WorldCat Identities

Pesaran, M. Hashem 1946-

Works: 431 works in 1,426 publications in 4 languages and 7,015 library holdings
Genres: Conference proceedings 
Roles: Author, Editor, Creator, Contributor, Redactor, Honoree
Classifications: HB99.7, 330.015195
Publication Timeline
Most widely held works by M. Hashem Pesaran
Keynes' economics : methodological issues by Tony Lawson( Book )

23 editions published between 1985 and 2010 in English and held by 620 WorldCat member libraries worldwide

Suitable for lecturers and advanced students of economics, this title includes contributions from leading economists and addresses many seminal aspects of Keynes' work and methods
Handbook of applied econometrics by M. Hashem Pesaran( Book )

54 editions published between 1995 and 2001 in English and Undetermined and held by 515 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
The limits to rational expectations by M. Hashem Pesaran( Book )

26 editions published between 1987 and 1989 in English and Undetermined and held by 504 WorldCat member libraries worldwide

Dynamic regression : theory and algorithms by M. Hashem Pesaran( Book )

12 editions published in 1980 in English and Undetermined and held by 289 WorldCat member libraries worldwide

Disaggregation in econometric modelling( Book )

13 editions published between 1990 and 2011 in English and held by 245 WorldCat member libraries worldwide

Nonlinear dynamics, chaos, and econometrics( Book )

15 editions published between 1993 and 1994 in English and Spanish and held by 230 WorldCat member libraries worldwide

Explaining growth in the Middle East by Jeffrey B Nugent( Book )

15 editions published between 2006 and 2010 in English and held by 169 WorldCat member libraries worldwide

The Middle East and North Africa (MENA) region is generally perceived as having experienced the most disappointing growth performance over the years of any region in the world with the possible exception of Sub-Sahara Africa. This book presents an account of the MENA region. It covers topics such as dictatorships, civil wars, terrorism, and more
Energy demand in Asian developing economies by M. Hashem Pesaran( Book )

6 editions published between 1998 and 1999 in English and held by 153 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 )

5 editions published in 2013 in English and held by 107 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 : microeconomics by M. Hashem Pesaran( Book )

26 editions published between 1995 and 2008 in English and Spanish and held by 95 WorldCat member libraries worldwide

Real time econometrics by M. Hashem Pesaran( )

14 editions published in 2004 in English and German and held by 42 WorldCat member libraries worldwide

Global business cycles and credit risk by M. Hashem Pesaran( Book )

14 editions published in 2005 in English and held by 41 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
Econometrics: a bird's eye view by John Geweke( )

10 editions published in 2006 in English and held by 31 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
A spatio-temporal model of house prices in the US by Sean Holly( )

10 editions published in 2006 in English and held by 30 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
Panel unit root tests in the presence of a multifactor error structure by M. Hashem Pesaran( )

10 editions published between 2007 and 2008 in English and held by 28 WorldCat member libraries worldwide

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases, especially in the presence of serial correlation in the error term, contrary to alternative test statistics. Empirical applications to Fisher's inflation parity and real equity prices across different markets illustrate how the proposed test works in practice
A VECX* model of the Swiss economy by Katrin Assenmacher-Wesche( Book )

11 editions published between 2008 and 2009 in English and Dutch and held by 23 WorldCat member libraries worldwide

This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural cointegrated VAR model that relates the core macroeconomic variables of the Swiss economy to current and lagged values of a number of key foreign variables. We identify and test a long-run structure between the variables. Moreover, we analyse the dynamic properties of the model using Generalised Impulse Response Functions. In its current form the model can be used to produce forecasts for the endogenous variables either under alternative specifications of the marginal model for the exogenous variables, or conditional on some pre-specified path of those variables (for scenario forecasting). In due course the Swiss VECX model can also be integrated within a Global VAR (GVAR) model where the foreign variables of the model are determined endogenously
Forecasting economic and financial variables with global VARs by M. Hashem Pesaran( Book )

