百晓学者学者目录

M. Hashem Pesaran

University of Southern California; University of Cambridge

Selected Publications

Journal Articles

  1. Alexander Chudik, M. Hashem Pesaran, Ron P. Smith (2026). Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels. Econometrics And Statistics, Vol. 37.DOI
  2. Massoud Karshenas, M. Hashem Pesaran, Ron Smith (2026). The Strait of Hormuz, Towards a Long-Lasting Solution. CESifo.DOI
  3. M. Hashem Pesaran, Andreas Pick, Allan Timmermann (2026). Forecasting with panel data: Estimation uncertainty versus parameter heterogeneity. Quantitative Economics.DOI
  4. M. Hashem Pesaran, Ron P. Smith (2025). Identifying and Exploiting Alpha in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors. Journal Of Financial Econometrics, Vol. 230, No. 30.DOI
  5. Alexander Chudik, M. Hashem Pesaran, Mahrad Sharifvaghefi (2024). Variable selection in high dimensional linear regressions with parameter instability. Journal Of Econometrics, Vol. 2460, No. 12.DOI
  6. M. Hashem Pesaran, Liying Yang (2024). Heterogeneous autoregressions in short T panel data models. Journal Of Applied Econometrics, Vol. 390, No. 7.DOI
  7. M. Hashem Pesaran, Takashi Yamagata (2024). Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities*. Journal Of Financial Econometrics, Vol. 220, No. 20.DOI
  8. M. Hashem Pesaran, Ron P Smith (2024). HIGH-DIMENSIONAL FORECASTING WITH KNOWN KNOWNS AND KNOWN UNKNOWNS. National Institute Economic Review.DOI
  9. Alexander Chudik, M. Hashem Pesaran, Ron P. Smith (2023). Revisiting the Great Ratios Hypothesis. Oxford Bulletin Of Economics And Statistics, Vol. 850, No. 50.DOI
  10. Kazuhiko Hayakawa, M. Hashem Pesaran, L. Vanessa Smith (2023). Short T$$ T $$ dynamic panel data models with individual, time and interactive effects. Journal Of Applied Econometrics, Vol. 380, No. 6.DOI
  11. Alexander Chudik, M. Hashem Pesaran, Alessandro Rebucci (2023). Social Distancing, Vaccination and Evolution of COVID-19 Transmission Rates in Europe. Imf Economic Review, Vol. 710, No. 20.DOI
  12. Zhan Gao, M. Hashem Pesaran (2023). Identification and estimation of categorical random coefficient models. Empirical Economics, Vol. 64, No. 6.DOI
  13. Dario Laudati, M. Hashem Pesaran (2023). Identifying the effects of sanctions on the Iranian economy using newspaper coverage. Journal Of Applied Econometrics, Vol. 380, No. 3.DOI
  14. M. Hashem Pesaran, Ron P. Smith (2023). Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios. Econometrics And Statistics, Vol. 26.DOI
  15. Kyung So Im, M. Hashem Pesaran, Yongcheol Shin (2023). Testing for unit roots in heterogeneous panels (Reprinted from Journal of Econometrics, vol 115, pg 53-74, 2003). Journal Of Econometrics, Vol. 2340.DOI
  16. Kyung So Im, M. Hashem Pesaran, Yongcheol Shin (2023). Reflections on ''Testing for unit roots in heterogeneous panels''. Journal Of Econometrics, Vol. 2340.DOI
  17. Federal Reserve Bank of Dallas, Alexander Chudík, M. Hashem Pesaran, Ron P Smith (2023). Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels.DOI
  18. M. Hashem Pesaran, Cynthia Fan Yang (2022). Matching theory and evidence on Covid-19 using a stochastic network SIR model. Journal Of Applied Econometrics, Vol. 370, No. 6.DOI
  19. Wukuan Cun, M. Hashem Pesaran (2022). A spatiotemporal equilibrium model of migration and housing interlinkages. Journal Of Housing Economics, Vol. 57.DOI
