← All authors M. Hashem Pesaran University of Southern California (from arXiv:2602.04060, 2026) · ORCID · OpenAlex
242 papers in scope · 237 published · 8 on the econ.EM arXiv · 122,538 citations · h-index 87 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Sasha Sodin Alexander Chudík Ron Smith Mahrad Sharifvaghefi Simon Reese Ida Johnsson Vadim Gorin Campbell R. Harvey Kashif Yousuf Anna Bykhovskaya Artūras Juodis Erkal Ersoy Haoyang Li Serena Ng Stanislav Anatolyev Yan Liu Jan Ditzen Jushan Bai Yuan Liao Chukwuma Dim Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (12 of 242)
working paper 2026 · arXiv
working paper 2025 · arXiv
published 2024 · Journal of Financial Econometrics
published 2024 · Journal of Econometrics · 2 citations · first circulated 2023
published 2024 · Journal of Applied Econometrics · 4 citations · first circulated 2023
with Liying Yang, L. Yang
working paper 2024 · arXiv · 4 citations · first circulated 2022
published 2024 · National Institute Economic Review
published 2023 · Econometrics and Statistics · 9 citations · first circulated 2021
working paper 2023 · arXiv
Revisiting the Great Ratios Hypothesis*
published 2023 · Oxford Bulletin of Economics and Statistics · 15 citations · first circulated 2022
Short T dynamic panel data models with individual, time and interactive effects
published 2023 · Journal of Applied Econometrics · 7 citations · first circulated 2018
with Kazuhiko Hayakawa, L. Vanessa Smith
published 2023 · Empirical Economics · 1 citations · first circulated 2022
with Zhan Gao
Reprint of: Testing for unit roots in heterogeneous panels
published 2023 · Journal of Econometrics · 11 citations
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
published 2023 · Journal of Financial Econometrics · 30 citations · first circulated 2017
Reflections on “Testing for unit roots in heterogeneous panels”
published 2023 · Journal of Econometrics · 20 citations
Climate change and economic activity: evidence from US states
published 2022 · Oxford Open Economics · 27 citations
with Kamiar Mohaddes, Ryan N. C. Ng, Mehdi Raissi, Jui-Chung Yang
Identifying the effects of sanctions on the Iranian economy using newspaper coverage
published 2022 · Journal of Applied Econometrics · 65 citations · first circulated 2021
with Dario Laudati
published 2022 · Journal of Applied Econometrics · 14 citations · first circulated 2020
with Cynthia Fan Yang
A spatiotemporal equilibrium model of migration and housing interlinkages
published 2022 · Journal of Housing Economics · 5 citations · first circulated 2021
with Wukuang Cun
Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
published 2021 · Econometrics and Statistics · 5 citations
Regional heterogeneity and U.S. presidential elections: Real-time 2020 forecasts and evaluation
published 2021 · International Journal of Forecasting · 8 citations · first circulated 2020
with Rashad Ahmed
Long-term macroeconomic effects of climate change: A cross-country analysis
published 2021 · Energy Economics · 397 citations · first circulated 2019
with Matthew E. Kahn, Kamiar Mohaddes, Ryan N. C. Ng, Mehdi Raissi, Jui-Chung Yang, Matt Kahn
An augmented Anderson–Hsiao estimator for dynamic short-T panels †
published 2021 · Econometric Reviews · 35 citations · first circulated 2020
working paper 2021 · arXiv · 14 citations
A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
published 2021 · Journal of International Money and Finance · 92 citations · first circulated 2020
Measurement of factor strength: Theory and practice
