WorldCat Identities

Pesaran, M. Hashem 1946-

Overview
Works: 380 works in 1,249 publications in 3 languages and 5,950 library holdings
Genres: Conference proceedings 
Roles: Editor, Creator, Redactor, Honoree
Classifications: HB99.7, 330.015195
Publication Timeline
Key
Publications about  M. Hashem Pesaran Publications about M. Hashem Pesaran
Publications by  M. Hashem Pesaran Publications by M. Hashem Pesaran
Most widely held works by M. Hashem Pesaran
Keynes' economics : methodological issues by Tony Lawson ( Book )
22 editions published between 1985 and 2009 in English and held by 650 WorldCat member libraries worldwide
First published in 1985, this title includes contributions from leading economists and addresses many seminal aspects of Keynes' work and methods. This revival will be of particular interest to lecturers and advanced students of economics
The limits to rational expectations by M. Hashem Pesaran ( Book )
24 editions published between 1987 and 1989 in English and Undetermined and held by 503 WorldCat member libraries worldwide
Handbook of applied econometrics ( Book )
19 editions published between 1995 and 2007 in English and Undetermined and held by 409 WorldCat member libraries worldwide
Each topic is covered by a leading international expert specially commissioned to address the methodological problems of undertaking empirical work in economics. The volume editors have focused on the rigorous application of econometrics and statistical methods to economic problems, making the books the most important and up-to-date statements of thinking in the area. As the first and most authoritative overview of the applied work going on in the field this will be an essential resource for academics, researchers, graduate students, and professional economists in industry and government
Dynamic regression : theory and algorithms by M. Hashem Pesaran ( Book )
9 editions published in 1980 in English and held by 282 WorldCat member libraries worldwide
Disaggregation in econometric modelling ( Book )
13 editions published between 1990 and 2011 in English and held by 241 WorldCat member libraries worldwide
Nonlinear dynamics, chaos, and econometrics ( Book )
13 editions published between 1993 and 1994 in English and Spanish and held by 225 WorldCat member libraries worldwide
Explaining growth in the Middle East by Jeffrey B Nugent ( Book )
17 editions published between 2006 and 2010 in English and held by 209 WorldCat member libraries worldwide
This book is about the Middle East and North Africa (MENA) region. This region is generally perceived as having experienced the most disappointing growth performance over the last couple of decades of any region in the world with the possible exception of Sub-Sahara Africa. Despite the regions immense endowment of natural resources, its per capita income is often viewed as having stagnated. At the same time, most economies of the region have been characterized by extremely high volatility, a condition only partly attributable to the fluctuating price of oil. MENA region has not been as comprehensively covered as other regions of the world (i.e., Latin America, East Asia, South Asia and Sub-Sahara Africa). The prominence of the MENA region in the global energy markets and the world political system makes this a necessary read. The topics of interest are wide ranging and diverse, ranging from dictatorships, civil wars, terrorism and water shortages, to more economic problems arising from volatile oil prices, barriers to trade and foreign investment, dominance of public enterprises, and low skill work forces
Energy demand in Asian developing economies by M. Hashem Pesaran ( Book )
6 editions published between 1998 and 1999 in English and held by 158 WorldCat member libraries worldwide
This text reviews the relevant economic and econometric theory, introduces some econometric techniques, and uses these techniques to analyse energy demand in the Asian developing economies individually and taking the region as a whole
The GVAR handbook : structure and applications of a macro model of the global economy for policy analysis ( Book )
4 editions published in 2013 in English and held by 136 WorldCat member libraries worldwide
"The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages."--Provided by publisher
Handbook of applied econometrics by M. Hashem Pesaran ( Book )
20 editions published between 1995 and 2000 in English and Spanish and held by 123 WorldCat member libraries worldwide
Global business cycles and credit risk by M. Hashem Pesaran ( Book )
11 editions published in 2005 in English and held by 72 WorldCat member libraries worldwide
"The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive macroeconomic model accounting for about 80% of world output, we propose a model for exploring credit risk diversification across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for capturing differences in simulated credit loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogenous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity"--National Bureau of Economic Research web site
Time series econometrics : using Microfit 5.0 by Bahram Pesaran ( Book )
4 editions published in 2009 in English and held by 64 WorldCat member libraries worldwide
Handbook of applied econometrics : macroeconomics ( Book )
11 editions published between 1995 and 2001 in English and held by 59 WorldCat member libraries worldwide
Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models by Cheng Hsiao ( )
13 editions published in 2007 in English and held by 56 WorldCat member libraries worldwide
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the observed dependent variable from its expected value and generalized residuals. We show the asymptotic consistency of the cross section dependence (CD) test of Pesaran (2004). In Monte Carlo experiments it emerges that the CD test has the correct size for any combination of N and T whereas the LM test relies on T large relative to N. We then analyze the roll-call votes of the 104th U.S. Congress and find considerable dependence between the votes of the members of Congress