  20. Rashad Ahmed, M. Hashem Pesaran (2022). Regional heterogeneity and US presidential elections: Real-time 2020 forecasts and evaluation. International Journal Of Forecasting, Vol. 38, No. 2.DOI
  21. Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi, Jui‐Chung Yang (2022). Climate change and economic activity: evidence from US states. Oxford Open Economics.DOI
  22. Matthew E. Kahn, Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi, Jui-Chung Yang (2021). Long-term macroeconomic effects of climate change: A cross-country analysis. Energy Economics, Vol. 104.DOI
  23. Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi, Alessandro Rebucci (2021). A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model q. Journal Of International Money And Finance, Vol. 119.DOI
  24. Natalia Bailey, George Kapetanios, M. Hashem Pesaran (2021). Measurement of factor strength: Theory and practice. Journal Of Applied Econometrics, Vol. 360, No. 5.DOI
  25. M. Hashem Pesaran, Cynthia Fan Yang (2021). Estimation and inference in spatial models with dominant units. Journal Of Econometrics, Vol. 2210, No. 2.DOI
  26. M. Hashem Pesaran (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, Vol. 600, No. 1.DOI
  27. Michele Aquaro, Natalia Bailey, M. Hashem Pesaran (2021). Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices. Journal Of Applied Econometrics, Vol. 360, No. 1.DOI
  28. Alexander Chudík, M. Hashem Pesaran (2021). An augmented Anderson–Hsiao estimator for dynamic short-Tpanels†. Econometric Reviews.DOI
  29. Federal Reserve Bank of Dallas, Alexander Chudík, M. Hashem Pesaran, Ron P Smith (2021). Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels.DOI
  30. Federal Reserve Bank of Dallas, Alexander Chudík, M. Hashem Pesaran, Ron P Smith (2021). Online Supplement to “Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels”.DOI
  31. Federal Reserve Bank of Dallas, Alexander Chudík, M. Hashem Pesaran, Alessandro Rebucci (2021). COVID-19 Time-varying Reproduction Numbers Worldwide: An Empirical Analysis of Mandatory and Voluntary Social Distancing.DOI
  32. M. Hashem Pesaran, Cynthia Fan Yang (2020). Econometric analysis of production networks with dominant units. Journal Of Econometrics, Vol. 2190, No. 2.DOI
  33. Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci (2020). Uncertainty and Economic Activity: A Multicountry Perspective. Review Of Financial Studies, Vol. 330, No. 8.DOI
  34. M. Hashem Pesaran, Ida Johnsson (2020). Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes. Journal Of Business & Economic Statistics, Vol. 380, No. 2.DOI
  35. Matthew Harding, Carlos Lamarche, M. Hashem Pesaran (2020). Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models. Journal Of Applied Econometrics, Vol. 350, No. 3.DOI
  36. George Kapetanios, M. Hashem Pesaran, S. Reese (2020). Detection of units with pervasive effects in large panel data models. Journal of Econometrics.DOI
  37. Federal Reserve Bank of Dallas, Alexander Chudík, M. Hashem Pesaran, Mahrad Sharifvaghefi (2020). Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks.DOI
  38. Federal Reserve Bank of Dallas, Alexander Chudík, M. Hashem Pesaran, Alessandro Rebucci (2020). Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries.DOI
  39. N. T. J. Bailey, George Kapetanios, M. Hashem Pesaran (2020). Correction to: Exponent of Cross-sectional Dependence for Residuals. Sankhya B.DOI
  40. Natalia Bailey, M. Hashem Pesaran, L. Vanessa Smith (2019). A multiple testing approach to the regularisation of large sample correlation matrices. Journal Of Econometrics, Vol. 2080, No. 2.DOI
