Now showing items 54-73 of 73

    • Random Coefficient Panel Data Methods 

      Hsiao, Cheng; Pesaran, M. Hashem (Department of Applied Economics, 2004-06)
      This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coefficients models and suggests a common framework for dealing with them. It considers the fundamental ...
    • Real Time Econometrics 

      Pesaran, M. Hashem; Timmermann, Allan (Department of Applied Economics, 2004-06)
      This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. ...
    • Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models 

      Hayakawa, Kazuhiko; Pesaran, M. Hashem (Faculty of Economics, University of Cambridge, UK, 2012-05-09)
      This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao, Pesaran, and Tahmiscioglu (2002) to the case where the errors are crosssectionally heteroskedastic. This ...
    • The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification 

      Pesaran, M. Hashem; Schuermann, Til; Treutler, Bjorn-Jakob (2006-03-14)
      In theory the potential for credit risk diversification for banks could be substantial. Portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with ...
    • Scope for Cost Minimization in Public Debt Management: the Case of the UK 

      Coe, Patrick J.; Pesaran, M. Hashem (2004-06-16)
      This paper provides a framework for an empirical analysis of the scope for cost minimization in public debt management. It assumes that a debt manager aims at minimizing the expected cost of government�s debt portfolio ...
    • Scope for Credit Risk Diversification 

      Hanson, Samuel; Pesaran, M. Hashem; Schuermann, Til (2006-03-14)
      This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We ...
    • A Simple Panel Unit Root Test in the Presence of Cross Section Dependence 

      Pesaran, M. Hashem (2004-06-16)
      A number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably by Bai and Ng (2002), Moon and Perron (2003) and Phillips and Sul (2002) who use orthogonalization ...
    • Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 

      Pesaran, M. Hashem; Timmermann, Allan (2004-06-16)
      Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many ...
    • Spatial and Temporal Diffusion of House Prices in the UK 

      Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, University of Cambridge, UK, 2009-12)
    • A Spatio-Temporal Model of House Prices in the US 

      Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, University of Cambridge, UK, 2006-09)
      In this paper we model the dynamic adjustment of real house prices using data at the level of US States. We consider interactions between housing markets by examining the extent to which real house prices at the State ...
    • Survey Expectations 

      Pesaran, M. Hashem; Weale, Martin (2006-03-14)
      This paper focuses on survey expectations and discusses their uses for testing and modeling of expectations.Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of ...
    • Testing CAPM with a Large Number of Assets (Updated 28th March 2012) 

      Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, University of Cambridge, UK, 2012-02-28)
      (DISCLAIMER: Not all mathematical symbols in the abstract will display properly - please see the abstract in the pdf). This paper is concerned with testing the time series implications of the capital asset pricing model ...
    • Testing Dependence Among Serially Correlated Multi-category Variables 

      Pesaran, M. Hashem; Timmermann, Allan (Faculty of Economics, University of Cambridge, UK, 2006-07)
      The contingency table literature on tests for dependence among discrete multi-category variables assume that draws are independent, and there are no tests that account for serial dependencies − a problem that is particularly ...
    • Testing Slope Homogeneity in Large Panels 

      Pesaran, M. Hashem; Yamagata, Takashi (2006-03-14)
      This paper proposes a modified version of Swamy’s test of slope homogeneity for panel data models where the cross section dimension (N) could be large relative to the time series dimension (T). We exploit the cross section ...
    • Testing Weak Cross-Sectional Dependence in Large Panels 

      Pesaran, M. Hashem (Faculty of Economics, University of Cambridge, UK, 2012-02-28)
      (DISCLAIMER: Not all mathematical symbols in the abstract will display properly - please see the abstract in the pdf). This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally ...
    • Unit Roots and Cointegration in Panels 

      Breitung, Jorg; Pesaran, M. Hashem (2006-03-14)
      This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation ...
    • Variable Selection and Inference for Multi-period Forecasting Problems 

      Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan (Faculty of Economics, University of Cambridge, UK, 2009-01)
    • A VECX* Model of the Swiss Economy 

      Assenmacher-Wesche, Katrin; Pesaran, M. Hashem (Faculty of Economics, University of Cambridge, UK, 2008-02)
    • Weak and Strong Cross Section Dependence and Estimation of Large Panels 

      Chudik, Alexander; Pesaran, M. Hashem; Tosetti, E. (Faculty of Economics, University of Cambridge, UK, 2009-06)
    • What if the UK has Joined the Euro in 1999? An Empirical Evaluation using a Global VAR 

      Pesaran, M. Hashem; Smith, L. Vanessa; Smith, Ron P. (2006-03-14)
      We provide a conceptual framework to analysis counterfactual scenarios using macroeconometric models. We consider UK entry to the euro. We derive conditional probability distributions for the difference between the future ...