A Spatio-Temporal Model of House Prices in the US by Sean Holly ( )
11 editions published in 2006 in English and held by 56 WorldCat member libraries worldwide
The purpose of this paper is to apply recent advances in the econometrics of panel data to a problem that has a clear spatial dimension. We model the dynamic adjustment of real house prices using data at the level of US States. In the last decade, in most OECD countries there has been a significant rise in real house prices. This attracted the attention of many international organisations and central banks. In this paper we consider interactions between housing markets by examining the extent to which real house prices at the State level are driven by fundamentals such as real income, as well as by common shocks, and determine the speed of adjustment of house prices to macroeconomic and local disturbances. We take explicit account of both cross sectional dependence and heterogeneity. This allows us to find a cointegrating relationship between house prices and incomes and to identify a small role for real interest rates. Using this model we then examine the role of spatial factors, in particular the effect of contiguous states by use of a weighting matrix. We are able to identify a significant spatial effect, even after controlling for State specific real incomes, and allowing for a number of unobserved common factors
Econometrics A Bird's Eye View by John Geweke ( )
9 editions published in 2006 in English and held by 54 WorldCat member libraries worldwide
As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of economic relations across individuals, firms and industries is increasingly acknowledged and attempts have been made to take them into account either by integrating out their effects or by modeling the sources of heterogeneity when suitable panel data exists. The counterfactual considerations that underlie policy analysis and treatment evaluation have been given a more satisfactory foundation. New time series econometric techniques have been developed and employed extensively in the areas of macroeconometrics and finance. Non-linear econometric techniques are used increasingly in the analysis of cross section and time series observations. Applications of Bayesian techniques to econometric problems have been given new impetus largely thanks to advances in computer power and computational techniques. The use of Bayesian techniques have in turn provided the investigators with a unifying framework where the tasks of forecasting, decision making, model evaluation and learning can be considered as parts of the same interactive and iterative process; thus paving the way for establishing the foundation of 'real time econometrics'. This paper attempts to provide an overview of some of these developments
Learning, structural instability and present value calculations : [... presented at the 8th Bundesbank spring conference (May 2006) on "New developments in Economic Forecasting"] by M. Hashem Pesaran ( Book )
14 editions published in 2006 in English and held by 53 WorldCat member libraries worldwide
Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data generating process underlying the cash flows. This paper presents new theoretical results for the existence of the infinite sum of discounted expected future values under uncertainty about the parameters characterizing the growth rate of the cash flow process. Furthermore, we explore the consequences for present values of relaxing the stability assumption in a way that allows for past and future breaks to the underlying cash flow process. We find that such breaks can lead to considerable changes in present values
Estimation and inference in short panel vector autoregressions with unit roots and cointegration by Michael Binder ( Book )
17 editions published in 2000 in English and held by 52 WorldCat member libraries worldwide
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and shown to be consistent and asymptotically normally distributed irrespective of the unit root and cointegrating properties of the underlying PVAR model. The transformed likelihood framework is also used to derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that they are based on standard chi-square and normal distributed statistics. Examining Generalized Method of Moments (GMM) estimation as an alternative to our proposed ML estimator , it is
Business cycle effects of credit shocks in a DSGE model with firm defaults by M. Hashem Pesaran ( )
12 editions published between 2011 and 2013 in English and German and held by 47 WorldCat member libraries worldwide
This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology shocks, possibly leading to default by some firms. The paper advances a new modelling approach for the analysis of financial intermediation and firm defaults that takes account of the financial implications of such defaults for both households and banks. Results from a calibrated version of the model highlights the role of financial institutions in the transmission of credit and technology shocks to the real economy. A positive credit shock, defined as a rise in the loan to deposit ratio, increases output, consumption, hours and productivity, and reduces the spread between loan and deposit rates. The effects of the credit shock tend to be highly persistent even without price rigidities and habit persistence in consumption behaviour. -- bank credit ; financial intermediation ; firm heterogeneity and defaults ; interest rate spread ; real financial linkages
Real time econometrics by M. Hashem Pesaran ( Book )
14 editions published in 2004 in English and German and held by 47 WorldCat member libraries worldwide
 
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Alternative Names
Pesaran, H. H. 1946-
Pesaran, H. Hashem 1946-
Pesaran, Hashem
Pesaran, Hashem, 1946-
Pesaran, M.
Pesaran, M. 1946-
Pesaran, M. H.
Pesaran, M. H., 1946-
Pesaran, M. H. (M. Hashem), 1946-
Pesaran, M. Hashem 1946-
Languages
English (256)
Spanish (2)
German (2)
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