  41. Alexander Chudik, M. Hashem Pesaran (2019). Mean group estimation in presence of weakly cross-correlated estimators. Economics Letters, Vol. 175.DOI
  42. Matthew E. Kahn, Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi, International Monetary Fund, Jui-Chung Yang (2019). Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis.DOI
  43. Natalia Bailey, George Kapetanios, M. Hashem Pesaran (2019). Exponent of Cross-sectional Dependence for Residuals. Sankhya B.DOI
  44. Alexander Chudik, M. Hashem Pesaran, Jui-Chung Yang (2018). Half-panel jackknife fixed-effects estimation of linear panels with weakly exogenous regressors. Journal Of Applied Econometrics, Vol. 330, No. 6.DOI
  45. A. Chudik, G. Kapetanios, M. Hashem Pesaran (2018). A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models. Econometrica, Vol. 860, No. 4.DOI
  46. M. Hashem Pesaran, Ron P. Smith (2018). Tests of Policy Interventions in DSGE Models. Oxford Bulletin Of Economics And Statistics, Vol. 800, No. 30.DOI
  47. M. Hashem Pesaran, Qiankun Zhou (2018). To Pool or Not to Pool: Revisited. Oxford Bulletin Of Economics And Statistics, Vol. 800, No. 20.DOI
  48. Federal Reserve Bank of Dallas, Alexander Chudík, M. Hashem Pesaran, Kamiar Mohaddes (2018). Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR.DOI
  49. M. Hashem Pesaran, Ron P Smith (2018). A Bayesian analysis of linear regression models with highly collinear regressors. Econometrics and Statistics.DOI
  50. Kamiar Mohaddes, M. Hashem Pesaran (2017). Oil prices and the global economy: Is it different this time around? Energy Economics, Vol. 65.DOI
  51. Alexander Chudik, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi (2017). Is There a Debt-Threshold Effect on Output Growth? Review Of Economics And Statistics, Vol. 990, No. 1.DOI
  52. Majid M. Al-Sadoon, Tong Li, M. Hashem Pesaran (2017). Exponential class of dynamic binary choice panel data models with fixed effects. Econometric Reviews.DOI
  53. Kamiar Mohaddes, M. Hashem Pesaran (2016). Country-specific oil supply shocks and the global economy: A counterfactual analysis. Energy Economics, Vol. 59.DOI
  54. Natalia Bailey, George Kapetanios, M. Hashem Pesaran (2016). Exponent of Cross-Sectional Dependence: Estimation and Inference. Journal Of Applied Econometrics, Vol. 310, No. 6.DOI
  55. Alexander Chudik, Valerie Grossman, M. Hashem Pesaran (2016). A multi-country approach to forecasting output growth using PMIs. Journal Of Econometrics, Vol. 1920, No. 2.DOI
  56. Alexander Chudik, M. Hashem Pesaran (2016). [Review] THEORY AND PRACTICE OF GVAR MODELLING. Journal Of Economic Surveys, Vol. 300, No. 10.DOI
  57. Natalia Bailey, Sean Holly, M. Hashem Pesaran (2016). A Two-Stage Approach to Spatio-Temporal Analysis with Strong and Weak Cross-Sectional Dependence. Journal Of Applied Econometrics, Vol. 310, No. 1.DOI
  58. M. Hashem Pesaran, Qiankun Zhou (2016). Estimation of time-invariant effects in static panel data models. Econometric Reviews.DOI
  59. M. Hashem Pesaran, Ronald Smith (2016). Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing. Research in Economics.DOI
  60. Alexander Chudik, M. Hashem Pesaran (2015). Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. Journal Of Econometrics, Vol. 1880, No. 2.DOI
  61. Kazuhiko Hayakawa, M. Hashem Pesaran (2015). Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity. Journal Of Econometrics, Vol. 1880, No. 1.DOI
