Now showing items 1-5 of 5

    • Aggregation in Large Dynamic Panels 

      Pesaran, M. Hashem; Chudik, Alexander (Faculty of Economics, 2011-01-31)
      This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally ...
    • Aggregation in Large Dynamic Panels 

      Pesaran, M.H.; Chudik, A. (Department of Applied Economics, 2011-01-31)
      This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally ...
    • Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit 

      Pesaran, M. Hashem; Chudik, Alexander (Faculty of Economics, University of Cambridge, UK, 2010-04)
    • Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit 

      Pesaran, M.H.; Chudik, A. (Department of Applied Economics, 2010-05-29)
      This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is ...
    • Infinite Dimensional VARs and Factor Models 

      Chudik, Alexander; Pesaran, M. Hashem (Faculty of Economics, University of Cambridge, UK, 2007-11)
      This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only ...