12 editions published between 2008 and 2009 in English and German and held by 19 WorldCat member libraries worldwide

This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end, a global vector autoregressive (GVAR) model previously estimated over the 1979:Q1-2003:Q4 period by Dees, de Mauro, Pesaran, and Smith (2007) is used to generate out-of-sample one-quarter- and four-quarters-ahead forecasts of real output, inflation, real equity prices, exchange rates, and interest rates over the period 2004:Q1-2005:Q4. Forecasts are obtained for 134 variables from twenty-six regions made up of thirty-three countries and covering about 90 percent of world output. The forecasts are compared to typical benchmarks: univariate autoregressive and random walk models. Building on the forecast combination literature, the paper examines the effects of model and estimation uncertainty on forecast outcomes by pooling forecasts obtained from different GVAR models estimated over alternative sample periods. Given the size of the modeling problem and the heterogeneity of the economies considered--industrialized, emerging, and less developed countries-- as well as the very real likelihood of multiple structural breaks, averaging forecasts across both models and windows makes a significant difference. Indeed, the double-averaged GVAR forecasts performed better than the benchmark forecasts, especially for output, inflation, and real equity prices. -- Forecasting using GVAR ; structural breaks and forecasting ; average forecasts across models and windows ; financial and macroeconomic forecasts
How costly is it to ignore breaks when forecasting the direction of a time series? by M. Hashem Pesaran( Book )

4 editions published in 2003 in English and held by 18 WorldCat member libraries worldwide

Empirical evidence suggests that many macroeconomic and financial time series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation between the forecast and the realization and on the ability to forecast the sign or direction of a time-series that is subject to breaks. Our results suggest that it can be very costly to ignore breaks. Forecasting approaches that condition on the most recent break are likely to perform better over unconditional approaches that use expanding or rolling estimation windows provided that the break is reasonably large
Panels with nonstationary multifactor error structures by G Kapetanios( Book )

9 editions published in 2006 in English and held by 16 WorldCat member libraries worldwide

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important case where the unobserved common factors follow unit root processes and could be cointegrated. It is found that the presence of unit roots does not affect most theoretical results which continue to hold irrespective of the integration and the cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo study. In particular, the results of the Monte Carlo study suggest that the cross-sectional average based method is robust to a wide variety of data generation processes and has lower biases than all of the alternative estimation methods considered in the paper
Testing dependence among serially correlated multi-category variables by M. Hashem Pesaran( Book )

7 editions published in 2006 in English and held by 16 WorldCat member libraries worldwide

"The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and finance. This paper proposes a new test of independence based on the maximum canonical correlation between pairs of discrete variables. We also propose a trace canonical correlation test using dynamically augmented reduced rank regressions or an iterated weighting method in order to account for serial dependence. Such tests are useful, for example, when testing for predictability of one sequence of discrete random variables by means of another sequence of discrete random variables as in tests of market timing skills or business cycle analysis. The proposed tests allow for an arbitrary number of categories, are robust in the presence of serial dependencies and are simple to implement using multivariate regression methods. Monte Carlo experiments show that the proposed tests have good finite sample properties. An empirical application to survey data on forecasts of GDP growth demonstrates the importance of correcting for serial dependencies in predictability tests"--Forschungsinstitut zur Zukunft der Arbeit web site
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Handbook of applied econometrics : microeconomics
Alternative Names
Mohammad Hashem Pesaran

Mohammad Hashem Pesaran Economist

Mohammad Hashem Pesaran iranischer konom, Hochschullehrer

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, Mohammad Hashem 1946-

English (287)

Spanish (2)

German (2)

Dutch (1)

Handbook of applied econometricsDisaggregation in econometric modellingNonlinear dynamics, chaos, and econometricsExplaining growth in the Middle EastHandbook of applied econometrics : microeconomics