  62. M. Hashem Pesaran (2015). Time Series and Panel Data Econometrics. OUP Oxford.
  63. Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith, Ron P. Smith (2014). Constructing Multi-Country Rational Expectations Models. Oxford Bulletin Of Economics And Statistics, Vol. 760, No. 60.DOI
  64. M. Hashem Pesaran, Ron P. Smith (2014). Signs of impact effects in time series regression models. Economics Letters, Vol. 122, No. 2.DOI
  65. Hadi Salehi Esfahani, Kamiar Mohaddes, M. Hashem Pesaran (2014). AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS. Journal Of Applied Econometrics, Vol. 290, No. 1.DOI
  66. M. Hashem Pesaran, Alexander Chudik (2014). Aggregation in large dynamic panels. Journal Of Econometrics, Vol. 1780.DOI
  67. M. Hashem Pesaran (2014). Testing Weak Cross-Sectional Dependence in Large Panels. Econometric Reviews.DOI
  68. M. Hashem Pesaran, Andreas Pick, Mikhail Pranovich (2013). Optimal forecasts in the presence of structural breaks. Journal Of Econometrics, Vol. 1770, No. 2.DOI
  69. M. Hashem Pesaran, L. Vanessa Smith, Takashi Yamagata (2013). Panel unit root tests in the presence of a multifactor error structure. Journal Of Econometrics, Vol. 1750, No. 2.DOI
  70. Gary Koop, M. Hashem Pesaran, Ron P. Smith (2013). On Identification of Bayesian DSGE Models. Journal Of Business & Economic Statistics, Vol. 310, No. 3.DOI
  71. Alexander Chudík, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi (2013). Debt, Inflation and Growth: Robust Estimation of Long-Run Effects in Dynamic Panel Data Models. Apollo (University of Cambridge).DOI
  72. Hadi Salehi Esfahani, M. Hashem Pesaran (2013). Introduction. The Quarterly Review of Economics and Finance.DOI
  73. M. Hashem Pesaran (2012). On the interpretation of panel unit root tests. Economics Letters, Vol. 116, No. 3.DOI
  74. Cheng Hsiao, M. Hashem Pesaran, Andreas Pick (2012). Diagnostic Tests of Cross-section Independence for Limited Dependent Variable Panel Data Models. Oxford Bulletin Of Economics And Statistics, Vol. 740, No. 20.DOI
  75. Alexander Chudík, M. Hashem Pesaran (2012). Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. Econometric Reviews.DOI
  76. Hadi Salehi Esfahani, Kamiar Mohaddes, M. Hashem Pesaran (2012). Oil exports and the Iranian economy. The Quarterly Review of Economics and Finance.DOI
  77. George Kapetanios, M. Hashem Pesaran (2012). Comment on ‘Fast sparse regression and classification’ by J.H. Friedman. International Journal of Forecasting.DOI
  78. Kazuhiko Hayakawa, M. Hashem Pesaran (2012). Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models. Apollo (University of Cambridge).DOI
  79. Emmanuel Dhyne, Catherine Fuss, M. Hashem Pesaran, Patrick Sevestre (2011). Lumpy Price Adjustments: A Microeconometric Analysis. Journal Of Business & Economic Statistics, Vol. 290, No. 4.DOI
  80. M. Hashem Pesaran, Andreas Pick, Allan Timmermann (2011). Variable selection, estimation and inference for multi-period forecasting problems. Journal Of Econometrics, Vol. 1640, No. 1.DOI
  81. Alexander Chudik, M. Hashem Pesaran (2011). Infinite-dimensional VARs and factor models. Journal Of Econometrics, Vol. 1630, No. 1.DOI
  82. M. Hashem Pesaran, Elisa Tosetti (2011). Large panels with common factors and spatial correlation. Journal Of Econometrics, Vol. 1610, No. 2.DOI
  83. M. Hashem Pesaran, Andreas Pick (2011). Forecast Combination Across Estimation Windows. Journal Of Business & Economic Statistics, Vol. 290, No. 2.DOI
  84. G. Kapetanios, M. Hashem Pesaran, T. Yamagata (2011). Panels with non-stationary multifactor error structures. Journal Of Econometrics, Vol. 1600, No. 2.DOI
  85. Sean Holly, M. Hashem Pesaran, Takashi Yamagata (2011). The spatial and temporal diffusion of house prices in the UK. Journal Of Urban Economics, Vol. 690, No. 1.DOI
  86. Alexander Chudik, M. Hashem Pesaran, Elisa Tosetti (2011). Weak and strong cross-section dependence and estimation of large panels. Econometrics Journal, Vol. 140, No. 10.DOI
  87. M. Hashem Pesaran, Ron P Smith (2011). BEYOND THE DSGE STRAITJACKET1. Manchester School.DOI
