Ni na voljo v slovenščini.

# Hashem Pesaran

- 22 December 2005
- WORKING PAPER SERIES - No. 568Details
- Abstract
- This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979-2003. It advances research in this area in a number of directions. In particular, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. It develops a sieve bootstrap procedure for simulation of the GVAR as a whole to test the structural stability of the regression coefficients and error variances, and to establish confidence bounds for the impulse responses. Finally, in addition to generalized impulse responses, the paper also considers the use of the GVAR for "structural" impulse response analysis.
- JEL Code
**C32**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes**E17**: Macroeconomics and Monetary Economics→General Aggregative Models→Forecasting and Simulation: Models and Applications**F47**: International Economics→Macroeconomic Aspects of International Trade and Finance→Forecasting and Simulation: Models and Applications

Annexes- 22 December 2005
- ANNEX

- 23 May 2007
- WORKING PAPER SERIES - No. 750Details
- Abstract
- This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates suggested by arbitrage in financial and goods markets. It uses the global vector autoregressive (GVAR) model to test for long run restrictions in each country/region conditioning on the rest of the world. Bootstrapping is used to compute both the empirical distribution of the impulse responses and the log-likelihood ratio statistic for over-identifying restrictions. The paper also examines the speed with which adjustments to the long run relations take place via the persistence profiles. We find strong evidence in favour of the UIP and to a lesser extent the Fisher equation across a number of countries, but our results for the PPP are much weaker. Also the transmission of shocks and subsequent adjustments in financial markets are much faster than those in goods markets.
- JEL Code
**C32**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes**E17**: Macroeconomics and Monetary Economics→General Aggregative Models→Forecasting and Simulation: Models and Applications**F47**: International Economics→Macroeconomic Aspects of International Trade and Finance→Forecasting and Simulation: Models and Applications**R11**: Urban, Rural, Regional, Real Estate, and Transportation Economics→General Regional Economics→Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

- 30 April 2008
- WORKING PAPER SERIES - No. 892Details
- Abstract
- New Keynesian Phillips Curves (NKPC) have been exten-sively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macro-economic theory. The first is whether such equations are identified. To check identification requires specifying the process for the forcing variables (typically the output gap) and solving the model for inflation in terms of the observables. In practice, the equation is estimated by GMM, relying on statistical criteria to choose instruments. This may result in failure of identification or weak instruments. Secondly, the NKPC is usually derived as a part of a DSGE model, solved by log-linearising around a steady state and the variables are then measured in terms of deviations from the steady state. In practice the steady states, e.g. for output, are usually estimated by some statistical procedure such as the Hodrick-Prescott (HP) filter that might not be appropriate. Thirdly, there are arguments that other variables, e.g. interest rates, foreign inflation and foreign output gaps should enter the Phillips curve. This paper examines these three issues and argues that all three benefit from a global perspective. The global per-spective provides additional instruments to alleviate the weak instrument problem, yields a theoretically consistent measure of the steady state and provides a natural route for foreign inflation or output gap to enter the NKPC.
- JEL Code
**C32**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes**E17**: Macroeconomics and Monetary Economics→General Aggregative Models→Forecasting and Simulation: Models and Applications**F37**: International Economics→International Finance→International Finance Forecasting and Simulation: Models and Applications**F42**: International Economics→Macroeconomic Aspects of International Trade and Finance→International Policy Coordination and Transmission

- 27 January 2009
- WORKING PAPER SERIES - No. 998Details
- Abstract
- This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR model proposed in Pesaran et al. (JBES, 2004). The paper also considers IVAR models with dominant individual units and shows that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and inference in a stationary IVAR with unknown number of unobserved common factors are also investigated. A cross section augmented least squares estimator is proposed and its asymptotic distribution is derived. Satisfactory small sample properties are documented by Monte Carlo experiments.
- JEL Code
**C10**: Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→General**C33**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models**C51**: Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation

- 16 October 2009
- WORKING PAPER SERIES - No. 1100Details
- Abstract
- This paper introduces the concepts of time-specific weak and strong cross section dependence. A double- indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in quadratic mean, as N is increased without bounds for all weights that satisfy certain 'granularity' conditions. Relationship with the notions of weak and strong common factors is investigated and an application to the estimation of panel data models with an infinite number of weak factors and a finite number of strong factors is also considered. The paper concludes with a set of Monte Carlo experiments where the small sample properties of estimators based on principal components and CCE estimators are investigated and compared under various assumptions on the nature of the unobserved common effects.
- JEL Code
**C10**: Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→General**C31**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Cross-Sectional Models, Spatial Models, Treatment Effect Models, Quantile Regressions, Social Interaction Models**C33**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models

- 20 May 2010
- WORKING PAPER SERIES - No. 1194Details
- Abstract
- This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves several technical difficulties. The dominant unit influences the rest of the variables in the IVAR model both directly and indirectly, and its effects do not vanish even as the dimension of the model (N) tends to infinity. The dominant unit acts as a dynamic factor in the regressions of the non-dominant units and yields an infinite order distributed lag relationship between the two types of units. Despite this it is shown that the effects of the dominant unit as well as those of the neighborhood units can be consistently estimated by running augmented least squares regressions that include distributed lag functions of the dominant unit. The asymptotic distribution of the estimators is derived and their small sample properties investigated by means of Monte Carlo experiments.
- JEL Code
**C10**: Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→General**C33**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models**C51**: Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation

- 15 September 2010
- WORKING PAPER SERIES - No. 1239Details
- Abstract
- This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate equation. The IS equation includes a real exchange rate variable and a countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as deviations from their steady states, which are estimated as long-horizon forecasts from a reduced-form cointegrating global vector autoregression. The resulting rational expectations model is then estimated for 33 countries on data for 1980Q1-2006Q4, by inequality constrained IV, using lagged and contemporaneous foreign variables as instruments, subject to the restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply, demand and monetary policy shocks. Following the literature, we assume that the within country supply, demand and monetary policy shocks are orthogonal, though shocks of the same type (e.g. supply shocks in different countries) can be correlated. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present estimates allowing for both direct channels of international transmission through regression coefficients and indirect channels through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the US monetary policy.
- JEL Code
**C32**: Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes**E17**: Macroeconomics and Monetary Economics→General Aggregative Models→Forecasting and Simulation: Models and Applications**F37**: International Economics→International Finance→International Finance Forecasting and Simulation: Models and Applications**F42**: International Economics→Macroeconomic Aspects of International Trade and Finance→International Policy Coordination and Transmission