M. Hashem Pesaran

General Diagnostic Tests for Cross Section Dependence in Panels

Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

AbstractFinancial institutions are ultimately exposed to macroeconomic fluctuations in the global economy. This article proposes and builds a compact global model capable of gen...

Growth and convergence in a multi-country empirical stochastic Solow model

The paper considers international per capita output and its growth using a panel of data for 102 countries between 1960 and 1989. It sets out an explicitly stochastic Solow grow...

Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence

Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that th...

General diagnostic tests for cross-sectional dependence in panels

Testing for unit roots in heterogeneous panels