published 2021 · Journal of Applied Econometrics · 41 citations
Estimation and inference in spatial models with dominant units
published 2020 · Journal of Econometrics · 25 citations · first circulated 2019
with Cynthia Fan Yang
Detection of units with pervasive effects in large panel data models
published 2020 · Journal of Econometrics · 11 citations
Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices
published 2020 · Journal of Applied Econometrics · 90 citations · first circulated 2019
with Michele Aquaro, N. T. J. Bailey
General diagnostic tests for cross-sectional dependence in panels
published 2020 · Empirical Economics · 8261 citations · first circulated 2004
Econometric analysis of production networks with dominant units
published 2020 · Journal of Econometrics · 36 citations · first circulated 2016
with Cynthia Fan Yang
Exponent of Cross-sectional Dependence for Residuals
published 2020 · Sankhya B
Common correlated effects estimation of heterogeneous dynamic panel quantile regression models
published 2020 · Journal of Applied Econometrics · 51 citations · first circulated 2018
Uncertainty and Economic Activity: A Multicountry Perspective
published 2019 · Review of Financial Studies · 82 citations
with Ambrogio Cesa-Bianchi, Alessandro Rebucci
Exponent of Cross-sectional Dependence for Residuals
published 2019 · Sankhya B · 32 citations · first circulated 2018
Panel Data Estimation for Correlated Random Coefficients Models
published 2019 · Econometrics · 115 citations · first circulated 2004
Mean group estimation in presence of weakly cross-correlated estimators
published 2018 · Economics Letters · 56 citations
A multiple testing approach to the regularisation of large sample correlation matrices
published 2018 · Journal of Econometrics · 25 citations · first circulated 2014
with N. T. J. Bailey, L. Vanessa Smith
A Bayesian analysis of linear regression models with highly collinear regressors
published 2018 · Econometrics and Statistics · 28 citations
Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
published 2018 · Journal of Business and Economic Statistics · 3 citations · first circulated 2016
Half‐panel jackknife fixed‐effects estimation of linear panels with weakly exogenous regressors
published 2018 · Journal of Applied Econometrics · 67 citations · first circulated 2016
A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
published 2018 · Econometrica · 68 citations · first circulated 2016
Rising Public Debt to GDP Can Harm Economic Growth
published 2018 · Economics Letters · 14 citations
no link
Tests of Policy Interventions in DSGE Models
published 2017 · Oxford Bulletin of Economics and Statistics · 6 citations
To Pool or Not to Pool: Revisited
published 2017 · Oxford Bulletin of Economics and Statistics · 13 citations · first circulated 2015
Oil prices and the global economy: Is it different this time around?
published 2017 · Energy Economics · 134 citations · first circulated 2016
with Kamiar Mohaddes
Exponential class of dynamic binary choice panel data models with fixed effects
published 2017 · Econometric Reviews · 10 citations · first circulated 2012
Country-specific oil supply shocks and the global economy: A counterfactual analysis
published 2016 · Energy Economics · 87 citations · first circulated 2015
with Kamiar Mohaddes
Estimation of time-invariant effects in static panel data models
published 2016 · Econometric Reviews · 93 citations · first circulated 2014
Is There a Debt-Threshold Effect on Output Growth?
