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Testing Slope Homogeneity in Large Panels
This paper proposes a modi?ed version of Swamy’s test of slope homogeneity for panel data models where the cross section dimension (N) could be large relative to the time series dimension (T). TheExpand
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A Bias-Adjusted LM Test of Error Cross-Section Independence
This paper proposes a bias-adjusted version of Breusch and Pagan (1980) Lagrange multiplier (LM) test statistic of error cross-section independence, in the case of panel models with strictlyExpand
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Panels with Nonstationary Multifactor Error Structures
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use ofExpand
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A Spatio-Temporal Model of House Prices in the Us
The purpose of this paper is to apply recent advances in the econometrics of panel data to a problem that has a clear spatial dimension. We model the dynamic adjustment of real house prices usingExpand
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Spatial and Temporal Diffusion of House Prices in the UK
This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions toExpand
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A test of cross section dependence for a linear dynamic panel model with regressors
This paper proposes a new testing procedure for detecting error cross section dependence after estimating a linear dynamic panel data model with regressors using the generalised method of momentsExpand
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding theExpand
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Testing CAPM with a Large Number of Assets
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is largeExpand
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Pairwise Tests of Purchasing Power Parity
Given nominal exchange rates and price data on N + 1 countries indexed by i = 0,1,2,…, N, the standard procedure for testing purchasing power parity (PPP) is to apply unit root or stationarity testsExpand
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A joint serial correlation test for linear panel data models
This paper proposes a joint error serial correlation test to be applied to linear panel data models after generalised method of moments estimation. This new test is an alternative inferential tool toExpand
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