{"id":182,"date":"2023-09-13T10:47:33","date_gmt":"2023-09-13T17:47:33","guid":{"rendered":"https:\/\/live-usc-dornsife.pantheonsite.io\/mhpesaran\/?page_id=182"},"modified":"2024-10-17T11:44:13","modified_gmt":"2024-10-17T18:44:13","slug":"publications","status":"publish","type":"page","link":"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/","title":{"rendered":"Publications"},"content":{"rendered":"\n\n  \n    \n\n\n\n\n\n\n<div\n  class=\"cc--component-container cc--rich-text \"\n\n  \n  \n  \n  \n  \n  \n  >\n  <div class=\"c--component c--rich-text\"\n    \n      >\n\n    \n      \n<div class=\"f--field f--wysiwyg\">\n\n    \n  <h2>Forthcoming Publications<\/h2>\n<ul>\n<li>With Wukuang Cun\u00a0<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3162399\">\u201cA Spatiotemporal Equilibrium Model of Migration and Housing Interlinkages\u201d<\/a>\u00a0, April 2022, forthcoming in Journal of Housing Economics<\/li>\n<li>With Cynthia Fan Yang,\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2904\">\u201cMatching Theory and Evidence on Covid-19 Using a Stochastic Network SIR Model\u201d<\/a>\u00a0forthcoming in\u00a0<i>Journal of Applied Econometrics<\/i>,\u00a0<a href=\"file:\/\/\/C:\/Users\/amatsu\/Downloads\/cesifo1_wp8695%20(1).pdf\"><i>CESifo Working Paper No. 8695<\/i><\/a>, November 2020, revised September 2021<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<p><em>Please find more recent publications by Professor Pesaran by clicking on the arrows below.<\/em><\/p>\n\n\n\n<\/div>\n\n\n  <\/div><\/div>\n\n\n\n\n\n\n    \n  \n    \n\n\n\n\n\n\n<div\n  class=\"cc--component-container cc--accordions \"\n\n  \n  \n  \n  \n  \n  \n  >\n  <div class=\"c--component c--accordions\"\n    \n      >\n\n    \n  \n      <ul>\n              <li>\n          <button type=\"button\" class=\"accordion-trigger \" id=\"heading-1-1-W07F1vkcGQ\" aria-controls=\"section-1-1-W07F1vkcGQ\" aria-expanded=\"false\" aria-disabled=\"false\">\n                          <span class=\"item-title\">Recent Publications<\/span>\n            \n                      <\/button>\n\n          <div id=\"section-1-1-W07F1vkcGQ\" role=\"region\" aria-labelledby=\"heading-1-1-W07F1vkcGQ\" class=\"accordion-panel\">\n\n                            \n    \n\n\n\n\n\n\n<div\n  class=\"cc--component-container cc--rich-text \"\n\n  \n  \n  \n  \n  \n  \n  >\n  <div class=\"c--component c--rich-text\"\n    \n      >\n\n    \n      \n<div class=\"f--field f--wysiwyg\">\n\n    \n  <ul>\n<li>With Rashad Ahmed \u201c<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0169207021001072?via%3Dihub\">Regional Heterogeneity and U.S. Presidential Elections: Real-Time 2020 Forecasts and Evaluation\u201d<\/a>,\u00a0<i>International Journal of Forecasting,\u00a0<\/i>published online October 2021,<i>\u00a0<\/i>April-June 2022,\u00a0volume 38, issue 2, pp.662-687<\/li>\n<li>With Matthew E. Kahn, Kamiar Mohaddes, Ryan N.C. Ng, Mehdi Raissi and Jui-Chung Yang,\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0140988321004898?dgcid=coauthor\">\u201cLong-<\/a><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0140988321004898?dgcid=coauthor\">Term Macroeconomic Effects of Climate Change: A Cross-country Analysis\u201d<\/a>, Energy Economics,\u00a0\u00a0December 2021, volume 104<\/li>\n<li>With Alexander Chudik, Kamiar Mohaddes, Mehdi Raissi and Alessandro Rebucci (2021)\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0261560621001285?via%3Dihub\">\u201cA <\/a><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0261560621001285?via%3Dihub\">Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model\u201d<\/a> published