-87
Growth and Convergence in Multi-country Empirical Stochastic Solow Model
Journal of Applied Econometrics, 1997, 12, (4), 357-92 View citations (324)
See also Working Paper Growth and Convergence in a Multi-Country Empirical Stochastic Solow Model, Working Papers (1996) View citations (12) (1996)
Multivariate Linear Rational Expectations Models
Econometric Theory, 1997, 13, (6), 877-888 View citations (78)
On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Comments
Journal of Applied Econometrics, 1997, 12, (5), 500-503
The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments
Journal of Applied Econometrics, 1997, 12, (5), 527-29
The Role of Economic Theory in Modelling the Long Run
Economic Journal, 1997, 107, (440), 178-91 View citations (356)
See also Working Paper The Role of Economic Theory in Modelling the Long Run, Cambridge Working Papers in Economics (1996) View citations (15) (1996)

1996

Cointegration and speed of convergence to equilibrium
Journal of Econometrics, 1996, 71, (1-2), 117-143 View citations (322)
See also Working Paper Cointegration and Speed of Convergence to Equilibrium, Cambridge Working Papers in Economics (1993) View citations (4) (1993)
Impulse response analysis in nonlinear multivariate models
Journal of Econometrics, 1996, 74, (1), 119-147 View citations (3123)
Limited-dependent rational expectations models with stochastic thresholds
Economics Letters, 1996, 51, (3), 267-276 View citations (11)
See also Working Paper Limited-Dependent Rational Expectations Models with Stochastic Thresholds, Cambridge Working Papers in Economics (1993) View citations (6) (1993)

1995

Estimating long-run relationships from dynamic heterogeneous panels
Journal of Econometrics, 1995, 68, (1), 79-113 View citations (2954)
See also Working Paper Estimating Long-Run Relationships From Dynamic Heterogeneous Panels, Cambridge Working Papers in Economics (1992) View citations (130) (1992)
Forecasting ultimate resource recovery
International Journal of Forecasting, 1995, 11, (4), 543-555 View citations (22)
See also Working Paper Forecasting Ultimate Resource Recovery, Cambridge Working Papers in Economics (1993) (1993)
Limited-dependent rational expectations models with future expectations
Journal of Economic Dynamics and Control, 1995, 19, (8), 1325-1353 View citations (14)
See also Working Paper Limited-Dependaent Rational Expectations Models with Future Expectations, Cambridge Working Papers in Economics (1993) View citations (3) (1993)
Predictability of Stock Returns: Robustness and Economic Significance
Journal of Finance, 1995, 50, (4), 1201-28 View citations (487)
The role of theory in econometrics
Journal of Econometrics, 1995, 67, (1), 61-79 View citations (43)

1994

A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
Journal of Applied Econometrics, 1994, 9, (S), S95-112 View citations (52)
A Generalized R[superscript]2 Criterion for Regression Models Estimated by the Instrumental Variables Method
Econometrica, 1994, 62, (3), 705-10 View citations (88)
A generalization of the non-parametric Henriksson-Merton test of market timing
Economics Letters, 1994, 44, (1-2), 1-7 View citations (42)
See also Working Paper A Generalisation of the Non-Parametric Henriksson-Merton Test of Market Timing, Cambridge Working Papers in Economics (1992) (1992)
Choice between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods
Journal of Business & Economic Statistics, 1994, 12, (1), 11-21 View citations (10)
See also Working Paper Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variable Methods, Cambridge Working Papers in Economics (1992) (1992)
Oil investment in the North Sea
Economic Modelling, 1994, 11, (3), 308-329 View citations (22)
See also Working Paper Oil Investment in the North Sea, Cambridge Working Papers in Economics (1992) (1992)

1993

A simulation approach to the problem of computing Cox's statistic for testing nonnested models
Journal of Econometrics, 1993, 57, (1-3), 377-392 View citations (34)
See also Working Paper A SIMULATION APPROACH TO THE PROBLEM OF COMPUTING COX'S STATISTIC FOR TESTING NON-NESTED MODELS, Working Papers (1989) View citations (1) (1989)
Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
Ricerche Economiche, 1993, 47, (3), 293-322 View citations (95)
Persistence, cointegration, and aggregation: A disaggregated analysis of output fluctuations in the U.S. economy
Journal of Econometrics, 1993, 56, (1-2), 57-88 View citations (47)
See also Working Paper PERSISTENCE, COINTEGRATION AND AGGREGATION: A DISAGGREGATED ANALYSIS OF OUTPUT FLUCTUATIONS IN THE U.S. ECONOMY, Working Papers (1990) View citations (5) (1990)
The Role of Sectoral Interactions in Wage Determination in the UK Economy
Economic Journal, 1993, 103, (416), 21-55 View citations (36)
See also Working Paper The Role of Sectoral Interactions in Wage Determination in the UK Economy, Cambridge Working Papers in Economics (1992) (1992)

1992

A Simple Nonparametric Test of Predictive Performance
Journal of Business & Economic Statistics, 1992, 10, (4), 561-65 View citations (468)
See also Working Paper A SIMPLE NON-PARAMETRIC TEST OF PREDICTIVE PERFORMANCE, Working Papers (1990) View citations (9) (1990)
An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model
Economic Journal, 1992, 102, (411), 388-401 View citations (20)
See also Working Paper An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model, Working Papers (1991) View citations (1) (1991)
Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
Journal of Econometrics, 1992, 53, (1-3), 141-163 View citations (19)
See also Working Paper Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone, UCLA Economics Working Papers (1991) View citations (6) (1991)
Nonlinear Dynamics and Econometrics: An Introduction
Journal of Applied Econometrics, 1992, 7, (S), S1-7 View citations (25)
Persistence of Shocks and Their
Economic Journal, 1992, 102, (411), 342-56 View citations (32)