  88. Bahram Pesaran, M. Hashem Pesaran (2010). Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash. Economic Modelling, Vol. 27, No. 6.DOI
  89. Sean Holly, M. Hashem Pesaran, Takashi Yamagata (2010). A spatio-temporal model of house prices in the USA. Journal Of Econometrics, Vol. 1580, No. 1.DOI
  90. Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith, Ron P. Smith (2009). Identification of New Keynesian Phillips Curves from a Global Perspective. Journal Of Money Credit And Banking, Vol. 410, No. 7.DOI
  91. M. Hashem Pesaran, Til Schuermann, L. Vanessa Smith (2009). Forecasting economic and financial variables with global VARs. International Journal Of Forecasting, Vol. 25, No. 4.DOI
  92. M. Hashem Pesaran, Christoph Schleicher, Paolo Zaffaroni (2009). Model averaging in risk management with an application to futures markets. Journal Of Empirical Finance, Vol. 16, No. 20.DOI
  93. Hadi Salehi Esfahani, M. Hashem Pesaran (2009). The Iranian Economy in the Twentieth Century: A Global Perspective. Iranian Studies, Vol. 420, No. 2.DOI
  94. M. Hashem Pesaran, Til Schuermann, L. Vanessa Smith (2009). Rejoinder to comments on forecasting economic and financial variables with global VARs. International Journal of Forecasting.DOI
  95. M. Hashem Pesaran, Ron P Smith, Takashi Yamagata, Lyudmyla Hvozdyk (2009). Pairwise Tests of Purchasing Power Parity. Econometric Reviews.DOI
  96. M. Hashem Pesaran, Allan Timmermann (2009). Testing Dependence Among Serially Correlated Multicategory Variables. Journal of the American Statistical Association.DOI
  97. A. R. Pagan, M. Hashem Pesaran (2008). Econometric analysis of structural systems with permanent and transitory shocks. Journal Of Economic Dynamics & Control, Vol. 32, No. 10.DOI
  98. Samuel G. Hanson, M. Hashem Pesaran, Til Schuermann (2008). Firm heterogeneity and credit risk diversification. Journal Of Empirical Finance, Vol. 15, No. 40.DOI
  99. M. Hashem Pesaran, Takashi Yamagata (2008). Testing slope homogeneity in large panels. Journal Of Econometrics, Vol. 1420, No. 1.DOI
  100. M. Hashem Pesaran, Aman Ullah, Takashi Yamagata (2008). A bias-adjusted LM test of error cross-section independence. Econometrics Journal, Vol. 110, No. 10.DOI
  101. M. Hashem Pesaran (2007). A pair-wise approach to testing for output and growth convergence. Journal Of Econometrics, Vol. 1380, No. 1.DOI
  102. M. Hashem Pesaran, Andreas Pick (2007). Econometric issues in the analysis of contagion. Journal Of Economic Dynamics & Control, Vol. 310, No. 4.DOI
  103. M. Hashem Pesaran, Allan Timmermann (2007). Selection of estimation window in the presence of breaks. Journal Of Econometrics, Vol. 1370, No. 1.DOI
  104. M. Hashem Pesaran (2007). A simple panel unit root test in the presence of cross-section dependence. Journal Of Applied Econometrics, Vol. 220, No. 2.DOI
  105. Badi H. Baltagi, M. Hashem Pesaran (2007). Heterogeneity and cross section dependence in panel data models: Theory and applications - Introduction. Journal Of Applied Econometrics, Vol. 220, No. 2.DOI
  106. Stephane Dees, Filippo Di Mauro, M. Hashem Pesaran, L. Vanessa Smith (2007). Exploring the international linkages of the euro area: A global var analysis. Journal Of Applied Econometrics, Vol. 220, No. 1.DOI
  107. M. Hashem Pesaran, L. Vanessa Smith, Ron P. Smith (2007). What if the UK or Sweden had joined the Euro in 1999? An empirical evaluation using a global VAR. International Journal Of Finance & Economics, Vol. 120, No. 10.DOI
  108. M. Hashem Pesaran (2007). Large Panels with Common Factors and Spatial Correlations. Apollo (University of Cambridge).DOI
  109. Bahram Pesaran, M. Hashem Pesaran (2007). Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution. Apollo (University of Cambridge).DOI
  110. Adrian Pagan, M. Hashem Pesaran (2007). On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables. Apollo (University of Cambridge).DOI
  111. M. Hashem Pesaran, Davide Pettenuzzo, Allan Timmermann (2006). Forecasting time series subject to multiple structural breaks. Review Of Economic Studies, Vol. 730, No. 4.
