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个人简介
M. Hashem Pesaran has made significant contributions in time series and panel data econometrics. He is the developer of the Global Vector Autoregressive (GVAR) approach used extensively by many economists and international institutions, including IMF, ECB and the World Bank to study and predict international spillover effects and interdependencies in the global economy. By inventing this model, Pesaran has helped in transforming our understanding of interconnectedness of international financial systems and global risk taking.
Research Interests: Econometric Analysis of Heterogeneous Panels with Unobserved Common Effects; Spatiotemporal Panel Data Models with Latent Factors; Modelling Epidemics on Stochastic Networks; Testing and Modelling Weak and Strong Cross-Sectional Dependence, Analysis of Panel Vector Autoregressive Models (PVAR); Long-Run Structural Macroeconometric Modelling; Global Vector Autoregressive Modelling (GVAR); Economic and Financial Forecasting in the Presence of Structural Breaks; Financial Econometrics – Credit Risk Analysis and Portfolio Optimization; Panel Unit Root Tests;Testing Capital Asset Pricing Models, Econometric Analysis of Non-tested Models; Empirics of Growth.
研究兴趣
论文共 506 篇作者统计合作学者相似作者
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arXiv (Cornell University) (2024)
M. Hashem Pesaran, Liying Yang
JOURNAL OF APPLIED ECONOMETRICS (2024)
arXiv (Cornell University) (2024)
SSRN Electronic Journal (2023)
SSRN Electronic Journal (2023)
SSRN Electronic Journal (2023)
Econometrics and Statistics (2023): 17-30
JOURNAL OF ECONOMETRICS (2023): 56-69
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作者统计
#Papers: 499
#Citation: 116599
H-Index: 98
G-Index: 341
Sociability: 6
Diversity: 1
Activity: 2
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