online in Journal of International Money and Finance, December 2021, volume 119<\/li>\n<li>With Alexander Chudik\u00a0<a href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/07474938.2021.1971388\">\u201cAn Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels\u201d<\/a>,\u00a0<i>Econometric Reviews,\u00a0<\/i>published online September 2021<\/li>\n<li>With Natalia Bailey and George Kapetanios (2021)\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2830\">\u201cMeasurement of Factor Strength: Theory and Practice\u201d<\/a>,\u00a0<i>Journal of Applied Econometrics<\/i>, August 2021, volume 36, Issue 5, pp. 587-613<\/li>\n<li>With Cynthia Fan Yang (2021)\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304407620302360?dgcid=author\">&#8220;Estimation and Inference in Spatial Models with Dominant Units&#8221;<\/a>,\u00a0<em>Journal of Econometrics<\/em>, April 2021, volume 221, issue 2, pp. 591-615<\/li>\n<li>With George Kapetanios and Simon Reese (2021)\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304407620302141\">&#8220;Detection of Units with Pervasive Effects in Large Data Models&#8221;<\/a>,\u00a0<em>Journal of Econometrics<\/em>, April 2021, volume 221, issue 2, pp. 510-541<\/li>\n<li>With Michele Aquaro and Natalia Bailey (2021)\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/jae.2792\">&#8220;Estimation and Inference for Spatial Models with Heterogeneous Coefficients: An Application to U.S. House Prices&#8221;<\/a>,\u00a0<em>Journal of Applied Econometrics<\/em>, January\/February 2021, volume 36, issue 1, pp. 18-44<\/li>\n<li>With Ambrogio Cesa-Bianchi and Alessandro Rebucci (2020) \u201c<a href=\"https:\/\/academic.oup.com\/rfs\/advance-article\/doi\/10.1093\/rfs\/hhz098\/5586346?guestAccessKey=fa5123ae-54d0-4faf-93dd-7a452242b5d4\">Uncertainty and Economic Activity: A Multi-Country Perspective<\/a>\u201d,\u00a0<i>Review of Financial Studies,\u00a0<\/i>August 2020,\u00a0volume 33, issue 8, pp. 3393-3445. Featured as a lead article and editor&#8217;s choice. Previously entitled \u201cUncertainty and Economic Activity: A Global Perspective\u201d,\u00a0<i>CESifo Working Paper No. 4736<\/i>\u00a0April 2014<\/li>\n<li>With \u201cGeneral diagnostic tests for cross-sectional dependence in panels\u201d,\u00a0\u00a0<i>Empirical Economics<\/i>,\u00a0<a href=\"https:\/\/link.springer.com\/article\/10.1007\/s00181-020-01875-7?wt_mc=Internal.Event.1.SEM.ArticleAuthorOnlineFirst\">published online May 2020<\/a><\/li>\n<li>With Alexander Chudik and Kamiar Mohaddes (2020) \u201cIdentifying Global and National Output and Fiscal Policy Shocks Using a GVAR\u201d Tong Li, Hashem Pesaran, and Dek Terrell (eds.),\u00a0<em>Advances in Econometrics<\/em>,\u00a0<em>Essays in Honor of Cheng Hsiao,<\/em>\u00a0volume 41, pp. 143-189, Emerald Publishing<\/li>\n<li>With Matthew Harding and Carlos Lamarche (2020)\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/jae.2753\">\u201cCommon Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models\u201d<\/a>,\u00a0\u00a0<i>Journal of Applied Econometrics<\/i>, April\/May 2020, volume 35, issue 3, pp. 294-314<\/li>\n<li>With Ron P. Smith\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S2452306218300728\">&#8220;A Bayesian Analysis of Linear Regression Models with Highly Collinear Regressors&#8221;<\/a>\u00a0<em>Econometrics and Statistics<\/em>, July 2019, volume 11, pp. 1-21<\/li>\n<li>With Natalia Bailey and George Kapetanios (2019)\u00a0<a href=\"https:\/\/link.springer.com\/article\/10.1007\/s13571-019-00196-9\">\u201cExponent of Cross-sectional Dependence for Residuals<\/a>\u201d,\u00a0\u00a0<i>Sankhya B.