  112. M. Hashem Pesaran, Til Schuermann, Bjorn-Jakob Treutler, Scott M. Weiner (2006). Macroeconomic dynamics and credit risk: A global perspective. Journal Of Money Credit And Banking, Vol. 380, No. 5.DOI
  113. M. Hashem Pesaran (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, Vol. 740, No. 4.DOI
  114. Patrick J. Coe, M. Hashem Pesaran, Shaun P. Vahey (2005). The Cost Effectiveness of the UK's Sovereign Debt Portfolio*. Oxford Bulletin of Economics and Statistics.DOI
  115. Michael Binder, Cheng Hsiang Hsiao, M. Hashem Pesaran (2005). ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION. Econometric Theory.DOI
  116. M. Hashem Pesaran, Allan Timmermann (2005). REAL-TIME ECONOMETRICS. Econometric Theory.DOI
  117. M. Hashem Pesaran, Allan Timmermann (2004). Small sample properties of forecasts from autoregressive models under structural breaks. Journal of Econometrics.DOI
  118. M. Hashem Pesaran, Til Schuermann, Scott M. Weiner (2004). Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model. Journal of Business and Economic Statistics.DOI
  119. M. Hashem Pesaran, Til Schuermann, Scott M. Weiner (2004). Rejoinder. Journal of Business and Economic Statistics.DOI
  120. Michael Binder, M. Hashem Pesaran (2001). Life-cycle consumption under social interactions. Journal of Economic Dynamics and Control.DOI
  121. Kees Jan van Garderen, Kevin C. Lee, M. Hashem Pesaran (2000). Cross-sectional aggregation of non-linear models. Journal of Econometrics.DOI
  122. Michael Binder, M. Hashem Pesaran (2000). Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems. Journal of Economic Dynamics and Control.DOI
  123. M. Hashem Pesaran, Yongcheol Shin, Ron P Smith (1999). Pooled Mean Group Estimation of Dynamic Heterogeneous Panels. Journal of the American Statistical Association.DOI
  124. Nadeem Ul Haque, M. Hashem Pesaran, Sunil Sharma (1999). Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions. Apollo (University of Cambridge).DOI
  125. M. Hashem Pesaran, Ron P Smith (1998). Structural Analysis of Cointegrating VARs. Journal of Economic Surveys.DOI
  126. Michael Binder, M. Hashem Pesaran (1997). Multivariate Linear Rational Expectations Models. Econometric Theory.DOI
  127. Kevin C. Lee, M. Hashem Pesaran, Ron P Smith (1997). Growth and convergence in a multi-country empirical stochastic Solow model. Journal of Applied Econometrics.DOI

Preprints

  1. Alexander Chudík, M. Hashem Pesaran, Ron P Smith (2025). Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratio. SSRN Electronic Journal.DOI
  2. M. Hashem Pesaran, Yimeng Xie (2024). How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test. SSRN Electronic Journal.DOI
  3. M. Hashem Pesaran, Hayun Song (2024). Forecasting 2024 US Presidential Election by States Using County Level Data: Too Close to Call. SSRN Electronic Journal.DOI
  4. M. Hashem Pesaran, Liying Yang (2023). Trimmed Mean Group Estimation of Average Treatment Effects in Ultra Short T Panels Under Correlated Heterogeneity. SSRN Electronic Journal.DOI
  5. Ida Johnsson, M. Hashem Pesaran, Cynthia Fan Yang (2023). Structural Econometric Estimation of the Basic Reproduction Number for COVID-19 Across U.S. States and Selected Countries. SSRN Electronic Journal.DOI
  6. Andrea Nocera, M. Hashem Pesaran (2022). Causal Effects of the Fed's Large-Scale Asset Purchases on Firms' Capital Structure. SSRN Electronic Journal.DOI
