WorldCat Identities

Pesaran, M. Hashem 1946-

Works: 441 works in 1,656 publications in 3 languages and 8,304 library holdings
Genres: Conference papers and proceedings 
Roles: Author, Editor, Creator, Other, Honoree, Redactor
Classifications: HB139, 330.015195
Publication Timeline
Most widely held works by M. Hashem Pesaran
Handbook of applied econometrics by M. Hashem Pesaran( Book )

109 editions published between 1995 and 2008 in English and Spanish and held by 678 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
Keynes' economics : methodological issues by Tony Lawson( Book )

31 editions published between 1985 and 2010 in English and Undetermined and held by 644 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
The limits to rational expectations by M. Hashem Pesaran( Book )

28 editions published between 1987 and 1989 in English and Undetermined and held by 532 WorldCat member libraries worldwide

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

13 editions published in 1980 in English and Undetermined and held by 299 WorldCat member libraries worldwide

Disaggregation in econometric modelling( Book )

14 editions published between 1990 and 2011 in English and held by 263 WorldCat member libraries worldwide

Nonlinear dynamics, chaos, and econometrics by chaos and econometrics Nonlinear dynamics( Book )

14 editions published between 1993 and 1994 in English and Spanish and held by 243 WorldCat member libraries worldwide

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

16 editions published between 2006 and 2010 in English and held by 178 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 )

5 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 )

8 editions published in 2013 in English and held by 118 WorldCat member libraries worldwide

The GVAR is a Global Vector Auto-Regression model of the global economy. Its main feature is to take into account the financial and real linkages connecting the major world economies. This book provides an overview of the GVAR and its applications: forecasting, finance issues, and regional studies
Time series and panel data econometrics by M. Hashem Pesaran( Book )

13 editions published between 2015 and 2016 in English and held by 59 WorldCat member libraries worldwide

La 4e de couv. indique: this book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual.0It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices
Real time econometrics by M. Hashem Pesaran( )

16 editions published in 2004 in English and German and held by 49 WorldCat member libraries worldwide

This paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated systems and discusses some of the possible ways advanced in the literature for dealing with them. The role of feedbacks from the decision-maker s actions to the data generating process is also discussed and highlighted through an example
Panel unit root tests in the presence of a multifactor error structure by M. Hashem Pesaran( )

12 editions published between 2007 and 2008 in English and held by 35 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 spatio-temporal model of house prices in the US by Sean Holly( )

11 editions published in 2006 in English and held by 34 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( )

7 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
Diagnostic tests of cross section independence for nonlinear panel data models by Cheng Hsiao( )

10 editions published in 2007 in English and held by 28 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
The cost efficiency of UK debt management : a recursive modelling approach by Patrick Coe( Book )

5 editions published in 2000 in English and held by 21 WorldCat member libraries worldwide

Testing dependence among serially correlated multi-category variables by M. Hashem Pesaran( Book )

10 editions published in 2006 in English and held by 21 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. -- contingency tables ; canonical correlations ; serial dependence ; tests of predictability
How costly is it to ignore breaks when forecasting the direction of a time series? by M. Hashem Pesaran( Book )

5 editions published in 2003 in English and held by 21 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
What if the UK had joined the Euro in 1999? : an empirical evaluation using a global VAR by M. Hashem Pesaran( Book )

6 editions published in 2005 in English and held by 20 WorldCat member libraries worldwide

This paper attempts to provide a conceptual framework for the analysis of counterfactual scenarios using macroeconometric models. As an application we consider UK entry to the euro. Entry involves a long-term commitment to restrict UK nominal exchange rates and interest rates to be the same as those of the euro area. We derive conditional probability distributions for the difference between the future realisations of variables of interest (e.g UK and euro area output and prices) subject to UK entry restrictions being fully met over a given period and the alternative realisations without the restrictions. The robustness of the results can be evaluated by also conditioning on variables deemed to be invariant to UK entry, such as oil or US equity prices. Economic interdependence means that such policy evaluation must take account of international linkages and common factors that drive fluctuations across economies. In this paper this is accomplished using the Global VAR recently developed by Dees, di Mauro, Pesaran and Smith (2005). The paper briefly describes the GVAR which has been estimated for 25 countries and the euro area over the period 1979-2003. It reports probability estimates that output will be higher and prices lower in the UK and the euro area as a result of entry. It examines the sensitivity of these results to a variety of assumptions about when and how the UK entered and the observed global shocks and compares them with the effects of Swedish entry
Panels with nonstationary multifactor error structures by G Kapetanios( Book )

9 editions published in 2006 in English and held by 17 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
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Handbook of applied econometrics
Alternative Names
Mohammad Hashem Pesaran econoom uit Iran

Mohammad Hashem Pesaran iranischer Ökonom, 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-

Песаран, Мохаммад Хашем

محمد هاشم پسران اقتصاددان و استاد دانشگاه ایرانی

English (334)

Spanish (2)

German (1)

Keynes' economics : methodological issuesDisaggregation in econometric modellingNonlinear dynamics, chaos, and econometricsExplaining growth in the Middle East