<\/i>\u00a0<i>The Indian Journal of Statistics,\u00a0<\/i>May 2019, volume 81-B, Supplement 1, pp. S46-S102.<\/li>\n<li>With Alexander Chudik (2019)\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0165176518305305\">\u201cMean Group Estimation in Presence of Weakly Cross-Correlated Estimators\u201d<\/a>\u00a0in\u00a0<i>Economic Letters<\/i>, February 2019, volume 175, pp. 101-105<\/li>\n<li>With Natalia Bailey and Vanessa Smith (2019) &#8220;<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304407618302008\">A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices<\/a>&#8220;,\u00a0<em>Journal of Econometrics<\/em>, February 2019, volume 208, issue 2, pp. 507-534<\/li>\n<li>With Ida Johnsson (2018) &#8220;<a href=\"https:\/\/amstat.tandfonline.com\/doi\/full\/10.1080\/07350015.2018.1513845#.XKfSmFVKhpg\">Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes<\/a>&#8220;,\u00a0<em>Journal of Business and Economic Statistics<\/em>, published online November 2018<\/li>\n<li>With Alexander Chudik and Jui-chung Yang (2018) &#8220;<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/jae.2623\">Half-panel jackknife fixed-effects estimation of linear panels with weakly exogenous regressors<\/a>&#8220;,\u00a0<em>Journal of Applied Econometics<\/em>, October 2018, volume 33, issue 6, pp. 816-836, publisued online June 7, 2018<\/li>\n<li><a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/abs\/10.3982\/ECTA14176?af=R\">\u201cA One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High Dimensional Linear Regression Models\u201d,<\/a>\u00a0by Alexander Chudik, George Kapetanios, and M. Hashem Pesaran,\u00a0<i>Econometrica,<\/i>\u00a0July 2018, volume 86, issue 4, pp. 1479-1512<\/li>\n<li>With\u00a0Ron P. Smith (2018)\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/obes.12224\">\u201cTests of Policy Interventions in DSGE Models\u201d<\/a>,\u00a0<i>Oxford Bulletin of Economics and Statistics,<\/i>\u00a0June 2018, volume 80, Issue 3, pp. 457-484, Published online:\u00a0<i>December 11, 2017<\/i><\/li>\n<li>With Alexander Chudik and Jui-Chung Yang (2018),\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2623\">\u00a0\u201cHalf-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressors\u201d<\/a>,\u00a0<i>Journal of Applied Econometrics<\/i>, May 2018<\/li>\n<li>With Qiankun Zhou (2018)\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/abs\/10.1111\/obes.12220\">\u201cTo Pool or not to Pool: Revisited&#8221;<\/a>,\u00a0<i>Oxford Bulletin of Economics and Statistics<\/i>, April, Vol. 80, Issue 2, pp. 185-217, Published online: December 7, 2017<\/li>\n<li>With Qiankun Zhou (2018),<a href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/07474938.2016.1222225\" target=\"_blank\" rel=\"noopener\">\u201cEstimation of Time-invariant Effects in Static Panel Data Model\u201d,<\/a>\u00a0in\u00a0<i>Econometrics Reviews<\/i>, Volume 37, Issue 10, pp. 1137-1171,\u00a0 \u00a0Published online:\u00a0<i>22 Aug 2016<\/i><\/li>\n<li>With Majid M. Al-Sadoon and Tong Li,\u00a0<a href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/07474938.2017.1307597\" target=\"_blank\" rel=\"noopener\">&#8220;An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects\u201d<\/a>\u00a0in\u00a0<em><a href=\"http:\/\/www.tandfonline.com\/doi\/full\/10.1080\/07474938.2017.1307597\">Econometrics Reviews<\/a><\/em>, Volume 36, pp. 898-927, Published online<i>: May 2017<\/i><\/li>\n<li>With Kamiar Mohaddes (2017)\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0140988317301548?via%3Dihub\" target=\"_blank\" rel=\"noopener\">&#8220;Oil prices and the global economy:Is it different this time around?