published 2016 · The Review of Economics and Statistics · 512 citations · first circulated 2015
A multi-country approach to forecasting output growth using PMIs
published 2016 · Journal of Econometrics · 38 citations · first circulated 2014
A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence
published 2015 · Journal of Applied Econometrics · 177 citations · first circulated 2013
with N. T. J. Bailey, Sean Holly
Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
published 2015 · Journal of Econometrics · 60 citations · first circulated 2012
with Kazuhiko Hayakawa
Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
published 2015 · Journal of Econometrics · 2379 citations · first circulated 2013
THEORY AND PRACTICE OF GVAR MODELLING
published 2014 · Journal of Economic Surveys · 215 citations
Testing Weak Cross-Sectional Dependence in Large Panels
published 2014 · Econometric Reviews · 2755 citations · first circulated 2012
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Signs of impact effects in time series regression models
published 2013 · Economics Letters · 30 citations
Constructing Multi‐Country Rational Expectations Models
published 2013 · Oxford Bulletin of Economics and Statistics · 32 citations
DISTINGUISHED AUTHORS
published 2013 · Journal of Applied Econometrics
Introduction
published 2013 · The Quarterly Review of Economics and Finance
with Hadi Salehi Esfahani
The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis
published 2013 · Medical Entomology and Zoology · 151 citations
with Filippo di Mauro
Optimal forecasts in the presence of structural breaks
published 2013 · Journal of Econometrics · 133 citations · first circulated 2011
On Identification of Bayesian DSGE Models
published 2013 · Journal of Business and Economic Statistics · 69 citations · first circulated 2011
Panel unit root tests in the presence of a multifactor error structure
published 2013 · Journal of Econometrics · 277 citations · first circulated 2008
Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
published 2012 · Econometric Reviews · 164 citations · first circulated 2010
AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS
published 2012 · Journal of Applied Econometrics · 118 citations
with Hadi Salehi Esfahani, Kamiar Mohaddes
Oil exports and the Iranian economy
published 2012 · The Quarterly Review of Economics and Finance · 100 citations · first circulated 2009
with Hadi Salehi Esfahani, Kamiar Mohaddes
On the interpretation of panel unit root tests
published 2012 · Economics Letters · 128 citations
Comment on ‘Fast sparse regression and classification’ by J.H. Friedman
published 2012 · International Journal of Forecasting · 1 citations
China's Emergence in the World Economy and Business Cycles in Latin America
published 2012 · Economía · 101 citations · first circulated 2011
with Ambrogio Cesa-Bianchi, Alessandro Rebucci, TengTeng Xu
Exponent of Cross-Sectional Dependence: Estimation and Inference
published 2012 · Journal of Applied Econometrics · 64 citations
Counterfactual Analysis in Macroeconometrics: An Empirical Investigation into the Effects of Quantitative Easing
published 2012 · Research in Economics · 46 citations
BEYOND THE DSGE STRAITJACKET 1
published 2011 · Manchester School · 33 citations
Diagnostic Tests of Cross‐section Independence for Limited Dependent Variable Panel Data Models*
published 2011 · Oxford Bulletin of Economics and Statistics · 66 citations
Lumpy Price Adjustments: A Microeconometric Analysis
published 2011 · Journal of Business and Economic Statistics · 99 citations · first circulated 2006
with Emmanuël Dhyne, Catherine Fuss, Patrick Sevestre
Variable selection, estimation and inference for multi-period forecasting problems
published 2011 · Journal of Econometrics · 94 citations · first circulated 2009
Weak and strong cross‐section dependence and estimation of large panels
published 2011 · Econometrics Journal · 698 citations · first circulated 2009
Aggregation in Large Dynamic Panels
published 2011 · Journal of Econometrics · 59 citations
Large panels with common factors and spatial correlation
published 2010 · Journal of Econometrics · 590 citations · first circulated 2007
with Elisa Tosetti
Infinite-dimensional VARs and factor models
published 2010 · Journal of Econometrics · 141 citations · first circulated 2009
Panels with non-stationary multifactor error structures
published 2010 · Journal of Econometrics · 950 citations
Forecast Combination Across Estimation Windows
published 2010 · Journal of Business and Economic Statistics · 129 citations
Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
published 2010 · Economic Modelling · 62 citations
with Bahram Pesaran
A spatio-temporal model of house prices in the USA
published 2010 · Journal of Econometrics · 497 citations · first circulated 2006
Spatial and Temporal Diffusion of House Prices in the UK
published 2010 · Journal of Urban Economics · 47 citations
Forecasting economic and financial variables with global VARs