  7. M. Hashem Pesaran, Yimeng Xie (2021). A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors. SSRN Electronic Journal.DOI
  8. M. Hashem Pesaran, Ron P Smith (2021). Factor Strengths, Pricing Errors, and Estimation of Risk Premia. SSRN Electronic Journal.DOI
  9. M. Hashem Pesaran, Ron P Smith (2019). The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models. SSRN Electronic Journal.DOI
  10. Wukuang Cun, M. Hashem Pesaran (2018). Land Use Regulations, Migration and Rising House Price Dispersion in the U.S. SSRN Electronic Journal.DOI
  11. George Kapetanios, M. Hashem Pesaran, Simon Reese (2018). A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models. SSRN Electronic Journal.DOI
  12. Alexander Chudík, M. Hashem Pesaran (2017). A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels. SSRN Electronic Journal.DOI
  13. M. Hashem Pesaran, R. Todd Smith (2017). Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors. SSRN Electronic Journal.DOI
  14. M. Hashem Pesaran, TengTeng Xu (2016). Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults. SSRN Electronic Journal.DOI
  15. Jörg Breitung, M. Hashem Pesaran (2016). Unit Roots and Cointegration in Panels. SSRN Electronic Journal.DOI
  16. Alexander Chudík, George Kapetanios, M. Hashem Pesaran (2016). Big Data Analytics: A New Perspective. SSRN Electronic Journal.DOI
  17. Michele Aquaro, Natalia Bailey, M. Hashem Pesaran (2015). Quasi Maximum Likelihood Estimation of Spatial Models with Heterogeneous Coefficients. SSRN Electronic Journal.DOI
  18. M. Hashem Pesaran, Ron P Smith (2014). Tests of Policy Ineffectiveness in Macroeconometrics. RePEc: Research Papers in Economics.DOI
  19. Kazuhiko Hayakawa, M. Hashem Pesaran, L. Vanessa Smith (2014). Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects. SSRN Electronic Journal.DOI
  20. Kamiar Mohaddes, M. Hashem Pesaran (2013). One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing? SSRN Electronic Journal.DOI
  21. M. Hashem Pesaran, Takashi Yamagata (2012). Testing CAPM with a Large Number of Assets. SSRN Electronic Journal.DOI
  22. M. Hashem Pesaran, TengTeng Xu (2011). Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults. RePEc: Research Papers in Economics.DOI
  23. M. Hashem Pesaran, Alessandro Rebucci, TengTeng Xu (2011). China's Emergence in the World Economy and Business Cycles in Latin America. SSRN Electronic Journal.DOI
  24. Stéphane Dées, M. Hashem Pesaran, L. Vanessa Smith, Ron P Smith (2010). Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model. SSRN Electronic Journal.DOI
  25. M. Hashem Pesaran (2010). Predictability of Asset Returns and the Efficient Market Hypothesis. SSRN Electronic Journal.DOI
  26. M. Hashem Pesaran, Paolo Zaffaroni (2009). Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios. SSRN Electronic Journal.DOI
  27. M. Hashem Pesaran, Paolo Zaffaroni (2008). Optimal Asset Allocation with Factor Models for Large Portfolios. RePEc: Research Papers in Economics.DOI
  28. M. Hashem Pesaran, Andreas Pick (2008). Forecasting Random Walks Under Drift Instability. RePEc: Research Papers in Economics.DOI
  29. Katrin Assenmacher, M. Hashem Pesaran (2008). A VECX* Model of the Swiss Economy. SSRN Electronic Journal.DOI
  30. Katrin Assenmacher, M. Hashem Pesaran (2007). Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination Across Models and Observation Windows. SSRN Electronic Journal.DOI