&#8221;<\/a>\u00a0<em>Energy Economics<\/em>, volume 65, June 2017, pp. 315-325<\/li>\n<li>With Alexander Chudik, Kamiar Mohaddes, and Mehdi Raissi, (2017)\u00a0<a href=\"https:\/\/www.mitpressjournals.org\/doi\/abs\/10.1162\/REST_a_00593\" target=\"_blank\" rel=\"noopener\">&#8220;Is there a Debt-Threshold Effect on Output Growth?&#8221;<\/a>,\u00a0<i>Review of Economics and Statistics<\/i>, volume 99, pp. 135-150<\/li>\n<li>With Alexander Chudik, Kamiar Mohaddes, and Medhi Raissi (2016)\u00a0<a href=\"https:\/\/www.emeraldinsight.com\/doi\/abs\/10.1108\/S0731-905320160000036013\" target=\"_blank\" rel=\"noopener\">\u201cLong-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors\u201d<\/a>\u00a0in\u00a0<i>Advances in Econo<\/i>metrics, Volume 36, pp. 85-135. Essays in Honor of Aman Ullah<\/li>\n<li>With Natalia Bailey, George Kapetanios, (2016)\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/jae.2476\" target=\"_blank\" rel=\"noopener\">&#8220;Exponent of Cross-sectional Dependence: Estimation and Inference\u201d,\u00a0<i>Journal of Applied Econometrics<\/i><\/a>, volume 31, pp. 929-1196<\/li>\n<li>With Kamiar Mohaddes, (2016)\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0140988316302079\" target=\"_blank\" rel=\"noopener\">\u201cCountry-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis\u201d<\/a>,\u00a0<i>Energy Economics,<\/i>\u00a0volume 59, pp. 382-399<\/li>\n<li>With Ron Smith, (2016),\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S109094431530137X\" target=\"_blank\" rel=\"noopener\">\u201cCounterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing<\/a>\u201d,\u00a0<i>Research in Economics<\/i>, Volume 70, Issue 2, pp. 262-280<i><\/i><\/li>\n<li>With Alexander Chudik, (2016),\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/joes.12095\" target=\"_blank\" rel=\"noopener\">\u00a0\u201cTheory and Practice of GVAR Modeling\u201d, \u00a0<i>Journal of Economic Surveys<\/i><\/a>, Volume 30, Issue 1,\u00a0pp. 165-197<\/li>\n<li>With Alexander Chudik and Valerie Grossmanz, (2016), \u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304407616300069\" target=\"_blank\" rel=\"noopener\">\u201cA Multi-Country Approach to Forecasting Output Growth Using PMIs\u201d<\/a>,\u00a0<i>Journal of Econometrics,\u00a0<\/i>Volume 192, Issue 2,\u00a0pp. 349-365<\/li>\n<li>With Natalia Bailey and Sean Holly, (2016),\u00a0<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/jae.2468\" target=\"_blank\" rel=\"noopener\">&#8220;A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence<\/a>&#8220;,\u00a0<em>Journal of Applied Econometrics<\/em>, Volume 31, Issue 1, pp. 249-280<\/li>\n<li>(2015),\u00a0<a href=\"https:\/\/www.tandfonline.com\/doi\/abs\/10.1080\/07474938.2014.956623\" target=\"_blank\" rel=\"noopener\">\u201cTesting Weak Cross-Sectional Dependence in Large Panels<\/a>\u201d,\u00a0<i>Econometric Reviews<\/i>, Volume 34, Issue 6-10, pp. 1089-1117<\/li>\n<li>With Alexander Chudik, (2015),\u00a0<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304407615000767\" target=\"_blank\" rel=\"noopener\">\u201cCommon Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors\u201d,\u00a0<\/a><i><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304407615000767\" target=\"_blank\" rel=\"noopener\">Journal of Econometric,<\/a>\u00a0<\/i>Volume 188, Issue 2, pp. 393-420<\/li>\n<li><a href=\"https:\/\/global.oup.com\/academic\/product\/time-series-and-panel-data-econometrics-9780198736912?cc=us&amp;lang=en&amp;\"><em>Time Series and Panel Data Econometrics<\/em><\/a>. Oxford, Oxford University Press. November 2015<\/li>\n<li>With Ron Smith,\u201cSacntions were not the only problem\u201d,\u00a0<em>International Finance Magazine<\/em>, Vol. 1, Issue 5, pp. 22-25, October-December 2015.