published 2009 · International Journal of Forecasting · 220 citations · first circulated 2008
with Til Schuermann, L. Vanessa Smith
Rejoinder to comments on forecasting economic and financial variables with global VARs
published 2009 · International Journal of Forecasting · 31 citations
with Til Schuermann, L. Vanessa Smith
In memory of Clive Granger: an advisory board member of the journal
published 2009 · Journal of Applied Econometrics · 1 citations
with David F. Hendry
Announcement
published 2009 · Journal of Applied Econometrics
Pairwise Tests of Purchasing Power Parity
published 2009 · Econometric Reviews · 71 citations · first circulated 2006
Testing Dependence Among Serially Correlated Multicategory Variables
published 2009 · Journal of the American Statistical Association · 221 citations
Model averaging in risk management with an application to futures markets
published 2008 · Journal of Empirical Finance · 25 citations
March 2008 Announcement : Journal of Applied Econometrics Distinguished Authors
published 2008 · Journal of Applied Econometrics
A bias-adjusted LM test of error cross-section independence
published 2008 · Econometrics Journal · 2460 citations · first circulated 2006
Econometric analysis of structural systems with permanent and transitory shocks
published 2008 · Journal of Economic Dynamics and Control · 93 citations · first circulated 2007
with A. R. Pagan, Adrian Pagan
Forecasting the Swiss Economy Using Vecx* Models: an Exercise in Forecast Combination Across Models and Observation Windows
published 2008 · National Institute Economic Review · 38 citations
with Katrin Assenmacher
Identification of New Keynesian Phillips Curves from a Global Perspective
published 2008 · Journal of money credit and banking · 82 citations
Firm heterogeneity and credit risk diversification
published 2007 · Journal of Empirical Finance · 65 citations · first circulated 2005
with Samuel Hanson, Til Schuermann, Björn-Jakob Treutler
Journal of Applied Econometrics Dissertation Prize
published 2007 · Journal of Applied Econometrics
Testing slope homogeneity in large panels
published 2007 · Journal of Econometrics · 5654 citations · first circulated 2005
Learning, Structural Instability, and Present Value Calculations
published 2007 · Econometric Reviews · 24 citations · first circulated 2006
A simple panel unit root test in the presence of cross‐section dependence
published 2007 · Journal of Applied Econometrics · 12191 citations · first circulated 2003
Heterogeneity and cross section dependence in panel data models: theory and applications introduction
published 2007 · Journal of Applied Econometrics · 337 citations
with Badi H. Baltagi
Exploring the international linkages of the euro area: a global VAR analysis
published 2007 · Journal of Applied Econometrics · 924 citations · first circulated 2006
with Stéphane Dées, Filippo di Mauro, L. Vanessa Smith
What if the UK or Sweden had joined the euro in 1999? An empirical evaluation using a Global VAR
published 2007 · International Journal of Finance & Economics · 118 citations · first circulated 2005
MACROECONOMETRIC MODELLING WITH A GLOBAL PERSPECTIVE*
published 2006 · Manchester School · 130 citations
A pair-wise approach to testing for output and growth convergence
published 2006 · Journal of Econometrics · 354 citations · first circulated 2004
Econometric issues in the analysis of contagion
published 2006 · Journal of Economic Dynamics and Control · 90 citations · first circulated 2004
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
published 2006 · Econometrica · 4879 citations · first circulated 2004
Selection of estimation window in the presence of breaks
published 2006 · Journal of Econometrics · 472 citations
Macroeconomic Dynamics and Credit Risk: A Global Perspective
published 2006 · Journal of money credit and banking · 340 citations · first circulated 2003
with Til Schuermann, Björn-Jakob Treutler, Scott M. Weiner
The Cost Effectiveness of the UK's Sovereign Debt Portfolio*
published 2005 · Oxford Bulletin of Economics and Statistics · 5 citations
with Patrick J. Coe, Shaun P. Vahey
ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
published 2005 · Econometric Theory · 662 citations · first circulated 2000
REAL-TIME ECONOMETRICS
published 2005 · Econometric Theory · 62 citations · first circulated 2004
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
published 2004 · Journal of Business and Economic Statistics · 1418 citations · first circulated 2001
with Til Schuermann, Scott M. Weiner
Rejoinder
published 2004 · Journal of Business and Economic Statistics · 8 citations
with Til Schuermann, Scott M. Weiner
Forecasting Time Series Subject to Multiple Structural Breaks
published 2004 · The Review of Economic Studies · 114 citations
Forecast Uncertainties in Macroeconomic Modeling
published 2003 · Journal of the American Statistical Association · 158 citations
How costly is it to ignore breaks when forecasting the direction of a time series?
