Now showing items 1-9 of 9

    • A Bias-Adjusted LM Test of Error Cross Section Independence 

      Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi (Faculty of Economics, 2006-05)
      This paper proposes bias-adjusted normal approximation versions of Lagrange multiplier (NLM) test of error cross section independence of Breusch and Pagan (1980) in the case of panel models with strictly exogenous regressors ...
    • On Testing Sample Selection Bias under the Multicollinearity Problem 

      Yamagata, Takashi (Faculty of Economics, 2006-03-14)
      This paper examines and compares the finite sample performance of the existing tests for sample selection bias, especially under the multi-collinearity problem pointed out by Nawata (1993). The results show that under such ...
    • Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures 

      Pesaran, M. Hashem; Smith, Ron P.; Yamagata, Takashi; Hvozdyk, Lyudmyla (Faculty of Economics, 2006)
      In this paper we adopt a new approach to testing for purchasing power parity, PPP, that is robust to base country effects, cross-section dependence, and aggregation. We test for PPP applying a pairwise approach to the ...
    • Panel Unit Root Tests in the Presence of a Multifactor Error Structure 

      Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi (Faculty of Economics, 2007-12)
      This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors ...
    • Panels with Nonstationary Multifactor Error Structures 

      Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, 2006-08)
      The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recent work by Pesaran (2006) suggests a method which makes use of cross-sectional averages to provide valid ...
    • Spatial and Temporal Diffusion of House Prices in the UK 

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

      Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, 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 ...
    • Testing CAPM with a Large Number of Assets (Updated 28th March 2012) 

      Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, 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 Slope Homogeneity in Large Panels 

      Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, 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 ...