\u00a0<a href=\"http:\/\/www.internationalfinancemagazine.com\/\">http:\/\/www.internationalfinancemagazine.com\/<\/a><\/li>\n<li>With Kazuhiko Hayakawa,\u201cRobust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models with Cross Sectional Heteroskedasticity\u201d,\u00a0<em>Journal of Econometrics<\/em>\u00a0Vol. 188, Issue 1, pp 111-134, September 2015<\/li>\n<li>With Stephane Dees, Ron Smith and L. Vanessa Smith. \u201c<a href=\"https:\/\/dornsife.usc.edu\/assets\/sites\/890\/docs\/Papers_pdfs\/2014\/Dees_Pesaran_Smith_and_Smith_multi-country_RE_obes12046.pdf\">Constructing Multi-Country Rational Expectations Models<\/a>\u201d\u00a0<em>Oxford Bulletin of Economics and Statistics<\/em>, Volume 76, Issue 6, Pages: 812\u2013840, December 2014.<\/li>\n<li>With Ron P. Smith, \u201c<a href=\"https:\/\/dornsife.usc.edu\/assets\/sites\/890\/docs\/Papers_pdfs\/2014\/Pesaran__Smith_Economics_Letters_2014_Signs_of_imapct_effects_150-153.pdf\">Signs of Impact Effects in Time Series Regression Models<\/a>\u201d,\u00a0<em>Economics Letters<\/em>, Volume 122, Issue 2 pp.150-153, February 2014<\/li>\n<li>With Alexander Chudik, \u201c<a href=\"https:\/\/dornsife.usc.edu\/assets\/sites\/890\/docs\/Papers_pdfs\/2014\/Pesaran_and_Chudik_Aggregation_in_large_dynamic_panels_JoE_2014.pdf\">Aggregation in Large Dynamic Panels<\/a>\u201d,\u00a0<em>Journal of Econometrics<\/em>, Vol 178, Issue 2 pp. 273-285, January 2014<\/li>\n<li>With H.S. Esfahani and K. Mohaddes, \u201c<a href=\"https:\/\/dornsife.usc.edu\/assets\/sites\/890\/docs\/Papers_pdfs\/2014\/Esfahani_Mohaddes__Pesaran_JAE_2014.pdf\">An Empirical Growth Model for Major Oil Exporters<\/a>\u201d,\u00a0<em>Journal of Applied Econometrics<\/em>, Vol. 29, Issue 1 pp. 1-21, January\/February 2014<\/li>\n<\/ul>\n\n\n\n<\/div>\n\n\n  <\/div><\/div>\n            \n                      <\/div>\n        <\/li>\n\n              <li>\n          <button type=\"button\" class=\"accordion-trigger \" id=\"heading-1-2-W07F1vkcGQ\" aria-controls=\"section-1-2-W07F1vkcGQ\" aria-expanded=\"false\" aria-disabled=\"false\">\n                          <span class=\"item-title\">Working Papers<\/span>\n            \n                      <\/button>\n\n          <div id=\"section-1-2-W07F1vkcGQ\" role=\"region\" aria-labelledby=\"heading-1-2-W07F1vkcGQ\" class=\"accordion-panel\">\n\n                            \n    \n\n\n\n\n\n\n<div\n  class=\"cc--component-container cc--rich-text \"\n\n  \n  \n  \n  \n  \n  \n  >\n  <div class=\"c--component c--rich-text\"\n    \n      >\n\n    \n      \n<div class=\"f--field f--wysiwyg\">\n\n    \n  <ul>\n<li>With Andrea Nocera (2022)\u00a0<a href=\"https:\/\/www.econ.cam.ac.uk\/research-files\/repec\/cam\/pdf\/cwpe2224.pdf\">&#8220;Causal effects of the Fed&#8217;s Large-scale asset purchases on firms&#8217; capital structure&#8221;\u00a0<\/a>,\u00a0<em>Cambridge Working Papers in Economics, No. 2224<\/em>, April 2022.<\/li>\n<li>With Andreas Pick and Allan Timmermann,\u00a0<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4069932\">&#8220;Forecasting with panel data: estimation uncertainty versus parameter heterogeneity&#8221;<\/a>,\u00a0<em>Cambridge Working Papers in Economics No. 2219<\/em>, April 2022.<\/li>\n<li>With Alexander Chudik and Ron P. Smith,\u00a0<a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2022\/working-paper\/revisiting-great-ratios-hypothesis\">&#8220;Revisiting the Great Ratios Hypothesis&#8221;<\/a>,\u00a0<em>CESifo WP No. 9625<\/em>, March 2022.