published 2003 · International Journal of Forecasting · 177 citations
Journal of applied econometrics scholars programme
published 2003 · Journal of Applied Econometrics
Testing for unit roots in heterogeneous panels
published 2003 · Journal of Econometrics · 15075 citations · first circulated 1995
A Long run structural macroeconometric model of the UK
published 2003 · The Economic Journal · 44 citations · first circulated 1999
Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation
published 2003 · Economic Modelling · 59 citations
Introducing a replication section
published 2003 · Journal of Applied Econometrics · 60 citations
Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks
published 2003 · Journal of Econometrics · 38 citations
Market timing and return prediction under model instability
published 2002 · Journal of Empirical Finance · 317 citations
Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
published 2002 · Journal of Econometrics · 463 citations
with Cheng Hsiao, A. Kamil Tahmiscioglu
LONG-RUN STRUCTURAL MODELLING
published 2002 · Econometric Reviews · 293 citations
Journal of Applied Econometrics distinguished authors
published 2001 · Journal of Applied Econometrics · 1 citations
Journal of Applied Econometrics Conference Sponsorship Grants
published 2001 · Journal of Applied Econometrics · 2 citations
Bounds testing approaches to the analysis of level relationships
published 2001 · Journal of Applied Econometrics · 19744 citations
A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
published 2001 · Journal of Applied Econometrics · 16 citations
with David F. Hendry
Life-cycle consumption under social interactions
published 2001 · Journal of Economic Dynamics and Control · 50 citations · first circulated 2000
with Michael Binder
The Richard Stone Prize in Applied Econometrics
published 2001 · Journal of Applied Econometrics · 2 citations
Structural analysis of vector error correction models with exogenous I(1) variables
published 2000 · Journal of Econometrics · 796 citations · first circulated 1997
Handbook of Applied Econometrics: Vol. I: Macroeconomics
published 2000 · Journal of the American Statistical Association · 3 citations
with TJV, Michael Wickens
Analysis of Panels and Limited Dependent Models
published 2000 · Journal of the American Statistical Association
with TJV, Chêng Hsiao, Kajal Lahiri, Lung-fei Lee
Cross-sectional aggregation of non-linear models
published 2000 · Journal of Econometrics · 73 citations · first circulated 1998
Solution of Nonlinear Rational Expectations Models with Applications toFinite-Horizon Life-Cycle Models of Consumption
published 2000 · Computational Economics · 6 citations
with Michael Binder, S. Hossein Samiei
Life and Work of John Richard Nicholas Stone 1913–1991
published 2000 · The Economic Journal · 42 citations
with G. C. Harcourt
Economic and statistical measures of forecast accuracy
published 2000 · Journal of Forecasting · 409 citations
with Clive W. J. Granger
A Recursive Modelling Approach to Predicting UK Stock Returns
published 2000 · The Economic Journal · 259 citations · first circulated 1996
Editorial clarification
published 2000 · Journal of Applied Econometrics · 1 citations
Asset Price Dynamics And Aggregation
published 2000 · Computing in Economics and Finance
with Michael Binder
no link
Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
published 1999 · Journal of the American Statistical Association · 6329 citations
Stochastic Growth Models and Their Econometric Implications
published 1999 · Journal of Economic Growth · 141 citations
with Michael Binder
Diagnostics for IV Regressions
published 1999 · Oxford Bulletin of Economics and Statistics · 118 citations · first circulated 1997
with Larry W. Taylor
Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model With Jumps
published 1999 · Journal of Business and Economic Statistics · 11 citations
with Francisco J. Ruge-Murcia
Structural Analysis of Cointegrating VARs
published 1998 · Journal of Economic Surveys · 493 citations
Decision Making in the Presence of Heterogeneous Information and Social Interactions
published 1998 · International Economic Review · 2 citations
with Michael Binder
Growth Empirics: A Panel Data Approach--A Comment
