Recent Publications

With Rashad Ahmed “Regional Heterogeneity and U.S. Presidential Elections: Real-Time 2020 Forecasts and Evaluation”, International Journal of Forecasting, published online October 2021, April-June 2022, volume 38, issue 2, pp.662-687
With Matthew E. Kahn, Kamiar Mohaddes, Ryan N.C. Ng, Mehdi Raissi and Jui-Chung Yang, “Long-
Term Macroeconomic Effects of Climate Change: A Cross-country Analysis”, Energy Economics,
December 2021, volume 104
With Alexander Chudik, Kamiar Mohaddes, Mehdi Raissi and Alessandro Rebucci (2021) “A

Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model”
published online in Journal of International Money and Finance, December 2021, volume 119
With Alexander Chudik “An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels”, Econometric Reviews, published online September 2021
With Natalia Bailey and George Kapetanios (2021) “Measurement of Factor Strength: Theory and Practice”, Journal of Applied Econometrics, August 2021, volume 36, Issue 5, pp. 587-613
With Cynthia Fan Yang (2021) "Estimation and Inference in Spatial Models with Dominant Units", Journal of Econometrics, April 2021, volume 221, issue 2, pp. 591-615
With George Kapetanios and Simon Reese (2021) "Detection of Units with Pervasive Effects in Large Data Models", Journal of Econometrics, April 2021, volume 221, issue 2, pp. 510-541
With Michele Aquaro and Natalia Bailey (2021) "Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to U.S. House Prices", Journal of Applied Econometrics, January/February 2021, volume 36, issue 1, pp. 18-44
With Ambrogio Cesa-Bianchi and Alessandro Rebucci (2020) “Uncertainty and Economic Activity: A Multi-Country Perspective”, Review of Financial Studies, August 2020, volume 33, issue 8, pp. 3393-3445. Featured as a lead article and editor's choice. Previously entitled “Uncertainty and Economic Activity: A Global Perspective”, CESifo Working Paper No. 4736 April 2014
With “General diagnostic tests for cross-sectional dependence in panels”, Empirical Economics, published online May 2020
With Alexander Chudik and Kamiar Mohaddes (2020) “Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR” Tong Li, Hashem Pesaran, and Dek Terrell (eds.), Advances in Econometrics, Essays in Honor of Cheng Hsiao, volume 41, pp. 143-189, Emerald Publishing
With Matthew Harding and Carlos Lamarche (2020) “Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models”, Journal of Applied Econometrics, April/May 2020, volume 35, issue 3, pp. 294-314
With Ron P. Smith "A Bayesian Analysis of Linear Regression Models with Highly Collinear Regressors" Econometrics and Statistics, July 2019, volume 11, pp. 1-21
With Natalia Bailey and George Kapetanios (2019) “Exponent of Cross-sectional Dependence for Residuals”, Sankhya B. The Indian Journal of Statistics, May 2019, volume 81-B, Supplement 1, pp. S46-S102.
With Alexander Chudik (2019) “Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators” in Economic Letters, February 2019, volume 175, pp. 101-105
With Natalia Bailey and Vanessa Smith (2019) "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices", Journal of Econometrics, February 2019, volume 208, issue 2, pp. 507-534
With Ida Johnsson (2018) "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes", Journal of Business and Economic Statistics, published online November 2018
With Alexander Chudik and Jui-chung Yang (2018) "Half-panel jackknife fixed-effects estimation of linear panels with weakly exogenous regressors", Journal of Applied Econometics, October 2018, volume 33, issue 6, pp. 816-836, publisued online June 7, 2018
“A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High Dimensional Linear Regression Models”, by Alexander Chudik, George Kapetanios, and M. Hashem Pesaran, Econometrica, July 2018, volume 86, issue 4, pp. 1479-1512
With Ron P. Smith (2018) “Tests of Policy Interventions in DSGE Models”, Oxford Bulletin of Economics and Statistics, June 2018, volume 80, Issue 3, pp. 457-484, Published online: December 11, 2017
With Alexander Chudik and Jui-Chung Yang (2018), “Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressors”, Journal of Applied Econometrics, May 2018
With Qiankun Zhou (2018) “To Pool or not to Pool: Revisited", Oxford Bulletin of Economics and Statistics, April, Vol. 80, Issue 2, pp. 185-217, Published online: December 7, 2017
With Qiankun Zhou (2018),“Estimation of Time-invariant Effects in Static Panel Data Model”, in Econometrics Reviews, Volume 37, Issue 10, pp. 1137-1171, Published online: 22 Aug 2016
With Majid M. Al-Sadoon and Tong Li, "An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects” in Econometrics Reviews, Volume 36, pp. 898-927, Published online: May 2017
With Kamiar Mohaddes (2017) "Oil prices and the global economy:Is it different this time around?" Energy Economics, volume 65, June 2017, pp. 315-325
With Alexander Chudik, Kamiar Mohaddes, and Mehdi Raissi, (2017) "Is there a Debt-Threshold Effect on Output Growth?", Review of Economics and Statistics, volume 99, pp. 135-150
With Alexander Chudik, Kamiar Mohaddes, and Medhi Raissi (2016) “Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors” in Advances in Econometrics, Volume 36, pp. 85-135. Essays in Honor of Aman Ullah
With Natalia Bailey, George Kapetanios, (2016) "Exponent of Cross-sectional Dependence: Estimation and Inference”, Journal of Applied Econometrics, volume 31, pp. 929-1196
With Kamiar Mohaddes, (2016) “Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis”, Energy Economics, volume 59, pp. 382-399
With Ron Smith, (2016), “Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing”, Research in Economics, Volume 70, Issue 2, pp. 262-280
With Alexander Chudik, (2016), “Theory and Practice of GVAR Modeling”, Journal of Economic Surveys, Volume 30, Issue 1, pp. 165-197
With Alexander Chudik and Valerie Grossmanz, (2016), “A Multi-Country Approach to Forecasting Output Growth Using PMIs”, Journal of Econometrics, Volume 192, Issue 2, pp. 349-365
With Natalia Bailey and Sean Holly, (2016), "A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence", Journal of Applied Econometrics, Volume 31, Issue 1, pp. 249-280
(2015), “Testing Weak Cross-Sectional Dependence in Large Panels”, Econometric Reviews, Volume 34, Issue 6-10, pp. 1089-1117
With Alexander Chudik, (2015), “Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors”, Journal of Econometric, Volume 188, Issue 2, pp. 393-420
Time Series and Panel Data Econometrics. Oxford, Oxford University Press. November 2015
With Ron Smith,“Sacntions were not the only problem”, International Finance Magazine, Vol. 1, Issue 5, pp. 22-25, October-December 2015. http://www.internationalfinancemagazine.com/
With Kazuhiko Hayakawa,“Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross Sectional Heteroskedasticity”, Journal of Econometrics Vol. 188, Issue 1, pp 111-134, September 2015
With Stephane Dees, Ron Smith and L. Vanessa Smith. “Constructing Multi-Country Rational Expectations Models” Oxford Bulletin of Economics and Statistics, Volume 76, Issue 6, Pages: 812–840, December 2014.
With Ron P. Smith, “Signs of Impact Effects in Time Series Regression Models”, Economics Letters, Volume 122, Issue 2 pp.150-153, February 2014
With Alexander Chudik, “Aggregation in Large Dynamic Panels”, Journal of Econometrics, Vol 178, Issue 2 pp. 273-285, January 2014
With H.S. Esfahani and K. Mohaddes, “An Empirical Growth Model for Major Oil Exporters”, Journal of Applied Econometrics, Vol. 29, Issue 1 pp. 1-21, January/February 2014