<\/li>\n<li>With Kamiar Mohaddes, Ryan N.C. Ng, Mehdi Raissi and Jui-Chung Yang,\u00a0<a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2022\/working-paper\/climate-change-and-economic-activity-evidence-us-states\">&#8220;Climate Change and Economic Activity: Evidence from U.S. States&#8221;<\/a>,\u00a0<em>CESifo WP No. 9542<\/em>, January 2022.<\/li>\n<li>With Yimeng Xie, \u201cA Bias-Corrected CD Test for Error Cross-Sectional Dependence in Panel Data Models with Latent Factors\u201d,\u00a0<a href=\"file:\/\/\/C:\/Users\/amatsu\/Downloads\/cesifo1_wp9234%2520(1).pdf\"><i>CESifo Working Paper No. 9234<\/i><\/a>, August 2021<\/li>\n<li>With Kazuhiro Hayakawa and L. Vanessa Smith (2021) \u201c<a href=\"file:\/\/\/C:\/Users\/amatsu\/Downloads\/SSRN-id3268434%2520(1).pdf\">Short<i>T<\/i>\u00a0Dynamic Panel Data Models with Individual, Time and Interactive Effects<\/a>\u201d, February 2020 revised August 2021, Previously entitled \u201cShort\u00a0<i>T<\/i>\u00a0Dynamic Panel Data Models with Individual and Interactive Time Effects\u201d, September 2018,\u00a0<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3268434\"><i>USC-INET Research Paper No. 18-18<\/i><\/a>. Previously entitled \u201cTransformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects\u201d\u00a0<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2458346\"><i>CESifo Working Paper No. 4822<\/i><\/a>,\u00a0\u00a0<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2442970\"><i>CAFE Research Paper No. 14.06<\/i><\/a>,\u00a0May 2014.<\/li>\n<li>With Dario Laudati, \u201cIdentifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage\u201d,\u00a0<a href=\"file:\/\/\/C:\/Users\/amatsu\/Downloads\/cesifo1_wp9217.pdf\"><i>CESifo Working Paper No. 9217<\/i><\/a>, July 2021<\/li>\n<li>With Alexander Chudik and Ron P. Smith (2021) \u201c Pooled Bewley Estimator of Long-Run Relationships in Dynamic Heterogenous Panels\u201d,\u00a0<a href=\"https:\/\/www.dallasfed.org\/~\/media\/documents\/institute\/wpapers\/2021\/0409.pdf\"><i>Federal Reserve Bank of Dallas Globalization Institute Working Paper No. 409<\/i><\/a><i>,<\/i>\u00a0June 2021<\/li>\n<li>With Ron P. Smith, \u201cArbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios\u201d,\u00a0<a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2021\/working-paper\/arbitrage-pricing-theory-stochastic-discount-factor-and-estimation\"><i>CESifo Working Paper No. 9001<\/i><\/a>, April 2021 updated October 2021.<\/li>\n<li>With Ron P. Smith, \u201cFactor Strengths, Pricing Errors, and Estimation of Risk Premia\u201d,\u00a0<a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2021\/working-paper\/factor-strengths-pricing-errors-and-estimation-risk-premia\"><i>CESifo Working Paper No. 8947<\/i><\/a>, March, 2021.<\/li>\n<li>With Alexander Chudik and Mahrad Sharifvaghefi (2021) \u201cVariable Selection and Forecasting in High Dimensional Linear Regressions with Parameter Instability\u201d previously entitled \u201c Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks\u201d,\u00a0<a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2020\/working-paper\/variable-selection-and-forecasting-high-dimensional-linear\"><i>CESifo Working Paper No. 8475<\/i><\/a>, July 2020.<\/li>\n<li>With Alexander Chudik and Alessandro Rebucci (2020) \u201cVoluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries\u201d, \u00a0<a href=\"https:\/\/www.nber.org\/papers\/w27039\"><i>NBER Working Paper No. 27039<\/i><\/a><i>,\u00a0<\/i><a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2020\/working-paper\/voluntary-and-mandatory-social-distancing-evidence-covid-19\"><i>CESifo Working Paper No. 8243<\/i><\/a><i>,\u00a0<\/i>April 2020.