Zobrazeno 1 - 10
of 734
pro vyhledávání: '"Pesaran, M Hashem"'
Autor:
Pesaran, M. Hashem, Smith, Ron P.
The risk premia of traded factors are the sum of factor means and a parameter vector we denote by {\phi} which is identified from the cross section regression of alpha of individual securities on the vector of factor loadings. If phi is non-zero one
Externí odkaz:
http://arxiv.org/abs/2405.02217
We provide a comprehensive examination of the predictive accuracy of panel forecasting methods based on individual, pooling, fixed effects, and Bayesian estimation, and propose optimal weights for forecast combination schemes. We consider linear pane
Externí odkaz:
http://arxiv.org/abs/2404.11198
Autor:
Pesaran, M. Hashem, Smith, Ron P.
Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known kn
Externí odkaz:
http://arxiv.org/abs/2401.14582
This paper considers the problem of variable selection allowing for parameter instability. It distinguishes between signal and pseudo-signal variables that are correlated with the target variable, and noise variables that are not, and investigate the
Externí odkaz:
http://arxiv.org/abs/2312.15494
Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly compara
Externí odkaz:
http://arxiv.org/abs/2311.02196
Autor:
Nocera, Andrea, Pesaran, M. Hashem
We investigate the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on non-financial firms' capital structure using a threshold panel ARDL model. To isolate the effects of LSAPs from other macroeconomic condit
Externí odkaz:
http://arxiv.org/abs/2310.18638
Autor:
Pesaran, M. Hashem, Yang, Liying
The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. This paper proposes a new trimmed mean group (TMG) estimator which is consistent at the irregular rate of n^{1/3} even if
Externí odkaz:
http://arxiv.org/abs/2310.11680
This paper proposes a structural econometric approach to estimating the basic reproduction number ($\mathcal{R}_{0}$) of Covid-19. This approach identifies $\mathcal{R}_{0}$ in a panel regression model by filtering out the effects of mitigating facto
Externí odkaz:
http://arxiv.org/abs/2309.08619
Autor:
Pesaran, M. Hashem, Yang, Liying
This paper considers a first-order autoregressive panel data model with individual-specific effects and heterogeneous autoregressive coefficients defined on the interval (-1,1], thus allowing for some of the individual processes to have unit roots. I
Externí odkaz:
http://arxiv.org/abs/2306.05299