published 1998 · The Quarterly Journal of Economics · 217 citations
with Kevin Lee, Robert L. Smith
Generalized impulse response analysis in linear multivariate models
published 1998 · Economics Letters · 6085 citations · first circulated 1997
Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
published 1997 · Econometric Theory · 83 citations · first circulated 1996
with Michael Binder
Growth and convergence in a multi-country empirical stochastic Solow model
published 1997 · Journal of Applied Econometrics · 609 citations
A floor and ceiling model of US output
published 1997 · Journal of Economic Dynamics and Control · 232 citations · first circulated 1995
with Simon Potter
The Role of Economic Theory in Modelling The Long Run
published 1997 · The Economic Journal · 723 citations · first circulated 1996
Empirical Econometric Modelling of Food Consumption Using a New Informational Complexity Approach: Comments
published 1997 · Journal of Applied Econometrics · 1 citations
no link
The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments
published 1997 · Journal of Applied Econometrics · 1 citations
no link
Impulse response analysis in nonlinear multivariate models
published 1996 · Journal of Econometrics · 5071 citations
Limited-dependent rational expectations models with stochastic thresholds
published 1996 · Economics Letters · 8 citations · first circulated 1993
with Francisco J. Ruge-Murcia, F.J. Murcia
Cointegration and speed of convergence to equilibrium
published 1996 · Journal of Econometrics · 537 citations · first circulated 1993
Forecasting ultimate resource recovery
published 1995 · International Journal of Forecasting · 46 citations · first circulated 1993
with Hossein Samiei
Predictability of Stock Returns: Robustness and Economic Significance
published 1995 · The Journal of Finance · 1017 citations
Estimating long-run relationships from dynamic heterogeneous panels
published 1995 · Journal of Econometrics · 5457 citations · first circulated 1992
The role of theory in econometrics
published 1995 · Journal of Econometrics · 118 citations
A non-nested test of level-differenced versus log-differenced stationary models
published 1995 · Econometric Reviews · 30 citations · first circulated 1992
with Bahram Pesaran
Economic Reform and the Reconstruction of the Iranian Economy
published 1995 · The Middle East Journal · 49 citations
with Massoud Karshenas
no link
A duration model of irreversible oil investment: Theory and empirical evidence
published 1994 · Journal of Applied Econometrics · 85 citations
with Carlo A. Favero, Sunil Sharma
Forecasting stock returns an examination of stock market trading in the presence of transaction costs
published 1994 · Journal of Forecasting · 132 citations
Oil investment in the North Sea
published 1994 · Economic Modelling · 23 citations · first circulated 1992
with Carlo A. Favero
A Generalized R^2 Criterion for Regression Models Estimated by the Instrumental Variables Method
published 1994 · Econometrica · 182 citations
Nonlinear Dynamics Chaos and Econometrics.
published 1994 · Economica · 57 citations
A generalization of the non-parametric Henriksson-Merton test of market timing
published 1994 · Economics Letters · 101 citations · first circulated 1992
Choice Between Disaggregate and Aggregate Specifications Estimated by Instrumental Variables Methods
published 1994 · Journal of Business and Economic Statistics · 35 citations · first circulated 1992
with Richard Pierse, Kevin Lee, Kevin C. Lee
Cointegration and direct tests of the rational expectations hypothesis
published 1994 · Econometric Reviews · 39 citations
with Michael McAleer, Colin McKenzie
Announcement
published 1993 · Journal of Applied Econometrics
Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
published 1993 · Ricerche Economiche · 130 citations
with Kevin Lee
Rational Expectations Econometrics.
published 1993 · Economica · 93 citations
with Lars Peter Hansen, Thomas J. Sargent, J.B. Heaton, Albert Marcet, William Roberds
A simulation approach to the problem of computing Cox's statistic for testing nonnested models
published 1993 · Journal of Econometrics · 76 citations
with Bahram Pesaran
MICROFIT 3.0. An Interactive Econometric Software Package.
