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Bounds testing approaches to the analysis of level relationships
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
A number of panel unit root tests that allow for cross section dependence have been proposed in the literature, notably by Bai and Ng (2002), Moon and Perron (2003) and Phillips and Sul (2002) who
General Diagnostic Tests for Cross Section Dependence in Panels
  • M. Pesaran
  • Economics
    SSRN Electronic Journal
  • 1 August 2004
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
  • M. Pesaran
  • Economics, Mathematics
    SSRN Electronic Journal
  • 1 November 2004
This paper presents a new approach to estimation and inference in panel data models with a general multifactor error structure. The unobserved factors and the individual-specific errors are allowed
Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
Abstract It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual
An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis
Introduction Econometric analysis of long-run relations has been the focus of much theoretical and empirical research in economics. In cases in which the variables in the long-run relation of
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