Forthcoming Publications
- With Wukuang Cun “A Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages” , April 2022, forthcoming in Journal of Housing Economics
- With Cynthia Fan Yang, “Matching Theory and Evidence on Covid-19 Using a Stochastic Network SIR Model” forthcoming in Journal of Applied Econometrics, CESifo Working Paper No. 8695, November 2020, revised September 2021
Working Papers
- With Andrea Nocera (2022) "Causal effects of the Fed's Large-scale asset purchases on firms' capital structure" , Cambridge Working Papers in Economics, No. 2224, April 2022.
- With Andreas Pick and Allan Timmermann, "Forecasting with panel data: estimation uncertainty versus parameter heterogeneity", Cambridge Working Papers in Economics No. 2219, April 2022.
- With Alexander Chudik and Ron P. Smith, "Revisiting the Great Ratios Hypothesis", CESifo WP No. 9625, March 2022.
- With Kamiar Mohaddes, Ryan N.C. Ng, Mehdi Raissi and Jui-Chung Yang, "Climate Change and Economic Activity: Evidence from U.S. States", CESifo WP No. 9542, January 2022.
- With 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
- With Kazuhiro Hayakawa and L. Vanessa Smith (2021) “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, 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.
- With Dario Laudati, “Identifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage”, CESifo Working Paper No. 9217, July 2021
- With Alexander Chudik and Ron P. Smith (2021) “ Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels”, Federal Reserve Bank of Dallas Globalization Institute Working Paper No. 409, June 2021
- With Ron P. Smith, “Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios”, CESifo Working Paper No. 9001, April 2021 updated October 2021.
- With Ron P. Smith, “Factor Strengths, Pricing Errors, and Estimation of Risk Premia”, CESifo Working Paper No. 8947, March, 2021.
- With Alexander Chudik and Mahrad Sharifvaghefi (2021) “Variable Selection and Forecasting in High Dimensional Linear Regressions with Parameter Instability” previously entitled “ Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks”, CESifo Working Paper No. 8475, July 2020.
- With Alexander Chudik and Alessandro Rebucci (2020) “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.
- With Ron P. Smith, (2019) “The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models” CESifo Working Paper No. 7919, October 2019.
- With Takashi Yamagata (2017) "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities", USC-INET Research Paper No. 17-13, and CESifo Working Paper No. 6432, April 2017.

Professor M. Hashem Pesaran
Department of Economics
University of Southern California

Email: hpesaran@dornsife.usc.edu

Recent Publications

Forthcoming Publications

Working Papers