published 1993 · The Economic Journal · 72 citations
with Michael McAleer, Les Oxley, Bahram Pesaran, Robert Fildes, David Sapsford
Persistence, cointegration, and aggregation
published 1993 · Journal of Econometrics · 123 citations
with Richard Pierse, Kevin Lee
The Role of Sectoral Interactions in Wage Determination in the UK Economy
published 1993 · The Economic Journal · 48 citations · first circulated 1992
with Kevin C. Lee, Kevin Lee
Nonlinear dynamics and econometrics: AN introduction
published 1992 · Journal of Applied Econometrics · 28 citations
with Simon Potter
A Simple Nonparametric Test of Predictive Performance
published 1992 · Journal of Business and Economic Statistics · 623 citations
Announcement
published 1992 · Journal of Applied Econometrics · 3 citations
Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone
published 1992 · Journal of Econometrics · 36 citations · first circulated 1990
with Hossein Samiei
Persistence of Shocks and their Sources in a Multisectoral Model of UK Output Growth
published 1992 · The Economic Journal · 84 citations
with Kevin Lee, Richard Pierse
An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model
published 1992 · The Economic Journal · 36 citations · first circulated 1991
with Hossein Samiei
The Iranian Foreign Exchange Policy And The Black Market for Dollars
published 1992 · International Journal Middle East Studies · 33 citations · first circulated 1991
Announcement
published 1992 · Journal of Applied Econometrics · 1 citations
Joint tests of non-nested models and general error specifications
published 1992 · Econometric Reviews · 3 citations · first circulated 1989
Estimation of a simple class of multivariate rational expectations models: A test of the new classical model at a sectoral level
published 1991 · Empirical Economics · 5 citations · first circulated 1989
Costly Adjustment under Rational Expectations: A Generalization
published 1991 · The Review of Economics and Statistics · 48 citations
The Et Interview: Professor Sir Richard Stone
published 1991 · Econometric Theory · 30 citations
Persistence, seasonality and trend in the UK egg production
published 1991 · Applied Economics · 13 citations
with Hossein Samiei
Disaggregation in Econometric Modelling
published 1990 · Medical Entomology and Zoology · 107 citations
with Terry Barker
no link
An Econometric Analysis of Exploration and Extraction of Oil in the U.K. Continental Shelf
published 1990 · The Economic Journal · 107 citations · first circulated 1988
A unified approach to estimation and orthogonality tests in linear single-equation econometric models
published 1990 · Journal of Econometrics · 32 citations
Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches.
published 1990 · The Economic Journal · 52 citations
with L. G. Godfrey
Testing for Aggregation Bias in Linear Models
published 1990 · The Economic Journal · 76 citations
with Kevin Lee, Richard Pierse
Alternative approaches to testing non-nested models with autocorrelated disturbances
published 1990 · Communication in Statistics-Theory and Methods · 14 citations
with Michael McAleer, Anil K. Bera
Consistency of short-term and long-term expectations
published 1989 · Journal of International Money and Finance · 13 citations
Econometric Analysis of Aggregation in the Context of Linear Prediction Models
published 1989 · Econometrica · 158 citations · first circulated 1988
with Richard Pierse, Mukesh Kumar
Data-Fit
published 1989 · Applied Economics · 11 citations
with Baharam pesaran
A proof of the asymptotic validity of a test for perfect aggregation
published 1989 · Economics Letters · 3 citations
with Richard Pierse
The Limits to Rational Expectations.
published 1988 · The Economic Journal · 392 citations
with Patrick Minford, Mark E. Wohar
4 The Role of Theory in Applied Econometrics*
published 1988 · Economic Record · 7 citations
Data-FIT. An Interactive Econometric Software Package.
published 1988 · The Economic Journal · 6 citations
with L. G. Godfrey, Bahram Pesaran
On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder
published 1988 · The Economic Journal · 22 citations · first circulated 1987
Tests of non-nested linear regression models subject to linear restrictions
published 1988 · Economics Letters · 12 citations
with Anthony Hall
Macroeconomic Thought: A Methodological Approach.
