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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.
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JOURNAL OF FINANCIAL ECONOMETRICSno. 2 (2024): 407-460
Federal Reserve Bank of Dallas, Globalization Institute Working Papersno. 409 (2023)
SSRN Electronic Journal (2023)
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SSRN Electronic Journal (2023)
Econometrics and Statistics (2023): 17-30
M. Hashem Pesaran, Yimeng Xie
arxiv(2023)
SSRN Electronic Journal (2023)
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