Zobrazeno 1 - 10
of 67
pro vyhledávání: '"Pesaran, M. H."'
Autor:
Pesaran, M. H., Smith, R. P.
This paper examines the role of pricing errors in linear factor pricing models, allowing for observed strong and semi-strong factors, and latent weak factors. It focusses on the estimation of Φk = λk - μk which plays a pivotal role, not only in th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7a3698bd49804148c9e0dbbbf6bb1bf
Autor:
Pesaran, M. H., Yang, L.
This paper considers a first-order autoregressive panel data model with individual specific effects and a heterogeneous autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coeff
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::02e7b71c9645810488e891cfb3b7563e
Autor:
Nocera, A., Pesaran, M. H.
This paper investigates the short- and long-term impacts of the Federal Reserve’s large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6692a0e35460ca2f7159b615d289b720
Autor:
Cun, W., Pesaran, M. H.
This paper develops and solves a spatiotemporal equilibrium model in which regional wages and house prices are jointly determined with location-to-location migration flows. The agent’s optimal location choice and the resultant migration process are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9584e3e4a9467b1583b87ebddea3d8fd
Autor:
Gao, Z., Pesaran, M. H.
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments of the ran
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fa2e95ceac0cf94006cc58292672588f
The idea that certain economic variables are roughly constant in the long-run is an old one. Kaldor described them as stylized facts, whereas Klein and Kosobud labelled them great ratios. While such ratios are widely adopted in theoretical models in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d7ed2d82a794c16ac4aea0bf7856ea0b
This paper provides estimates of COVID-19 effective reproduction numbers and explains their evolution for selected European countries since the start of the pandemic taking account of changes in voluntary and government mandated social distancing, in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ab15d24c323ab976f3004862300add2e
https://hdl.handle.net/10419/263684
https://hdl.handle.net/10419/263684
Autor:
Pesaran, M. H., Xie, Y.
In a recent paper Juodis and Reese (2022) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection. They propose a randomized test statistic to correct for over-re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::61bcaa6e63da5537c19cd6bf9d3f1d70
Autor:
Pesaran, M. H.
Publikováno v:
Biometrika, 1984 Aug 01. 71(2), 245-252.
Externí odkaz:
https://www.jstor.org/stable/2336240