published 1987 · Economica
with John Fender, Sheila Dow, Tony Lawson
Global and Partial Non-Nested Hypotheses and Asymptotic Local Power
published 1987 · Econometric Theory · 92 citations
Statistical inference in non-nested econometric models
published 1986 · Applied Mathematics and Computation · 56 citations
with Michael McAleer
Keynes' Economics: Methodological Issues.
published 1986 · The Economic Journal · 79 citations · first circulated 1985
with D. E. Moggridge, Tony Lawson, George Alogoskoufis, J. G. Palma, John Sender
Instrumental Variables.
published 1986 · Economica · 24 citations
with Roger J. Bowden, Darrell A. Turkington
Editorial statement
published 1986 · Journal of Applied Econometrics · 2 citations
Formation of Inflation Expectations in British Manufacturing Industries
published 1985 · The Economic Journal · 107 citations
Economic Theory and Econometrics.
published 1985 · The Economic Journal · 20 citations
with Lawrence R. Klein, Jaime Márquez
TESTING FOR STRUCTURAL STABILITY AND PREDICTIVE FAILURE: A REVIEW
published 1985 · Manchester School · 64 citations
The International Transmission of Inflation.
published 1985 · The Economic Journal · 2 citations
with Michael R. Darby, James R. Lothian
Evaluation of macroeconometric models
published 1985 · Economic Modelling · 73 citations
Rational Expectations: An Elementary Exposition.
published 1984 · The Economic Journal · 41 citations
with George Shaw
Macroeconomic Policy in an Oil-Exporting Economy with Foreign Exchange Controls
published 1984 · Economica · 17 citations
Inflation, Capital Gains and U.K. Personal Savings: 1953-1981
published 1984 · The Economic Journal · 79 citations
with Robert A. Evans
Asymptotic power comparisons of tests of separate parametric families by Bahadur's approach
published 1984 · Biometrika · 16 citations
A NOTE ON THE MAXIMUM LIKELIHOOD ESTIMATION OF REGRESSION MODELS WITH FIRST ORDER MOVING AVERAGE ERRORS WITH ROOTS ON THE UNIT CIRCLE
published 1983 · Australian Journal of Statistics · 12 citations
Tests of non-nested regression models
published 1983 · Journal of Econometrics · 205 citations
with L. G. Godfrey
The J-test as a Hausman specification test
published 1983 · Economics Letters · 13 citations
with Jerry A. Hausman
Comment
published 1983 · Econometric Reviews
A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis
published 1982 · The Economic Journal · 80 citations
Comparison of Local Power of Alternative Tests of Non-Nested Regression Models
published 1982 · Econometrica · 100 citations
On the comprehensive method of testing non-nested regression models
published 1982 · Journal of Econometrics · 46 citations
Pitfalls of testing non-nested hypotheses by the lagrange multiplier method
published 1981 · Journal of Econometrics · 30 citations
Expenditure of oil revenue: An optimal control approach with application to the Iranian economy
published 1981 · Journal of Economic Dynamics and Control
Identification of rational expectations models
published 1981 · Journal of Econometrics · 84 citations
Testing Non-Nested Nonlinear Regression Models
published 1978 · Econometrica · 385 citations
with Angus Deaton
The Determinants of United Kingdom Import Prices--A Note
published 1976 · The Economic Journal · 4 citations
with G. E. J. Llewellyn
On the General Problem of Model Selection
published 1974 · The Review of Economic Studies · 12 citations
Exact Maximum Likelihood Estimation of a Regression Equation with a First-Order Moving-Average Error
published 1973 · The Review of Economic Studies · 44 citations
An Alternative Econometric Approach to the Permanent Income Hypothesis: An International Comparison: A Comment
published 1973 · The Review of Economics and Statistics
The Small Sample Problem of Truncation Remainders in the Estimation of Distributed Lag Models with Autocorrelated Errors
published 1973 · International Economic Review · 17 citations
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