M. Hashem Pesaran

Optimal Asset Allocation with Factor Models for Large Portfolios

Forecasting Random Walks Under Drift Instability

A VECX Model of the Swiss Economy

Forecasting Economic and Financial Variables with Global VARs

Model Averaging in Risk Management with an Application to Futures Markets

Identification of New Keynesian Phillips Curves from a Global Perspective

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Infinite Dimensional VARs and Factor Models

Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows

Large Panels with Common Factors and Spatial Correlations

Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution

Lumpy Price Adjustments: A Microeconometric Analysis

Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models

On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables

Long Run Macroeconomic Relations in the Global Economy

Econometrics: A Bird’s Eye View

A Spatio-Temporal Model of House Prices in the US

Panels with Nonstationary Multifactor Error Structures

Testing Dependence among Serially Correlated Multi-category Variables

Pairwise Tests of Purchasing Power Parity Using Aggregate and Disaggregate Price Measures

Macroeconometric Modelling with a Global Perspective

Learning, Structural Instability and Present Value Calculations

Survey Expectations

Unit Roots and Cointegration in Panels

forthcoming in: L. Matyas and P. Sevestre (eds), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice, Kluwer Academic Publishers (2006)

Global Business Cycles and Credit Risk

 The Risks of Financial Institutions, NBER Conference Report Volume, University of Chicago Press, Chicago (2006) pp. 419-473.