Working Papers

2023

• Hashem Pesaran and Ron P. Smith, “The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors” CESifo Working Paper No. 10282, February 2023

2022

• Alexander Chudik, Hashem Pesaran and Ron P. Smith, “Revisiting the Great Ratios Hypothesis”, CESifo Working Paper No, 9625, March 2022
• Andrea Nocera and Hashem Pesaran, “Causal Effects of the Fed’s Large-Scale Asset Purchases on Firms’ Capital Structure”, CESifo Working Paper No. 9695, April 2022
• Hashem Pesaran, Andreas Pick and Allan Timmermann, “Forecasting with panel data: estimation uncertainty versus parameter heterogeneity”, CESifo Working Paper No. 9690, April 2022
• Hashem Pesaran and Yimeng Xie, “A Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors”, CESifo Working Paper No. 9234, August 2021, Revised August 2022
• Rashad Ahmed and Alessandro Rebucci, “Dollar Reserves and U.S. Yields: Identifying the Price Impact of Official Flows”, NBER Working Paper No. 30476, September 2022
• Kenneth S. Rogoff, Barbara Rossi & Paul Schmelzing, “Long-Run Trends in Long-Maturity Real Rates: 1311-2021”, NBER Working Paper No. 30475, September 2022
• Chen, J., Li, D., Li, Y.,and Oliver Linton, Estimating Time-Varying Networks for High-Dimensional Time Series, (2022) CWPE2273
• Oliver Linton, Xu, E. “Auditing the Auditors: An evaluation of the REF2021 Output Results”, (2022) CWPE2266
• Ashby, M., Oliver Linton, “Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?”, (2022) CWPE2259
• Cheng, T., Dong, C., Gao, J., and Oliver Linton. “GMM Estimation for High–Dimensional Panel Data Models”, (2022) CWPE2245
• Vogt, M., Walsh, C., and Oliver Linton, “CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects”, (2022) CWPE2242

2021

• Hashem Pesaran, Kazuhiro Hayakawa and L. Vanessa Smith, “ShortT Dynamic Panel Data Models with Individual, Time and Interactive Effects”, February 2020 revised August 2021, Previously entitled “Short T Dynamic Panel Data Models with Individual and Interactive Time Effects”, September 2018.
• Hashem Pesaran and Dario Laudati, “Identifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage”, CESifo Working Paper No. 9217, July 2021
• Hashem Pesaran, Alexander Chudik and Ron P. Smith, “ Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels”, Federal Reserve Bank of Dallas Globalization Institute Working Paper No. 409, June 2021
• Hashem Pesaran and Ron P. Smith, “Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios”, CESifo Working Paper No. 9001, April 2021, revised October 2021.
• Hashem Pesaran and Cynthia Fan Yang, “Matching Theory and Evidence on Covid-19 Using a Stochastic Network SIR Model”, CESifo Working Paper No. 8695, November 2020, revised September 2021. 
• Hashem Pesaran and Ron P. Smith, “Factor Strengths, Pricing Errors, and Estimation of Risk Premia”, CESifo Working Paper No. 8947, March, 2021.

 2020

• Alessandro Rebucci, P. Bednarek, D. M. te Kaat, and C. Ma, “Capital Flows, Real Estate, and Local Cycles: Evidence from German Cities, Banks, and Firms”, November 2020
• Jun Yu, Yong Li, Xiaobin Liu and Tao Zeng, “Posterior-Based Wald-Type Statistic for Hypothesis Testing”, November 2020
• M. Hashem Pesaran, Alexander Chudik, Kamiar Mohaddes, Mehdi Raissi and Alessandro Rebucci “A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model”, NBER Working Paper No. 27855, September 2020. University of Cambridge online article. Magazine coverage in Tejarat-e Farda (in Persian)
• M. Hashem Pesaran, Alexander Chudik and Mahrad Sharifvaghefi “ Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks”, CESifo Working Paper No. 8475, July 2020
• M. Hashem Pesaran, Alexander Chudik and Alessandro Rebucci “Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries”,  NBER Working Paper No. 27039, CESifo Working Paper No. 8243, April 2020
• M. Hashem Pesaran, Natalia Bailey and George Kapetanios “Measurement of Factor Strength: Theory and Practice”, CESifo WP No. 8146, March 2020, Monash Department of Econometrics and Business Statistics  Working Paper series 07/2020, March 2020
• M. Hashem Pesaran, Kazuhiro Hayakawa and L. Vanessa Smith “ShortT Dynamic Panel Data Models with Individual, Time and Interactive Effects”, February 2020, Previously entitled “Short T Dynamic Panel Data Models with Individual and Interactive Time Effects”, September 2018, USC-INET Research Paper No. 18-18. Previously entitled “Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects” CESifo Working Paper No. 4822,  CAFE Research Paper No. 14.06, May 2014.
• Alessandro Rebucci, G. Benigno, A. Forester, and C. Otrok, “Estimating Models with Financial Crises: An Endogenous Regime Switching Approach”,  October 2020
• Jun Yu, Yue Qiu and Tian Xie, “Forecast combinations in machine learning”, May 2020
• Jun Yu, Tian Xie and Tao Zeng, “Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods” , May 2020
• Jun Yu, Yiu Lim Lui and Weilin Xiao, “The Grid Bootstrap for Continuous Time Models” , March 2020
• Alessandro Rebucci, G. Benigno, H. Chen, C. Otrok, and E. R. Young, “Optimal Policy for Macro-Financial Stability” , AEAJ: Macro, February, 2020
• Jun Yu, Katsuto Tanaka and Weilin Xiao, “Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process” , February 2020