<\/li>\n<li>With Ron P. Smith,\u00a0 (2019) \u201cThe Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models\u201d\u00a0\u00a0<a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2019\/working-paper\/role-factor-strength-and-pricing-errors-estimation-and-inference\"><i>CESifo Working Paper No. 7919<\/i><\/a>, October 2019.<\/li>\n<li>With Takashi Yamagata (2017) &#8220;Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities&#8221;,\u00a0\u00a0<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2943640##\"><i>USC-INET Research Paper No. 17-13<\/i><\/a>, and\u00a0<a href=\"https:\/\/www.cesifo.org\/en\/publikationen\/2017\/working-paper\/testing-alpha-linear-factor-pricing-models-large-number-securities\"><i>CESifo Working Paper No. 6432<\/i><\/a><i>,\u00a0<\/i>April 2017<i>.<\/i><\/li>\n<\/ul>\n\n\n\n<\/div>\n\n\n  <\/div><\/div>\n            \n                      <\/div>\n        <\/li>\n\n          <\/ul>\n  \n  \n\n  <\/div><\/div>\n\n\n\n\n  \n    \n\n\n\n\n\n\n<div\n  class=\"cc--component-container cc--rich-text \"\n\n  \n  \n  \n  \n  \n  \n  >\n  <div class=\"c--component c--rich-text\"\n    \n      >\n\n    \n      \n<div class=\"f--field f--wysiwyg\">\n\n    \n  <p>Rich Text &#8230;<\/p>\n\n\n\n<\/div>\n\n\n  <\/div><\/div>\n\n\n    \n  \n    \n\n\n\n\n\n\n<div\n  class=\"cc--component-container cc--contact-details \"\n\n  \n  \n  \n  \n  \n  \n  >\n  <div class=\"c--component c--contact-details\"\n    \n      >\n\n    \n  <div class=\"inner-wrapper\">\n\n          <div class=\"header-container\">\n\n                      \n<div class=\"f--field f--section-title\">\n\n    \n  <h2>\n          Contact\n      <\/h2>\n\n\n<\/div>\n        \n                      \n<div class=\"f--field f--link\">\n\n    \n    \n  \n<a \n  class=\"link\"\n  href= https:\/\/dornsife.usc.edu\/profile\/hashem-pesaran\/\n  target=\"_blank\"  aria-label=\"Read more about USC Faculty Profile\"  \n>\n    USC Faculty Profile \n  <svg version=\"1.1\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" x=\"0px\" y=\"0px\" viewBox=\"0 0 35 35\" enable-background=\"new 0 0 35 35\" width=\"25\" height=\"25\" xml:space=\"preserve\"><polygon fill-rule=\"evenodd\" clip-rule=\"evenodd\" fill=\"#000\" points=\"19.3,27.5 29.3,17.5,19.3,7.5 16.3,10.4 21.4,15.4 6.7,15.4 6.7,19.6 21.4,19.6 16.3,24.6 \"\/><\/svg>\n<\/a>\n\n\n<\/div>\n        \n      <\/div>\n    \n    \n      <div class=\"contacts-container\">\n\n        \n                      <div class=\"contact-card\">\n\n                              <h3>M. Hashem Paseran<\/h3>\n              \n                                  \n<div class=\"f--field f--description\">\n\n    \n  <p>Department of Economics<br \/>\n3620 S. Vermont Ave, KAP 324B<br \/>\nLos Angeles, CA 90089<\/p>\n\n\n\n<\/div>\n              \n              \n                              <div class=\"f--email\">\n                  <a href=\"mailto:pesaran@usc.edu\">pesaran@usc.edu<\/a>\n                <\/div>\n              \n            <\/div>\n                    \n                      <div class=\"contact-card\">\n\n                              <h3>Akiko Matsukiyo<\/h3>\n              \n                                  \n<div class=\"f--field f--description\">\n\n    \n  <p>Administrative Assistant<\/p>\n\n\n\n<\/div>\n              \n              \n                              <div class=\"f--email\">\n                  <a href=\"mailto:amatsu@usc.edu\">amatsu@usc.edu<\/a>\n                <\/div>\n              \n            <\/div>\n                    \n      <\/div>\n\n        \n     \n    \n  <\/div>\n\n\n  <\/div><\/div>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":17,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"page-chaptered-page.php","meta":{"_acf_changed":false,"footnotes":""},"class_list":["post-182","page","type-page","status-publish","hentry"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.1.1 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Publications - Professor M. Hashem Pesaran<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Publications - Professor M. Hashem Pesaran\" \/>\n<meta property=\"og:url\" content=\"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/\" \/>\n<meta property=\"og:site_name\" content=\"Professor M. Hashem Pesaran\" \/>\n<meta property=\"article:modified_time\" content=\"2024-10-17T18:44:13+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/\",\"url\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/\",\"name\":\"Publications - Professor M. Hashem Pesaran\",\"isPartOf\":{\"@id\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/#website\"},\"datePublished\":\"2023-09-13T17:47:33+00:00\",\"dateModified\":\"2024-10-17T18:44:13+00:00\",\"breadcrumb\":{\"@id\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Publications\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/#website\",\"url\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/\",\"name\":\"Professor M. Hashem Pesaran\",\"description\":\"USC Dornsife Professor M. Hashem Pesaran\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/dornsife.usc.edu\/mhpesaran\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Publications - Professor M. Hashem Pesaran","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/","og_locale":"en_US","og_type":"article","og_title":"Publications - Professor M. Hashem Pesaran","og_url":"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/","og_site_name":"Professor M. Hashem Pesaran","article_modified_time":"2024-10-17T18:44:13+00:00","twitter_card":"summary_large_image","schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/","url":"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/","name":"Publications - Professor M. Hashem Pesaran","isPartOf":{"@id":"https:\/\/dornsife.usc.edu\/mhpesaran\/#website"},"datePublished":"2023-09-13T17:47:33+00:00","dateModified":"2024-10-17T18:44:13+00:00","breadcrumb":{"@id":"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/dornsife.usc.edu\/mhpesaran\/publications\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/dornsife.usc.edu\/mhpesaran\/"},{"@type":"ListItem","position":2,"name":"Publications"}]},{"@type":"WebSite","@id":"https:\/\/dornsife.usc.edu\/mhpesaran\/#website","url":"https:\/\/dornsife.usc.edu\/mhpesaran\/","name":"Professor M. Hashem Pesaran","description":"USC Dornsife Professor M. Hashem Pesaran","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/dornsife.usc.edu\/mhpesaran\/?s={search_term_string}"},"query-input":{"@type":"PropertyValueSpecification","valueRequired":true,"valueName":"search_term_string"}}],"inLanguage":"en-US"}]}},"_links":{"self":[{"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/pages\/182","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/users\/17"}],"replies":[{"embeddable":true,"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/comments?post=182"}],"version-history":[{"count":20,"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/pages\/182\/revisions"}],"predecessor-version":[{"id":255,"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/pages\/182\/revisions\/255"}],"wp:attachment":[{"href":"https:\/\/dornsife.usc.edu\/mhpesaran\/wp-json\/wp\/v2\/media?parent=182"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}