  31. M. Hashem Pesaran, Ron P Smith (2006). Macroeconometric Modelling with a Global Perspective. SSRN Electronic Journal.DOI
  32. M. Hashem Pesaran, Davide Pettenuzzo, Allan Timmermann (2006). Learning, Structural Instability and Present Value Calculations. SSRN Electronic Journal.DOI
  33. John F Geweke, Joël L. Horowitz, M. Hashem Pesaran (2006). Econometrics: A Bird's Eye View. SSRN Electronic Journal.DOI
  34. Samuel Hanson, M. Hashem Pesaran, Til Schuermann (2005). Scope for Credit Risk Diversification. RePEc: Research Papers in Economics.DOI
  35. Jörg Breitung, M. Hashem Pesaran (2005). Unit Roots and Cointegration in Panels. SSRN Electronic Journal.DOI
  36. M. Hashem Pesaran, Paolo Zaffaroni (2005). Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. SSRN Electronic Journal.DOI
  37. M. Hashem Pesaran, Martin Weale (2005). Survey Expectations. SSRN Electronic Journal.DOI
  38. M. Hashem Pesaran, Til Schuermann, Björn-Jakob Treutler (2005). The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification. RePEc: Research Papers in Economics.DOI
  39. M. Hashem Pesaran (2004). General Diagnostic Tests for Cross Section Dependence in Panels. SSRN Electronic Journal.DOI
  40. Cheng Hsiang Hsiao, M. Hashem Pesaran (2004). Random Coefficient Panel Data Models. SSRN Electronic Journal.DOI
  41. Kyung So Im, M. Hashem Pesaran (2003). On The Panel Unit Root Tests Using Nonlinear Instrumental Variables. RePEc: Research Papers in Economics.DOI
  42. M. Hashem Pesaran (2003). Estimation and Inference in Large Heterogenous Panels with Cross Section Dependence. SSRN Electronic Journal.DOI
  43. M. Hashem Pesaran, Allan Timmermann (2003). How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? SSRN Electronic Journal.DOI
  44. Anthony Garratt, Kevin C. Lee, M. Hashem Pesaran, Yongcheol Shin (2001). Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy. SSRN Electronic Journal.DOI
  45. Patrick J. Coe, M. Hashem Pesaran, Shaun P. Vahey (2001). The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach. SSRN Electronic Journal.DOI

Book Chapters

  1. Zhan Gao, M. Hashem Pesaran (2023). Identification and estimation of categorical random coefficient models. Advanced studies in theoretical and applied econometrics.DOI
  2. Alexander Chudík, M. Hashem Pesaran, Kamiar Mohaddes (2020). Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR. Emerald Group Publishing Limited eBooks.DOI
  3. Alexander Chudík, Kamiar Mohaddes, M. Hashem Pesaran, Mehdi Raissi (2016). Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors. Emerald Group Publishing Limited eBooks.DOI
  4. Alexander Chudík, M. Hashem Pesaran (2015). Large Panel Data Models with Cross-Sectional Dependence. Oxford University Press eBooks.DOI
  5. George Kapetanios, M. Hashem Pesaran (2007). Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling Asset Returns. Cambridge University Press eBooks.DOI
  6. M. Hashem Pesaran, Til Schuermann, Björn-Jakob Treutler (2007). Global Business Cycles and Credit Risk. University of Chicago Press eBooks.DOI

Books

  1. Anthony Garratt, Kevin C. Lee, M. Hashem Pesaran, Yongcheol Shin (2006). Global and National Macroeconometric Modelling.DOI

Research Interests

EconomicsEconometricsFinance

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