1991

Costly Adjustment under Rational Expectations: A Generalization
The Review of Economics and Statistics, 1991, 73, (2), 353-58 View citations (16)
Estimation of Simple Class of Multivariate Rational Expectations Models: A Test of the New Classical Model at a Sectoral Level
Empirical Economics, 1991, 16, (2), 211-32 View citations (2)
See also Working Paper ESTIMATION OF SIMPLE CLASS OF MULTIVARIATE RATIONAL EXPECTATIONS MODELS: A TEST OF THE NEW CLASSICAL MODEL AT A SECTORAL LEVEL, Working Papers (1989) (1989)

1990

A unified approach to estimation and orthogonality tests in linear single-equation econometric models
Journal of Econometrics, 1990, 44, (1-2), 41-66 View citations (18)
An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
Economic Journal, 1990, 100, (401), 367-90 View citations (57)
See also Working Paper An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf, UCLA Economics Working Papers (1988) (1988)
Testing for Aggregation Bias in Linear Models
Economic Journal, 1990, 100, (400), 137-50 View citations (37)

1989

A proof of the asymptotic validity of a test for perfect aggregation
Economics Letters, 1989, 30, (1), 41-47 View citations (2)
Consistency of short-term and long-term expectations
Journal of International Money and Finance, 1989, 8, (4), 511-516 View citations (6)
Econometric Analysis of Aggregation in the Context of Linear Prediction Models
Econometrica, 1989, 57, (4), 861-88 View citations (77)
See also Working Paper Econometric Analysis of Aggregation in the Context of Linear Prediction Models, UCLA Economics Working Papers (1988) View citations (7) (1988)

1988

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

1987

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

1986

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

1985

Evaluation of macroeconometric models
Economic Modelling, 1985, 2, (2), 125-134 View citations (15)
Formation of Inflation Expectations in British Manufacturing Industries
Economic Journal, 1985, 95, (380), 948-75 View citations (31)
Testing for Structural Stability and Predictive Failure: A Review
The Manchester School of Economic & Social Studies, 1985, 53, (3), 280-95 View citations (18)

1984

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

1983

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

1982

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

1981

Expenditure of oil revenue: An optimal control approach with application to the Iranian economy: H. Motamen, (Frances Pinter, London, 1979) pp. 189, [UK pound]12.50
Journal of Economic Dynamics and Control, 1981, 3, (1), 387-391
Identification of rational expectations models
Journal of Econometrics, 1981, 16, (3), 375-398 View citations (46)
Pitfalls of testing non-nested hypotheses by the lagrange multiplier method
Journal of Econometrics, 1981, 16, (1), 158-158 View citations (11)
Also in Journal of Econometrics, 1981, 17, (3), 323-331 (1981) View citations (11)

1978

Testing Non-Nested Nonlinear Regression Models
Econometrica, 1978, 46, (3), 677-94 View citations (81)

1976

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

1974

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

1973

An Alternative Econometric Approach to the Permanent Income Hypothesis: An International Comparison: A Comment
The Review of Economics and Statistics, 1973, 55, (2), 259-61
The Small Sample Problem of Truncation Remainders in the Estimation of Distributed Lag Models with Autocorrelated Errors
International Economic Review, 1973, 14, (1), 120-31 View citations (3)

Books

2015

Time Series and Panel Data Econometrics
OUP Catalogue, Oxford University Press View citations (345)

2012

Global and National Macroeconometric Modelling: A Long-Run Structural Approach
OUP Catalogue, Oxford University Press View citations (27)
Also in OUP Catalogue, Oxford University Press (2006) View citations (186)

Edited books

2013

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

2010

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

1999

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

Chapters

2024

Identification and estimation of categorical random coefficient models
Springer
See also Journal Article Identification and estimation of categorical random coefficient models, Springer (2023) View citations (1) (2023)
Working Paper Identification and Estimation of Categorical Random Coefficient Models, arXiv.org (2023) View citations (1) (2023)

2020

Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR
A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 143-189 View citations (5)
See also Working Paper Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR, CESifo (2019) (2019)

2016

Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors
A chapter in Essays in Honor of man Ullah, 2016, vol. 36, pp 85-135 View citations (111)
See also Working Paper Long-Run Effects in Large Heterogenous Panel Data Models with Cross-Sectionally Correlated Errors, Faculty of Economics, University of Cambridge (2015) View citations (32) (2015)

2007

Global Business Cycles and Credit Risk
A chapter in The Risks of Financial Institutions, 2007, pp 419-469 View citations (22)
See also Working Paper Global Business Cycles and Credit Risk, CESifo (2005) View citations (13) (2005)

2006

Introduction: Explaining Growth in the Middle East
A chapter in Explaining Growth in the Middle East, 2006, pp 1-27
Survey Expectations
Elsevier View citations (93)
See also Working Paper Survey Expectations, CESifo (2005) View citations (10) (2005)

1993

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

1978

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

Software Items

1997

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

1994

GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results
QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
See also Working Paper Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results, Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1995) View citations (140) (1995)

Editor

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